AMZN Options History — December 2016

In December 2016, AMZN traded between $37.01 and $38.89. ATM implied volatility averaged 23.2%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.1% (HV 20d: 23.1%). Max pain ranged from $34.50 to $38.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2016-12-30: Highest Volume — 3,215,120 contracts
2016-12-27: Largest IV spike — 16.4% change
2016-12-30: Highest IV Rank — 41.5%
2016-12-01: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.17	$37.01	$38.89	$37.10	$37.49
Max Pain	$35.64	$34.50	$38.50	$38.50	$36.00
ATM IV	23.2%	19.9%	30.9%	24.6%	30.9%
Expected Move	6.3%	5.7%	7.3%	7.3%	6.5%
HV 20d	23.1%	18.6%	32.6%	31.4%	19.0%
HV 60d	25.8%	25.5%	26.2%	25.9%	25.7%
IV Rank	20.8%	12.1%	41.5%	24.6%	41.5%
IV Percentile	26.2%	14.3%	52.8%	29.4%	52.8%
Term Structure	2.7%	-0.2%	6.4%	-0.2%	5.8%
VWIV	22.6%	20.7%	26.1%	26.1%	23.1%
Skew 25d	1.8%	1.4%	2.2%	2.2%	1.9%
Skew 10d	3.2%	2.2%	4.4%	4.1%	3.0%
Call IV 25d	22.4%	19.5%	28.3%	23.8%	28.3%
Put IV 25d	24.2%	21.1%	30.1%	25.9%	30.1%
Bid-Ask Spread %	30.75	19.17	51.28	47.78	33.15
Gamma HHI	0.06	0.03	0.25	0.04	0.19
Net GEX	17.6M	-484.6M	308.7M	-331.7M	-484.6M
Net DEX	-3.70B	-6.05B	181.8M	95.8M	-1.09B
Net VEX	-36.3M	-36.9M	-35.7M	-36.7M	-36.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.61	1.03	0.82	0.92
Total Volume	1,938,017.143	1,244,900	3,215,120	2,454,540	3,215,120
Total OI	11,437,150.476	10,055,900	12,567,680	11,730,560	11,829,840

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
2016-12-01	$37.10	$38.50	24.6%	7.3%	31.4%	24.6%	26.1%	2.2%	-0.2%	-331.7M	95.8M	-36.7M	0.82	47.78	N/A	N/A	1,349,840	1,104,700	5,694,660	6,035,900
2016-12-02	$37.01	$38.38	23.2%	6.8%	31.4%	21.0%	24.0%	2.1%	0.2%	-319.6M	181.8M	-36.6M	1.03	51.28	N/A	N/A	1,131,780	1,169,660	5,989,860	6,161,840
2016-12-05	$38.04	$34.50	21.9%	6.6%	32.6%	17.4%	23.4%	2.1%	0.6%	35.7M	-3.46B	-36.2M	0.78	19.17	N/A	N/A	1,060,500	825,240	5,240,960	5,676,860
2016-12-06	$38.16	$34.75	21.6%	6.5%	29.1%	16.6%	23.3%	2.1%	0.5%	118.1M	-3.97B	-36.7M	0.84	22.14	N/A	N/A	877,000	737,760	5,509,880	5,880,040
2016-12-07	$38.46	$35.00	21.1%	6.4%	29.2%	15.2%	22.6%	1.7%	0.4%	224.5M	-4.96B	-36.6M	0.82	21.82	N/A	N/A	938,880	772,820	5,660,580	6,040,380
2016-12-08	$38.32	$35.00	21.2%	6.3%	27.8%	15.6%	22.4%	1.7%	0.6%	188.9M	-4.58B	-36.4M	0.83	21.38	N/A	N/A	949,860	790,580	5,793,700	6,164,740
2016-12-09	$38.36	$35.00	20.8%	6.2%	23.8%	14.5%	22.1%	1.6%	0.6%	221.7M	-4.59B	-36.6M	0.78	25.17	N/A	N/A	993,080	777,520	5,931,240	6,356,480
2016-12-12	$38.00	$35.00	22.1%	6.5%	24.1%	18.0%	23.2%	1.9%	0.6%	40.0M	-3.42B	-36.0M	0.87	33.31	N/A	N/A	666,920	577,980	5,451,500	5,725,760
2016-12-13	$38.89	$35.00	21.5%	6.3%	22.9%	16.3%	22.6%	1.7%	0.5%	308.7M	-6.05B	-36.5M	0.84	23.57	N/A	N/A	1,227,140	1,030,520	5,582,020	5,913,160
2016-12-14	$38.63	$35.00	23.8%	6.9%	20.0%	22.6%	24.4%	1.8%	0.1%	149.5M	-4.90B	-36.9M	0.61	28.68	N/A	N/A	1,169,980	715,420	5,666,920	6,144,940
2016-12-15	$38.13	$35.00	23.6%	6.8%	20.7%	22.0%	24.1%	1.9%	0.2%	-86.5M	-3.27B	-36.8M	0.82	30.31	N/A	N/A	1,084,960	888,120	5,936,080	6,299,920
2016-12-16	$37.88	$35.00	21.8%	6.3%	20.4%	17.1%	22.4%	1.4%	0.5%	-305.0M	-2.30B	-35.7M	0.76	33.53	N/A	N/A	1,631,120	1,243,600	6,123,440	6,444,240
2016-12-19	$38.26	$35.50	20.8%	6.0%	20.4%	14.4%	21.3%	1.6%	5.1%	113.2M	-4.20B	-35.7M	0.69	30.71	N/A	N/A	929,880	641,120	4,868,020	5,187,880
2016-12-20	$38.59	$35.50	20.3%	5.9%	19.1%	13.2%	20.8%	1.8%	5.7%	267.3M	-5.18B	-36.0M	0.77	30.37	N/A	N/A	754,680	578,660	5,140,940	5,376,820
2016-12-21	$38.51	$35.50	19.9%	5.7%	18.9%	12.1%	20.7%	1.6%	5.9%	242.3M	-4.90B	-35.8M	0.93	32.54	N/A	N/A	693,120	647,360	5,292,120	5,529,800
2016-12-22	$38.25	$35.75	22.4%	6.1%	18.8%	18.7%	22.0%	1.7%	5.7%	78.3M	-4.11B	-36.3M	0.72	31.62	N/A	N/A	882,840	631,960	5,437,920	5,688,980
2016-12-23	$37.98	$36.00	22.7%	5.8%	18.9%	19.5%	21.3%	1.6%	6.4%	-426.0M	-3.08B	-36.3M	0.73	31.71	N/A	N/A	1,230,680	898,180	5,573,800	5,828,600
2016-12-27	$38.61	$36.00	26.4%	5.9%	18.8%	29.4%	21.5%	2.0%	5.5%	230.1M	-5.17B	-35.9M	0.75	30.19	N/A	N/A	1,042,920	781,320	5,089,740	5,414,620
2016-12-28	$38.59	$36.00	27.3%	5.9%	18.6%	31.9%	21.7%	1.9%	6.1%	218.6M	-5.02B	-36.3M	0.74	34.91	N/A	N/A	1,160,640	856,480	5,370,740	5,663,920
2016-12-29	$38.23	$36.00	28.7%	6.1%	18.6%	35.7%	22.1%	1.9%	5.5%	-114.5M	-3.67B	-36.4M	0.81	32.35	N/A	N/A	1,128,340	910,080	5,579,660	5,881,660
2016-12-30	$37.49	$36.00	30.9%	6.5%	19.0%	41.5%	23.1%	1.9%	5.8%	-484.6M	-1.09B	-36.0M	0.92	33.15	N/A	N/A	1,676,240	1,538,880	5,801,820	6,028,020