AMZN Options History — March 2017 In March 2017, AMZN traded between $42.19 and $44.44. ATM implied volatility averaged 16.8%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 6.1% (HV 20d: 10.7%). Max pain ranged from $40.25 to $42.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.09.
Notable Days 2017-03-31 : Highest Volume — 4,136,000 contracts2017-03-27 : Largest IV spike — 25.9% change2017-03-29 : Highest IV Rank — 34.0%2017-03-06 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $42.71 $42.19 $44.44 $42.67 $44.44 Max Pain $41.30 $40.25 $42.00 $41.50 $42.00 ATM IV 16.8% 13.2% 24.8% 16.0% 24.5% Expected Move 4.3% 3.8% 4.7% 4.5% 4.6% HV 20d 10.7% 8.7% 17.4% 17.4% 11.8% HV 60d 16.3% 15.4% 17.8% 17.7% 15.5% IV Rank 8.9% 0.0% 34.0% 2.2% 33.1% IV Percentile 12.8% 0.0% 52.0% 1.2% 50.0% Term Structure 2.4% -0.1% 10.1% 0.4% 1.1% VWIV 15.4% 13.7% 17.0% 16.5% 17.0% Skew 25d 2.0% 1.2% 3.5% 1.4% 2.7% Skew 10d 4.1% 2.6% 8.1% 2.6% 5.6% Call IV 25d 15.9% 12.4% 24.3% 15.6% 23.8% Put IV 25d 17.9% 13.9% 26.5% 17.0% 26.5% Bid-Ask Spread % 29.03 13.88 55.46 48.20 14.86 Gamma HHI 0.07 0.03 0.25 0.06 0.11 Net GEX 196.3M -467.5M 607.7M 473.8M 607.7M Net DEX -4.90B -10.31B -1.78B -5.78B -10.31B Net VEX -44.1M -46.7M -41.9M -42.2M -46.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.09 0.82 1.43 1.07 0.82 Total Volume 2,002,743.478 1,339,280 4,136,000 1,749,000 4,136,000 Total OI 9,442,366.087 8,104,560 10,643,680 9,038,840 10,643,680
Daily Data (23 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 2017-03-01 $42.67 $41.50 16.0% 4.5% 17.4% 2.2% 16.5% 1.4% 0.4% 473.8M -5.78B -42.2M 1.07 48.20 N/A N/A 845,520 903,480 4,222,280 4,816,560 2017-03-02 $42.41 $41.50 15.4% 4.2% 17.2% 0.3% 15.2% 1.5% 0.5% 162.2M -4.58B -42.0M 0.92 53.81 N/A N/A 822,660 755,360 4,293,940 5,058,760 2017-03-03 $42.46 $41.63 14.5% 3.8% 17.0% 0.0% 13.7% 1.2% 0.6% 494.2M -4.84B -42.2M 0.98 55.46 N/A N/A 1,061,780 1,037,540 4,418,760 5,206,360 2017-03-06 $42.31 $40.25 15.2% 4.7% 10.4% 2.1% 16.8% 1.4% 0.2% 134.7M -4.18B -41.9M 0.93 31.66 N/A N/A 871,800 811,060 3,903,560 4,553,440 2017-03-07 $42.24 $40.50 14.7% 4.6% 10.2% 0.5% 16.7% 1.6% 0.2% 116.7M -4.01B -42.9M 1.19 35.26 N/A N/A 654,660 778,200 4,129,020 4,812,520 2017-03-08 $42.52 $40.50 14.5% 4.5% 10.3% 0.2% 16.4% 1.8% 0.3% 348.7M -5.21B -42.0M 1.05 34.62 N/A N/A 874,180 921,140 4,257,660 5,044,360 2017-03-09 $42.69 $40.75 14.1% 4.4% 9.9% 0.0% 15.7% 1.9% 0.4% 507.9M -5.87B -42.8M 1.16 39.75 N/A N/A 923,720 1,074,240 4,404,320 5,209,580 2017-03-10 $42.62 $40.75 14.3% 4.4% 10.0% 0.7% 15.7% 1.9% 0.3% 463.6M -5.70B -42.6M 0.96 41.16 N/A N/A 1,145,560 1,095,320 4,533,660 5,414,600 2017-03-13 $42.74 $41.00 14.1% 4.3% 9.9% 0.1% 15.6% 1.8% 0.7% 265.1M -5.15B -43.2M 1.43 41.55 N/A N/A 551,820 787,460 4,125,340 4,826,880 2017-03-14 $42.55 $41.00 13.8% 4.2% 9.3% 0.0% 15.3% 1.9% 0.8% 107.7M -4.51B -43.2M 1.19 17.54 N/A N/A 713,880 848,600 4,277,180 5,096,120 2017-03-15 $42.66 $41.00 13.7% 4.1% 9.3% 0.0% 14.9% 1.7% 0.8% 274.1M -5.15B -43.6M 1.12 22.75 N/A N/A 742,400 831,860 4,410,780 5,282,860 2017-03-16 $42.68 $41.00 13.9% 4.2% 8.9% 0.8% 14.9% 1.6% 0.8% 263.0M -5.21B -43.7M 1.29 20.19 N/A N/A 693,940 891,940 4,540,920 5,524,180 2017-03-17 $42.66 $41.25 13.4% 4.0% 8.9% 0.0% 14.4% 1.5% 0.9% 318.9M -5.03B -43.8M 1.06 19.10 N/A N/A 878,000 926,780 4,628,260 5,725,520 2017-03-20 $42.83 $41.25 13.2% 3.8% 9.0% 0.0% 14.0% 1.7% 10.1% 187.1M -4.56B -43.2M 1.13 13.88 N/A N/A 812,620 919,700 3,692,120 4,412,440 2017-03-21 $42.19 $41.50 15.8% 4.5% 9.3% 7.5% 16.0% 2.0% 9.1% -285.5M -1.78B -46.1M 1.13 22.25 N/A N/A 1,411,980 1,589,780 3,970,280 4,894,020 2017-03-22 $42.35 $41.50 15.3% 4.4% 9.4% 6.1% 15.5% 2.0% 9.4% -240.1M -2.36B -46.7M 1.18 22.21 N/A N/A 723,700 853,840 4,198,740 5,153,820 2017-03-23 $42.31 $41.75 17.1% 4.3% 9.1% 11.5% 15.4% 2.2% 9.2% -334.1M -2.17B -46.5M 1.08 18.81 N/A N/A 673,840 730,720 4,333,280 5,333,960 2017-03-24 $42.34 $41.75 18.1% 4.1% 8.8% 14.5% 14.8% 2.1% 9.8% -467.5M -2.30B -45.9M 1.34 48.14 N/A N/A 852,380 1,146,440 4,419,960 5,452,320 2017-03-27 $42.41 $41.75 22.8% 4.1% 8.7% 28.3% 14.9% 3.0% -0.1% -89.7M -3.08B -45.3M 0.99 14.77 N/A N/A 957,700 950,580 3,902,080 4,759,180 2017-03-28 $42.81 $41.75 23.3% 3.9% 9.1% 29.7% 13.8% 3.5% 0.2% 240.1M -4.91B -45.6M 1.13 17.16 N/A N/A 1,039,800 1,172,560 4,180,940 5,072,200 2017-03-29 $43.75 $42.00 24.8% 4.4% 11.2% 34.0% 16.0% 3.0% 0.1% 455.3M -8.17B -45.6M 0.86 18.58 N/A N/A 1,937,320 1,665,860 4,354,280 5,378,320 2017-03-30 $43.78 $42.00 24.6% 4.3% 10.8% 33.5% 15.9% 2.0% 0.1% 511.6M -7.86B -46.6M 0.98 15.99 N/A N/A 1,034,440 1,010,940 4,563,820 5,741,560 2017-03-31 $44.44 $42.00 24.5% 4.6% 11.8% 33.1% 17.0% 2.7% 1.1% 607.7M -10.31B -46.7M 0.82 14.86 N/A N/A 2,270,000 1,866,000 4,717,260 5,926,420
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