AMZN Options History — April 2017

In April 2017, AMZN traded between $44.26 and $46.23. ATM implied volatility averaged 26.7%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 11.9% (HV 20d: 14.8%). Max pain ranged from $42.38 to $44.75. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-04-28: Highest Volume — 6,470,540 contracts
  • 2017-04-28: Largest IV drop — 38.6% change
  • 2017-04-17: Highest IV Rank — 53.8%
  • 2017-04-27: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.15$44.26$46.23$44.64$46.23
Max Pain$43.38$42.38$44.75$42.38$44.75
ATM IV26.7%16.9%29.5%26.3%16.9%
Expected Move7.2%4.8%8.5%4.8%4.8%
HV 20d14.8%11.6%16.5%11.6%14.6%
HV 60d14.4%14.1%14.7%14.3%14.3%
IV Rank43.4%12.4%53.8%38.4%12.4%
IV Percentile59.8%14.7%69.0%60.3%14.7%
Term Structure-1.1%-1.8%-0.4%-1.3%-0.4%
VWIV25.4%17.3%29.6%17.7%17.3%
Skew 25d2.2%1.5%3.1%1.9%1.5%
Skew 10d4.1%2.4%5.3%5.3%2.7%
Call IV 25d25.8%16.5%28.0%25.9%16.5%
Put IV 25d28.0%18.0%30.8%27.9%18.0%
Bid-Ask Spread %27.279.7442.0114.0938.82
Gamma HHI0.060.020.170.050.12
Net GEX116.7M-589.4M432.1M312.9M429.1M
Net DEX-7.05B-10.38B-3.41B-8.20B-8.55B
Net VEX-49.6M-52.8M-46.5M-46.5M-46.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.651.151.150.93
Total Volume2,596,030.526629,8006,470,5401,974,0606,470,540
Total OI10,793,463.1588,683,42012,269,0809,318,38011,214,980

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$44.64$42.3826.3%4.8%11.6%38.4%17.7%1.9%-1.3%312.9M-8.20B-46.5M1.1514.09N/AN/A916,0801,057,9804,228,7005,089,680
2017-04-04$45.30$42.5027.1%5.1%12.2%40.7%18.7%1.6%-1.1%419.1M-9.89B-46.7M0.9910.69N/AN/A1,569,3601,546,5204,420,3405,502,240
2017-04-05$45.59$42.5028.4%5.6%12.2%44.7%20.1%2.4%-1.0%399.7M-10.38B-47.5M0.899.74N/AN/A2,513,6202,240,7604,631,7405,954,220
2017-04-06$44.86$43.0028.5%7.6%14.1%45.1%26.5%2.4%-1.8%-143.8M-6.48B-50.7M0.8529.70N/AN/A2,111,7001,798,4405,101,4406,531,480
2017-04-07$44.75$43.2527.9%7.5%14.1%45.0%26.3%2.2%-1.6%-246.7M-5.92B-51.6M0.9529.19N/AN/A2,021,1201,915,6605,497,2806,771,800
2017-04-10$45.34$43.2528.6%7.8%14.6%47.5%27.6%2.5%-1.0%237.6M-8.21B-49.9M0.7826.89N/AN/A1,259,960977,8204,765,7805,810,760
2017-04-11$45.04$43.2529.5%8.0%14.7%50.7%28.3%2.6%-1.4%92.1M-7.07B-52.4M0.9720.94N/AN/A1,038,8201,010,3205,134,6206,128,900
2017-04-12$44.83$43.5029.2%8.0%15.0%52.1%28.3%3.1%-1.2%-125.7M-6.16B-52.8M0.9726.94N/AN/A872,720848,7805,317,7206,358,080
2017-04-13$44.26$43.5028.4%7.8%15.9%51.4%27.3%2.8%-1.6%-589.4M-3.41B-51.9M1.1426.85N/AN/A1,476,0201,684,1805,456,0006,518,100
2017-04-17$44.63$43.5029.1%8.2%16.0%53.8%29.2%2.5%-1.2%55.3M-5.84B-51.5M1.0129.26N/AN/A313,760316,0404,902,6805,905,120
2017-04-18$45.21$43.5026.8%7.6%16.5%46.0%26.7%2.4%-0.9%406.1M-8.16B-49.9M0.6532.29N/AN/A1,144,220746,7405,122,5606,046,400
2017-04-19$44.91$43.5026.4%7.6%15.5%44.6%26.8%2.4%-0.9%176.8M-6.90B-49.9M0.9631.41N/AN/A1,065,7601,020,0405,262,4406,190,060
2017-04-20$45.13$43.5025.5%7.3%15.5%41.4%26.1%2.3%-0.8%432.1M-7.73B-49.7M0.7933.91N/AN/A1,118,300879,8805,394,7606,481,420
2017-04-21$44.91$43.5025.1%7.3%15.7%40.3%25.8%2.5%-0.9%-118.8M-6.21B-49.3M0.7537.99N/AN/A1,338,5201,003,0005,378,1406,579,100
2017-04-24$45.41$43.5024.9%7.4%16.0%39.7%26.1%2.0%-0.9%108.3M-5.84B-48.1M0.9525.67N/AN/A695,040659,6603,876,9804,806,440
2017-04-25$45.37$43.5025.1%7.5%16.0%40.3%26.3%1.8%-0.9%108.7M-5.82B-48.5M1.0425.86N/AN/A607,540629,1404,124,0805,040,040
2017-04-26$45.46$43.7525.8%7.9%15.9%42.6%27.7%1.5%-1.2%110.1M-6.06B-49.4M1.0725.86N/AN/A641,700684,6804,298,4605,266,700
2017-04-27$45.92$44.0027.5%8.5%14.6%48.1%29.6%1.6%-1.2%153.6M-7.07B-49.7M0.8442.01N/AN/A1,699,8201,430,3404,479,6605,486,900
2017-04-28$46.23$44.7516.9%4.8%14.6%12.4%17.3%1.5%-0.4%429.1M-8.55B-46.5M0.9338.82N/AN/A3,360,3203,110,2205,133,6206,081,360