AMZN Options History — September 2016 In September 2016, AMZN traded between $38.01 and $41.95. ATM implied volatility averaged 21.7%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.6% (HV 20d: 15.1%). Max pain ranged from $36.00 to $38.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.94.
Notable Days 2016-09-09 : Highest Volume — 3,724,600 contracts2016-09-26 : Largest IV spike — 28.0% change2016-09-29 : Highest IV Rank — 48.7%2016-09-29 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $39.46 $38.01 $41.95 $38.53 $41.95 Max Pain $37.06 $36.00 $38.50 $37.75 $38.50 ATM IV 21.7% 15.4% 33.6% 17.1% 32.8% Expected Move 5.5% 3.7% 6.4% 4.5% 6.1% HV 20d 15.1% 8.0% 18.8% 8.2% 18.8% HV 60d 15.0% 13.9% 16.2% 15.1% 14.4% IV Rank 15.0% 0.0% 48.7% 1.7% 46.6% IV Percentile 19.7% 0.0% 58.7% 3.6% 56.3% Term Structure 3.0% -1.6% 12.6% 0.4% -1.3% VWIV 19.8% 13.2% 22.9% 16.2% 22.1% Skew 25d 3.0% 2.3% 4.0% 2.7% 3.6% Skew 10d 6.0% 4.1% 8.0% 6.0% 8.0% Call IV 25d 20.4% 14.1% 32.3% 15.9% 31.8% Put IV 25d 23.4% 16.6% 36.2% 18.6% 35.4% Bid-Ask Spread % 45.47 37.25 62.77 61.22 46.07 Gamma HHI 0.09 0.03 0.24 0.07 0.23 Net GEX 354.4M -643.7M 960.2M 330.5M 960.2M Net DEX -6.89B -12.25B -2.64B -5.66B -12.25B Net VEX -27.9M -31.7M -26.0M -27.5M -31.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.67 1.26 1.16 0.86 Total Volume 2,186,837.143 1,074,740 3,724,600 1,169,140 3,491,220 Total OI 8,854,852.381 7,676,940 10,897,800 8,624,240 10,897,800
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2016-09-01 $38.53 $37.75 17.1% 4.5% 8.2% 1.7% 16.2% 2.7% 0.4% 330.5M -5.66B -27.5M 1.16 61.22 N/A N/A 542,260 626,880 4,088,080 4,536,160 2016-09-02 $38.64 $37.75 15.4% 3.7% 8.0% 0.0% 13.2% 2.5% 0.6% 659.7M -6.21B -26.7M 1.05 62.77 N/A N/A 943,360 987,520 4,189,540 4,655,080 2016-09-06 $39.42 $36.00 16.9% 5.4% 10.6% 3.4% 20.0% 2.7% 0.3% 477.7M -7.69B -26.0M 0.97 44.62 N/A N/A 1,246,100 1,208,780 3,802,420 4,029,800 2016-09-07 $39.28 $36.25 16.7% 5.3% 10.7% 2.9% 19.5% 2.5% 0.2% 473.7M -7.20B -26.4M 1.06 46.22 N/A N/A 692,500 732,500 4,011,220 4,436,820 2016-09-08 $39.19 $36.50 15.8% 5.0% 10.8% 0.9% 18.8% 2.7% 0.2% 462.7M -6.85B -26.4M 1.14 47.37 N/A N/A 662,060 755,680 4,187,060 4,627,240 2016-09-09 $38.21 $36.50 19.7% 5.9% 14.2% 9.9% 20.8% 3.3% -0.2% -643.7M -2.64B -27.3M 1.26 47.31 N/A N/A 1,648,300 2,076,300 4,269,240 4,830,720 2016-09-12 $38.60 $36.50 18.1% 5.6% 14.7% 6.2% 20.1% 3.0% 1.5% 218.7M -5.22B -27.2M 0.83 46.08 N/A N/A 981,160 814,600 3,987,220 4,377,780 2016-09-13 $38.01 $36.50 20.7% 6.3% 15.6% 12.1% 21.9% 3.6% 1.2% -15.1M -3.54B -28.2M 0.84 45.18 N/A N/A 886,480 745,940 4,210,520 4,579,360 2016-09-14 $38.08 $36.50 20.2% 6.2% 15.5% 11.1% 22.1% 3.6% 1.5% 25.0M -3.87B -28.7M 0.82 45.97 N/A N/A 835,200 686,560 4,462,940 4,712,840 2016-09-15 $38.50 $36.50 18.1% 5.7% 16.0% 6.3% 20.5% 3.2% 2.0% 382.1M -5.43B -28.4M 0.88 46.58 N/A N/A 1,000,540 878,200 4,585,600 4,795,160 2016-09-16 $38.90 $36.75 17.6% 5.4% 16.4% 5.1% 19.2% 2.8% 1.9% 779.1M -6.87B -27.8M 0.67 44.76 N/A N/A 1,823,140 1,228,340 4,597,560 4,911,700 2016-09-19 $38.72 $37.00 18.5% 5.4% 16.1% 7.1% 19.3% 2.8% 11.8% 138.6M -5.12B -27.1M 1.02 42.70 N/A N/A 715,460 729,800 3,627,500 4,049,440 2016-09-20 $39.04 $37.00 18.4% 5.3% 16.3% 6.9% 19.4% 2.6% 11.7% 224.1M -5.84B -28.1M 1.03 41.36 N/A N/A 530,420 544,320 3,814,840 4,337,660 2016-09-21 $39.48 $37.00 18.8% 5.4% 16.6% 7.8% 19.6% 2.3% 11.6% 376.7M -6.82B -28.0M 1.02 43.25 N/A N/A 748,500 763,240 3,863,000 4,495,300 2016-09-22 $40.25 $37.00 20.3% 5.1% 17.4% 11.3% 18.5% 2.3% 12.0% 530.9M -8.97B -26.9M 0.78 38.87 N/A N/A 1,714,220 1,334,040 3,990,100 4,696,540 2016-09-23 $40.28 $37.50 23.3% 5.2% 17.4% 18.1% 18.7% 2.3% 12.6% 556.3M -8.82B -28.2M 0.75 44.99 N/A N/A 1,393,180 1,045,500 4,238,800 5,056,760 2016-09-26 $39.99 $37.50 29.8% 5.6% 17.4% 33.2% 19.9% 4.0% -0.8% 229.9M -6.74B -28.6M 1.04 40.68 N/A N/A 724,260 756,880 3,800,160 4,369,100 2016-09-27 $40.81 $37.50 30.5% 5.5% 18.6% 34.8% 20.0% 3.7% -0.5% 390.6M -8.75B -27.5M 0.96 37.53 N/A N/A 1,226,220 1,177,840 3,973,440 4,616,000 2016-09-28 $41.41 $37.75 33.3% 6.3% 18.6% 41.4% 22.4% 3.1% -1.4% 424.2M -10.16B -28.3M 0.80 37.25 N/A N/A 1,913,740 1,524,860 4,217,920 5,013,780 2016-09-29 $41.48 $38.00 33.6% 6.4% 18.6% 48.7% 22.9% 3.9% -1.6% 460.3M -10.09B -30.2M 0.76 44.10 N/A N/A 2,039,380 1,548,100 4,535,900 5,473,800 2016-09-30 $41.95 $38.50 32.8% 6.1% 18.8% 46.6% 22.1% 3.6% -1.3% 960.2M -12.25B -31.7M 0.86 46.07 N/A N/A 1,878,300 1,612,920 5,056,980 5,840,820
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