AMZN Options History — May 2017 In May 2017, AMZN traded between $46.68 and $49.93. ATM implied volatility averaged 17.2%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.1% (HV 20d: 16.1%). Max pain ranged from $42.50 to $46.25. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2017-05-25 : Highest Volume — 5,174,620 contracts2017-05-17 : Largest IV spike — 22.7% change2017-05-17 : Highest IV Rank — 22.4%2017-05-17 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $48.07 $46.68 $49.93 $47.58 $49.73 Max Pain $44.57 $42.50 $46.25 $45.00 $46.25 ATM IV 17.2% 16.1% 19.8% 16.7% 18.1% Expected Move 4.9% 4.4% 5.7% 4.7% 5.1% HV 20d 16.1% 14.1% 17.3% 16.9% 14.1% HV 60d 13.9% 13.2% 15.3% 15.3% 14.3% IV Rank 13.5% 9.9% 22.4% 11.7% 16.7% IV Percentile 19.3% 7.5% 33.3% 11.1% 31.7% Term Structure 0.4% -0.2% 0.8% 0.3% -0.1% VWIV 18.0% 16.5% 20.5% 17.2% 18.2% Skew 25d 1.3% 0.8% 2.8% 1.6% 1.1% Skew 10d 2.7% 1.5% 5.1% 2.3% 2.7% Call IV 25d 16.9% 15.8% 18.7% 16.1% 17.9% Put IV 25d 18.2% 17.1% 21.5% 17.8% 19.1% Bid-Ask Spread % 23.65 14.99 45.20 44.15 39.23 Gamma HHI 0.07 0.04 0.20 0.05 0.06 Net GEX 500.9M -211.5M 1.49B 436.8M 456.2M Net DEX -10.48B -15.04B -6.77B -10.20B -11.95B Net VEX -55.5M -60.3M -47.0M -47.0M -60.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.68 1.10 0.84 0.90 Total Volume 2,681,641.818 1,523,700 5,174,620 3,287,100 2,430,040 Total OI 11,635,785.455 9,619,400 13,640,680 9,619,400 12,438,600
Daily Data (22 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 2017-05-01 $47.58 $45.00 16.7% 4.7% 16.9% 11.7% 17.2% 1.6% 0.3% 436.8M -10.20B -47.0M 0.84 44.15 N/A N/A 1,785,380 1,501,720 4,373,380 5,246,020 2017-05-02 $47.20 $45.25 16.4% 4.7% 17.3% 10.7% 16.8% 1.7% 0.5% 298.0M -8.81B -48.9M 0.82 45.20 N/A N/A 1,085,860 888,520 4,728,920 5,693,180 2017-05-03 $46.98 $45.25 16.5% 4.7% 16.9% 11.2% 17.2% 1.6% 0.5% 190.2M -8.03B -50.8M 0.83 41.58 N/A N/A 1,106,700 920,100 4,980,180 5,908,160 2017-05-04 $46.90 $42.50 16.8% 5.0% 16.9% 12.1% 18.1% 1.6% 0.5% 179.9M -7.87B -51.5M 0.82 19.47 N/A N/A 983,020 803,340 5,196,420 6,139,120 2017-05-05 $46.68 $42.50 16.7% 4.9% 15.8% 11.7% 17.7% 1.5% 0.5% -211.5M -6.88B -51.6M 0.74 19.67 N/A N/A 1,668,900 1,237,060 5,380,580 6,275,260 2017-05-08 $47.29 $42.75 17.6% 5.2% 16.1% 15.0% 18.9% 1.1% 0.4% 480.5M -9.38B -52.9M 0.91 21.08 N/A N/A 1,159,460 1,054,780 4,786,460 5,516,080 2017-05-09 $47.56 $43.25 17.3% 5.1% 15.7% 14.0% 18.6% 1.1% 0.5% 613.0M -10.39B -53.7M 0.80 17.57 N/A N/A 1,279,360 1,022,120 5,089,800 5,994,780 2017-05-10 $47.38 $43.50 17.3% 5.1% 15.6% 14.0% 18.9% 1.1% 0.3% 353.6M -9.33B -55.4M 0.81 15.09 N/A N/A 843,820 679,880 5,221,260 6,296,300 2017-05-11 $47.39 $44.00 17.1% 5.0% 15.4% 13.1% 18.2% 1.3% 0.5% 505.3M -9.49B -56.2M 0.79 16.42 N/A N/A 1,141,820 905,580 5,381,660 6,454,300 2017-05-12 $48.08 $44.00 17.6% 5.2% 14.7% 15.0% 18.8% 1.3% 0.8% 1.49B -13.05B -55.4M 0.76 17.19 N/A N/A 2,373,060 1,799,100 5,537,480 6,709,780 2017-05-15 $47.84 $44.25 16.8% 4.9% 15.0% 12.2% 18.1% 0.9% 0.7% 384.5M -10.17B -55.9M 1.03 14.99 N/A N/A 1,051,140 1,079,980 5,136,220 6,147,540 2017-05-16 $48.32 $44.50 16.2% 4.7% 14.8% 10.1% 17.3% 0.8% 0.6% 602.2M -12.12B -56.4M 0.79 16.15 N/A N/A 1,497,480 1,188,480 5,338,800 6,592,020 2017-05-17 $47.34 $44.75 19.8% 5.7% 16.7% 22.4% 20.5% 2.8% -0.2% -146.0M -6.77B -60.3M 1.10 34.35 N/A N/A 1,494,920 1,637,480 5,531,940 6,815,280 2017-05-18 $47.96 $45.00 17.9% 5.1% 17.1% 15.8% 18.8% 1.9% 0.7% 304.7M -10.22B -59.4M 0.95 22.05 N/A N/A 1,557,940 1,476,420 5,730,260 7,165,260 2017-05-19 $48.11 $45.00 16.7% 4.7% 16.8% 11.9% 17.2% 1.4% 0.4% 1.05B -11.40B -58.5M 0.98 21.06 N/A N/A 1,951,640 1,904,560 6,057,400 7,583,280 2017-05-22 $48.45 $45.25 16.9% 4.7% 16.6% 12.6% 17.4% 1.5% 0.6% 301.4M -9.80B -57.9M 0.91 17.23 N/A N/A 988,540 897,680 4,766,380 5,972,460 2017-05-23 $48.48 $45.25 16.8% 4.7% 16.6% 12.2% 17.1% 1.2% 0.4% 360.2M -9.95B -58.1M 0.92 18.79 N/A N/A 964,560 891,440 5,000,460 6,228,840 2017-05-24 $48.94 $45.25 16.1% 4.4% 16.7% 9.9% 16.5% 1.3% 0.6% 735.9M -11.91B -58.1M 0.87 20.69 N/A N/A 1,067,620 930,020 5,199,780 6,443,320 2017-05-25 $49.74 $45.25 17.1% 4.8% 17.2% 13.2% 17.5% 0.8% 0.4% 869.8M -15.04B -56.1M 0.68 22.76 N/A N/A 3,087,520 2,087,100 5,390,580 6,618,760 2017-05-26 $49.69 $45.75 17.3% 4.8% 17.2% 14.0% 17.4% 0.9% 0.4% 1.13B -14.59B -58.2M 0.85 18.14 N/A N/A 2,345,740 1,988,540 5,989,020 7,150,400 2017-05-30 $49.93 $46.00 18.7% 5.2% 14.4% 18.6% 19.2% 1.0% -0.1% 638.6M -13.22B -59.0M 1.04 17.41 N/A N/A 1,097,300 1,140,400 5,421,240 6,360,320 2017-05-31 $49.73 $46.25 18.1% 5.1% 14.1% 16.7% 18.2% 1.1% -0.1% 456.2M -11.95B -60.0M 0.90 39.23 N/A N/A 1,277,940 1,152,100 5,662,900 6,775,700
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