AMZN Options History — January 2017

In January 2017, AMZN traded between $37.53 and $41.95. ATM implied volatility averaged 30.7%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 11.5% (HV 20d: 19.3%). Max pain ranged from $36.25 to $39.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2017-01-06: Highest Volume — 4,985,340 contracts
2017-01-26: Largest IV spike — 4.9% change
2017-01-03: Highest IV Rank — 49.4%
2017-01-31: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.37	$37.53	$41.95	$37.53	$41.15
Max Pain	$38.36	$36.25	$39.50	$36.25	$39.50
ATM IV	30.7%	27.6%	33.8%	33.8%	29.3%
Expected Move	8.6%	5.5%	10.1%	6.3%	10.1%
HV 20d	19.3%	16.5%	20.9%	19.0%	16.9%
HV 60d	26.1%	23.3%	27.1%	25.7%	23.3%
IV Rank	42.3%	34.0%	49.4%	49.4%	43.6%
IV Percentile	53.3%	48.0%	62.3%	62.3%	51.6%
Term Structure	-1.7%	-2.3%	-1.1%	-1.5%	-1.2%
VWIV	30.2%	19.7%	34.3%	22.5%	34.3%
Skew 25d	2.4%	1.7%	3.2%	2.8%	1.7%
Skew 10d	3.8%	2.1%	5.2%	4.2%	2.4%
Call IV 25d	29.5%	26.2%	33.1%	33.1%	27.9%
Put IV 25d	31.9%	28.9%	35.9%	35.9%	29.6%
Bid-Ask Spread %	29.36	18.38	38.51	35.91	31.48
Gamma HHI	0.06	0.02	0.20	0.03	0.02
Net GEX	307.7M	-65.0M	754.3M	-65.0M	84.2M
Net DEX	-7.01B	-11.60B	-2.24B	-2.24B	-4.12B
Net VEX	-35.7M	-38.1M	-34.6M	-35.2M	-38.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.62	1.05	0.82	0.76
Total Volume	2,288,628	1,117,680	4,985,340	1,803,560	1,117,680
Total OI	10,752,161	7,283,140	13,155,300	10,792,920	8,205,920

Daily Data (20 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
2017-01-03	$37.53	$36.25	33.8%	6.3%	19.0%	49.4%	22.5%	2.8%	-1.5%	-65.0M	-2.24B	-35.2M	0.82	35.91	N/A	N/A	988,980	814,580	5,214,940	5,577,980
2017-01-04	$37.89	$36.25	32.7%	5.5%	16.5%	46.4%	19.7%	2.5%	-1.7%	56.6M	-3.32B	-34.9M	0.90	38.51	N/A	N/A	855,300	771,840	5,487,440	5,802,320
2017-01-05	$39.10	$38.00	32.8%	8.6%	20.0%	46.6%	30.3%	2.5%	-1.9%	444.4M	-7.34B	-35.6M	0.79	20.14	N/A	N/A	1,849,920	1,455,200	5,667,360	5,986,000
2017-01-06	$39.87	$38.00	31.8%	8.5%	20.9%	44.1%	29.9%	2.0%	-1.7%	501.4M	-10.12B	-35.5M	0.73	19.20	N/A	N/A	2,881,280	2,104,060	5,927,860	6,356,260
2017-01-09	$39.92	$38.00	32.3%	8.7%	20.8%	45.4%	30.7%	2.0%	-1.6%	354.8M	-8.25B	-35.7M	0.91	18.38	N/A	N/A	982,300	896,800	5,496,940	5,866,320
2017-01-10	$39.79	$38.00	31.9%	8.6%	20.9%	44.2%	30.1%	2.2%	-1.6%	331.2M	-7.82B	-36.2M	0.86	20.43	N/A	N/A	785,060	677,160	5,762,280	6,182,320
2017-01-11	$39.91	$38.25	32.3%	8.7%	20.5%	45.2%	30.7%	2.3%	-1.9%	386.2M	-8.25B	-36.1M	0.85	26.05	N/A	N/A	953,520	808,640	5,915,540	6,328,160
2017-01-12	$40.67	$38.25	32.1%	8.7%	20.0%	44.7%	30.9%	2.5%	-1.9%	677.8M	-11.08B	-36.2M	0.62	24.07	N/A	N/A	2,201,580	1,375,700	6,075,080	6,538,580
2017-01-13	$40.92	$38.25	30.8%	8.5%	19.7%	41.4%	30.1%	2.4%	-1.6%	754.3M	-11.60B	-35.2M	0.77	25.68	N/A	N/A	2,143,320	1,645,080	6,250,400	6,785,720
2017-01-17	$40.44	$38.50	30.8%	8.7%	19.6%	41.2%	30.5%	2.6%	-1.9%	308.4M	-8.24B	-34.6M	0.82	28.63	N/A	N/A	1,217,540	1,000,860	5,713,940	6,201,960
2017-01-18	$40.35	$38.50	30.6%	8.8%	19.4%	40.8%	30.7%	3.1%	-2.1%	281.6M	-7.88B	-35.4M	0.84	30.42	N/A	N/A	809,000	675,940	6,013,000	6,527,040
2017-01-19	$40.48	$38.50	30.3%	8.8%	19.2%	39.9%	30.6%	3.2%	-2.3%	385.3M	-8.33B	-35.2M	0.67	33.88	N/A	N/A	1,168,120	786,380	6,166,120	6,648,280
2017-01-20	$40.44	$38.75	30.4%	8.9%	19.1%	41.9%	31.7%	3.2%	-2.3%	261.7M	-8.08B	-35.3M	0.77	36.51	N/A	N/A	1,587,320	1,227,020	6,320,840	6,834,460
2017-01-23	$40.84	$38.75	29.7%	9.1%	19.2%	40.0%	31.8%	2.9%	-1.5%	159.5M	-4.21B	-35.0M	1.05	30.07	N/A	N/A	779,720	821,420	3,474,400	3,808,740
2017-01-24	$41.15	$39.00	28.7%	8.9%	18.9%	37.2%	31.0%	2.6%	-1.4%	245.7M	-5.09B	-35.7M	0.91	32.51	N/A	N/A	872,480	789,840	3,734,600	4,228,340
2017-01-25	$41.85	$39.00	27.6%	8.6%	19.0%	34.0%	30.3%	2.7%	-1.4%	356.0M	-6.75B	-35.3M	0.73	30.42	N/A	N/A	1,489,360	1,087,660	3,894,920	4,505,780
2017-01-26	$41.95	$39.00	28.9%	9.2%	18.5%	37.8%	32.0%	1.9%	-1.6%	342.7M	-6.86B	-36.1M	0.69	34.33	N/A	N/A	1,295,960	900,360	4,038,400	4,732,920
2017-01-27	$41.71	$39.13	28.7%	9.2%	18.8%	38.4%	31.9%	1.8%	-1.6%	185.1M	-6.08B	-36.5M	0.73	34.00	N/A	N/A	1,406,300	1,031,760	4,194,880	4,905,960
2017-01-30	$41.48	$39.25	29.4%	9.9%	18.5%	43.8%	34.3%	1.7%	-1.1%	101.3M	-4.57B	-37.1M	1.00	36.61	N/A	N/A	758,680	758,840	3,603,640	4,067,580
2017-01-31	$41.15	$39.50	29.3%	10.1%	16.9%	43.6%	34.3%	1.7%	-1.2%	84.2M	-4.12B	-38.1M	0.76	31.48	N/A	N/A	634,040	483,640	3,859,240	4,346,680