AMZN Options History — February 2017

In February 2017, AMZN traded between $40.34 and $42.79. ATM implied volatility averaged 18.1%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.1% (HV 20d: 18.0%). Max pain ranged from $39.50 to $41.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2017-02-03: Highest Volume — 6,021,300 contracts
  • 2017-02-03: Largest IV drop — 34.9% change
  • 2017-02-01: Highest IV Rank — 46.1%
  • 2017-02-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.76$40.34$42.79$41.64$42.20
Max Pain$40.74$39.50$41.50$39.50$41.50
ATM IV18.1%15.3%30.1%30.1%16.6%
Expected Move5.3%4.5%10.7%10.7%4.6%
HV 20d18.0%17.0%19.8%17.0%17.4%
HV 60d20.1%18.0%23.4%23.4%18.0%
IV Rank8.8%0.0%46.1%46.1%4.2%
IV Percentile9.8%0.0%54.4%54.4%3.6%
Term Structure0.2%-1.7%0.9%-1.6%0.2%
VWIV19.0%16.4%36.5%36.5%16.8%
Skew 25d1.2%0.3%2.2%1.7%1.6%
Skew 10d2.1%0.1%3.0%3.0%3.0%
Call IV 25d17.8%14.8%29.0%29.0%16.2%
Put IV 25d19.0%15.9%30.7%30.7%17.8%
Bid-Ask Spread %38.4124.9352.1834.5352.18
Gamma HHI0.080.020.290.020.04
Net GEX262.5M-400.0M812.0M130.0M121.7M
Net DEX-5.07B-6.99B-2.20B-5.12B-4.07B
Net VEX-39.6M-42.6M-36.6M-38.1M-42.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.621.280.620.95
Total Volume2,432,922.1051,495,0006,021,3001,608,2601,495,000
Total OI9,401,601.0537,818,50010,852,9208,499,1208,746,620

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$41.64$39.5030.1%10.7%17.0%46.1%36.5%1.7%-1.6%130.0M-5.12B-38.1M0.6234.53N/AN/A991,220617,0404,003,1404,495,980
2017-02-02$41.98$40.0029.4%7.8%17.0%43.9%27.8%2.2%-1.7%197.2M-6.07B-38.1M1.1226.55N/AN/A1,822,4602,034,6804,315,5604,679,220
2017-02-03$40.50$40.2519.2%5.7%19.8%11.8%20.2%0.3%0.3%-232.8M-2.34B-36.6M1.1224.93N/AN/A2,838,4003,182,9005,057,1805,625,140
2017-02-06$40.34$40.2517.6%5.2%18.7%6.9%18.7%1.0%0.5%-46.3M-2.20B-38.4M1.1332.91N/AN/A969,0601,099,4204,108,3604,599,240
2017-02-07$40.60$40.2516.9%5.0%18.8%4.5%18.1%1.1%0.7%66.5M-3.08B-38.7M1.1235.79N/AN/A973,9001,090,0604,376,8204,906,340
2017-02-08$41.00$40.2516.7%5.0%19.0%3.9%17.9%1.3%0.7%270.2M-4.35B-39.5M1.2833.42N/AN/A968,5601,236,4204,577,6005,211,640
2017-02-09$41.12$40.2516.3%4.8%19.0%2.8%17.4%1.1%0.7%413.8M-4.85B-39.7M0.9535.23N/AN/A902,880858,6604,715,9205,471,100
2017-02-10$41.37$40.5015.3%4.5%18.0%0.0%16.4%1.1%0.9%812.0M-5.86B-39.0M0.9337.53N/AN/A1,170,3001,089,4604,823,8005,667,180
2017-02-13$41.85$40.5016.3%4.7%18.3%3.3%16.9%1.1%0.3%399.4M-6.15B-38.5M1.0134.45N/AN/A1,335,6601,346,8804,248,4604,856,400
2017-02-14$41.75$40.7516.3%4.7%17.7%3.2%16.9%1.0%0.3%313.0M-5.50B-39.2M0.9738.24N/AN/A776,620757,0604,463,4405,216,960
2017-02-15$42.09$41.0016.5%4.7%17.8%3.9%17.1%1.1%0.2%573.5M-6.80B-38.5M1.0338.28N/AN/A865,600891,5004,621,0605,434,100
2017-02-16$42.17$41.0016.8%4.8%17.8%4.8%17.2%1.1%0.2%609.5M-6.81B-39.2M0.7937.10N/AN/A1,291,3001,025,1404,778,1605,676,720
2017-02-17$42.20$41.0016.5%4.7%17.8%4.0%17.0%1.1%0.3%668.8M-6.99B-40.8M0.9134.03N/AN/A1,534,4001,399,4604,978,0005,874,920
2017-02-21$42.78$41.2516.8%4.7%18.1%4.7%17.3%1.1%0.3%367.5M-6.14B-39.5M0.9039.96N/AN/A1,255,6601,131,2203,633,1604,185,340
2017-02-22$42.79$41.3816.7%4.7%18.0%4.4%17.4%1.3%0.3%374.2M-6.19B-40.0M0.8546.35N/AN/A982,000832,3803,919,3604,568,240
2017-02-23$42.50$41.5017.1%4.8%17.3%5.7%17.5%1.4%0.3%109.1M-5.20B-41.9M0.8550.00N/AN/A1,271,8601,080,7804,180,3804,782,820
2017-02-24$42.22$41.5017.0%4.8%17.5%5.5%17.1%1.5%0.4%-400.0M-3.81B-42.0M0.9647.46N/AN/A1,716,0201,654,8404,476,0405,036,060
2017-02-27$42.41$41.5016.7%4.6%17.4%4.5%16.7%1.5%0.2%240.0M-4.81B-42.6M0.8150.87N/AN/A958,020778,7003,911,3804,408,580
2017-02-28$42.20$41.5016.6%4.6%17.4%4.2%16.8%1.6%0.2%121.7M-4.07B-42.6M0.9552.18N/AN/A767,760727,2404,109,4604,637,160