AMZN Options History — October 2016 In October 2016, AMZN traded between $38.79 and $42.26. ATM implied volatility averaged 33.0%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 16.3% (HV 20d: 16.7%). Max pain ranged from $38.25 to $39.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.00.
Notable Days 2016-10-28 : Highest Volume — 5,489,320 contracts2016-10-28 : Largest IV drop — 36.3% change2016-10-26 : Highest IV Rank — 54.9%2016-10-26 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $41.23 $38.79 $42.26 $41.83 $39.41 Max Pain $38.76 $38.25 $39.50 $38.75 $39.25 ATM IV 33.0% 21.0% 35.8% 32.9% 21.0% Expected Move 8.9% 5.6% 11.3% 6.1% 6.1% HV 20d 16.7% 14.6% 25.7% 19.0% 25.7% HV 60d 14.9% 14.0% 19.2% 14.3% 19.2% IV Rank 47.2% 14.9% 54.9% 46.9% 14.9% IV Percentile 57.9% 15.5% 69.0% 56.7% 15.5% Term Structure -1.7% -2.8% 1.1% -1.6% -0.0% VWIV 31.3% 20.3% 38.9% 21.5% 21.8% Skew 25d 3.1% 1.4% 3.6% 3.4% 1.9% Skew 10d 5.4% 2.6% 7.1% 6.4% 3.6% Call IV 25d 31.2% 20.5% 34.0% 31.0% 20.5% Put IV 25d 34.3% 22.2% 36.9% 34.4% 22.5% Bid-Ask Spread % 32.46 6.17 52.22 42.75 41.10 Gamma HHI 0.07 0.03 0.21 0.06 0.03 Net GEX 164.7M -486.3M 521.2M 321.1M -8.1M Net DEX -7.57B -11.19B -352.5M -9.72B -3.50B Net VEX -32.9M -34.1M -29.5M -31.7M -32.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.79 1.42 1.12 1.09 Total Volume 2,029,802.857 1,069,160 5,489,320 1,655,440 2,109,060 Total OI 10,241,700 8,525,920 11,245,760 9,391,520 9,776,960
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 2016-10-03 $41.83 $38.75 32.9% 6.1% 19.0% 46.9% 21.5% 3.4% -1.6% 321.1M -9.72B -31.7M 1.12 42.75 N/A N/A 779,720 875,720 4,477,780 4,913,740 2016-10-04 $41.72 $38.88 33.9% 6.1% 18.1% 49.5% 21.6% 3.4% -1.7% 291.8M -9.43B -32.6M 1.10 52.22 N/A N/A 818,800 898,600 4,644,100 5,251,140 2016-10-05 $42.26 $39.00 34.0% 5.6% 18.3% 50.0% 20.3% 3.2% -1.7% 521.2M -11.19B -32.3M 0.89 46.94 N/A N/A 1,207,560 1,079,660 4,860,120 5,542,180 2016-10-06 $42.14 $38.25 34.2% 8.9% 18.3% 50.6% 31.9% 3.2% -1.9% 499.6M -10.76B -33.8M 0.99 14.52 N/A N/A 859,200 851,920 5,064,420 5,802,900 2016-10-07 $41.95 $38.25 33.1% 8.7% 15.1% 47.4% 30.9% 2.8% -1.8% 496.7M -10.02B -33.6M 0.86 19.07 N/A N/A 1,320,960 1,134,140 5,173,680 5,929,160 2016-10-10 $42.08 $38.25 33.3% 8.8% 15.0% 48.0% 32.0% 2.9% -1.9% 386.7M -10.10B -32.4M 1.42 14.52 N/A N/A 476,260 677,920 4,724,180 5,122,760 2016-10-11 $41.52 $38.25 34.8% 9.3% 14.7% 52.1% 32.7% 3.5% -2.0% 165.0M -8.28B -33.6M 1.24 35.30 N/A N/A 883,200 1,096,960 4,819,580 5,334,380 2016-10-12 $41.66 $38.50 34.6% 9.3% 14.6% 51.6% 32.8% 3.4% -2.1% 225.2M -8.84B -33.6M 0.96 33.38 N/A N/A 706,920 677,040 5,005,100 5,629,560 2016-10-13 $41.46 $38.50 34.6% 9.4% 14.8% 51.6% 33.2% 3.4% -2.3% 40.5M -8.06B -33.6M 0.91 33.88 N/A N/A 1,144,380 1,039,100 5,141,400 5,785,620 2016-10-14 $41.25 $38.50 34.1% 9.3% 14.9% 50.1% 33.2% 3.6% -2.5% -287.4M -7.26B -33.4M 0.94 34.46 N/A N/A 1,340,340 1,257,620 5,278,300 5,918,700 2016-10-17 $40.65 $38.50 35.5% 10.0% 16.0% 53.9% 35.1% 3.6% -2.1% 76.3M -6.10B -32.6M 1.00 30.75 N/A N/A 910,400 910,880 4,684,560 5,224,000 2016-10-18 $40.96 $38.50 34.6% 9.8% 15.9% 51.5% 34.2% 3.6% -2.2% 210.5M -7.26B -32.7M 0.97 35.18 N/A N/A 815,720 788,800 4,960,100 5,393,820 2016-10-19 $40.93 $38.75 34.9% 10.0% 15.6% 52.5% 35.2% 3.5% -2.3% 165.0M -7.20B -33.2M 0.79 33.43 N/A N/A 695,100 549,100 5,057,080 5,560,620 2016-10-20 $40.55 $38.75 35.3% 10.2% 14.6% 53.3% 35.7% 3.2% -2.6% -4.4M -6.01B -32.8M 0.89 32.21 N/A N/A 1,134,660 1,009,900 5,205,500 5,645,140 2016-10-21 $40.85 $38.75 34.6% 10.2% 14.9% 51.6% 35.4% 3.5% -2.8% 259.3M -7.24B -32.7M 0.89 33.56 N/A N/A 1,344,020 1,199,380 5,392,360 5,853,400 2016-10-24 $41.76 $39.00 32.9% 10.1% 16.3% 46.9% 35.1% 3.2% -1.0% 168.8M -7.43B -32.2M 0.95 34.87 N/A N/A 798,520 754,820 4,027,240 4,498,680 2016-10-25 $41.70 $39.00 33.8% 10.5% 14.9% 49.2% 36.5% 2.9% -1.3% 166.6M -7.43B -33.5M 0.89 33.66 N/A N/A 564,580 504,580 4,316,760 4,824,800 2016-10-26 $41.20 $39.25 35.8% 11.3% 14.7% 54.9% 38.9% 2.4% -1.8% 125.9M -6.52B -34.1M 1.05 35.85 N/A N/A 639,120 671,540 4,443,960 4,971,060 2016-10-27 $41.11 $39.50 33.8% 10.8% 14.7% 49.4% 36.7% 2.6% -1.6% 125.4M -6.34B -34.1M 0.80 37.81 N/A N/A 1,447,420 1,162,920 4,663,400 5,208,160 2016-10-28 $38.79 $39.50 21.5% 6.3% 24.7% 16.4% 22.6% 1.4% 1.1% -486.3M -352.5M -29.5M 1.15 6.17 N/A N/A 2,556,260 2,933,060 5,224,940 5,724,360 2016-10-31 $39.41 $39.25 21.0% 6.1% 25.7% 14.9% 21.8% 1.9% -0.0% -8.1M -3.50B -32.2M 1.09 41.10 N/A N/A 1,008,300 1,100,760 4,647,500 5,129,460
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