AMZN Options History — June 2017 In June 2017, AMZN traded between $48.03 and $50.61. ATM implied volatility averaged 21.7%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.2% (HV 20d: 19.6%). Max pain ranged from $46.50 to $48.75. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.96.
Notable Days 2017-06-16 : Highest Volume — 6,714,380 contracts2017-06-09 : Largest IV spike — 34.8% change2017-06-29 : Highest IV Rank — 57.3%2017-06-12 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $49.50 $48.03 $50.61 $49.75 $48.55 Max Pain $47.88 $46.50 $48.75 $46.50 $48.50 ATM IV 21.7% 16.4% 30.2% 17.2% 29.3% Expected Move 5.7% 4.6% 6.7% 4.6% 6.0% HV 20d 19.6% 13.6% 22.8% 13.9% 22.5% HV 60d 16.9% 14.3% 18.3% 14.3% 18.1% IV Rank 28.8% 10.9% 57.3% 13.6% 54.4% IV Percentile 43.9% 9.9% 77.0% 24.6% 73.8% Term Structure 1.7% -1.1% 8.4% 0.1% -0.6% VWIV 20.5% 16.6% 23.8% 16.6% 21.0% Skew 25d 1.8% 1.1% 3.4% 1.1% 2.6% Skew 10d 3.3% 1.5% 5.6% 2.4% 1.5% Call IV 25d 21.0% 16.2% 28.9% 16.9% 28.3% Put IV 25d 22.8% 17.5% 31.8% 18.0% 31.0% Bid-Ask Spread % 22.14 15.19 42.59 21.66 30.14 Gamma HHI 0.06 0.03 0.20 0.09 0.09 Net GEX 173.6M -883.1M 1.67B 665.9M -883.1M Net DEX -8.46B -14.97B -1.69B -12.21B -1.69B Net VEX -63.6M -68.1M -57.4M -60.0M -66.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.72 1.21 0.79 1.05 Total Volume 2,893,135.455 1,834,660 6,714,380 2,039,920 2,718,620 Total OI 12,692,390 10,866,800 14,530,000 12,854,320 13,391,020
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 2017-06-01 $49.75 $46.50 17.2% 4.6% 13.9% 13.6% 16.6% 1.1% 0.1% 665.9M -12.21B -60.0M 0.79 21.66 N/A N/A 1,140,900 899,020 5,859,180 6,995,140 2017-06-02 $50.27 $46.63 17.0% 4.7% 14.0% 12.9% 17.1% 1.1% 0.1% 1.67B -14.97B -58.5M 0.74 15.25 N/A N/A 2,518,800 1,868,700 5,981,120 7,117,140 2017-06-05 $50.61 $47.00 16.8% 5.3% 13.7% 12.3% 19.1% 1.2% 0.7% 683.0M -14.27B -57.4M 1.06 15.34 N/A N/A 1,082,900 1,148,140 5,383,000 6,435,000 2017-06-06 $50.23 $47.25 16.9% 5.2% 13.8% 12.4% 18.7% 1.1% 0.5% 408.3M -12.39B -59.7M 0.89 17.77 N/A N/A 1,274,620 1,136,880 5,556,080 6,786,680 2017-06-07 $50.48 $47.50 16.4% 5.1% 13.8% 10.9% 18.4% 1.2% 0.8% 455.5M -13.19B -58.9M 0.94 15.19 N/A N/A 954,760 895,420 5,692,640 7,071,100 2017-06-08 $50.51 $47.50 17.0% 5.3% 13.6% 13.0% 19.4% 1.3% 0.4% 584.9M -13.51B -59.1M 1.03 15.54 N/A N/A 905,300 929,360 5,791,760 7,236,780 2017-06-09 $48.59 $47.50 22.9% 6.7% 20.2% 32.9% 23.4% 2.2% 0.1% -434.2M -3.49B -63.5M 1.06 37.95 N/A N/A 2,833,320 2,992,660 5,940,180 7,458,260 2017-06-12 $48.03 $47.75 23.5% 6.7% 20.1% 34.9% 23.8% 2.2% 0.1% -141.1M -4.21B -64.0M 1.02 28.06 N/A N/A 1,671,900 1,704,900 5,562,860 6,944,260 2017-06-13 $49.13 $47.75 19.8% 5.8% 21.5% 22.4% 20.8% 2.3% 0.5% 159.2M -8.79B -64.1M 0.93 20.58 N/A N/A 1,482,300 1,379,820 5,933,320 7,241,380 2017-06-14 $48.75 $48.00 21.0% 6.1% 21.5% 26.2% 21.5% 1.8% 0.3% 60.0M -7.33B -64.8M 0.93 24.72 N/A N/A 1,297,060 1,209,020 6,199,420 7,524,340 2017-06-15 $48.16 $48.00 23.0% 6.5% 20.6% 33.1% 23.4% 2.5% -0.5% -362.1M -4.28B -65.0M 1.07 23.72 N/A N/A 1,679,120 1,790,760 6,368,720 7,689,160 2017-06-16 $49.47 $48.00 20.9% 6.2% 22.2% 26.0% 21.9% 1.5% 1.0% 722.1M -11.98B -64.7M 0.72 23.51 N/A N/A 3,900,440 2,813,940 6,664,980 7,865,020 2017-06-19 $49.73 $48.00 19.2% 5.5% 22.3% 20.4% 20.5% 1.8% 6.5% 279.2M -8.35B -63.6M 0.96 16.87 N/A N/A 1,300,100 1,251,280 4,977,800 5,889,000 2017-06-20 $49.63 $48.00 20.5% 5.9% 22.2% 24.8% 21.2% 1.7% 6.5% 187.3M -7.72B -65.7M 1.05 18.09 N/A N/A 1,139,620 1,194,760 5,244,580 6,319,560 2017-06-21 $50.03 $48.25 19.3% 5.5% 22.3% 20.5% 20.0% 1.8% 7.0% 338.2M -9.35B -64.8M 0.85 16.95 N/A N/A 1,011,680 864,540 5,458,860 6,656,520 2017-06-22 $50.08 $48.38 20.5% 5.4% 22.1% 24.8% 19.7% 1.5% 8.4% 451.3M -9.49B -65.7M 1.00 15.30 N/A N/A 954,280 957,700 5,626,820 6,912,500 2017-06-23 $50.06 $48.50 21.7% 5.3% 21.4% 28.6% 19.4% 1.7% 8.4% 356.6M -9.29B -65.0M 0.96 20.85 N/A N/A 1,303,820 1,245,340 5,696,740 7,114,500 2017-06-26 $49.68 $48.50 27.1% 5.7% 21.6% 46.9% 20.5% 1.9% -0.9% -12.2M -6.93B -65.1M 1.21 15.69 N/A N/A 1,064,200 1,289,020 4,908,840 6,343,720 2017-06-27 $48.95 $48.50 28.8% 6.2% 22.1% 52.8% 22.0% 2.0% -1.0% -364.7M -3.80B -67.3M 1.01 26.45 N/A N/A 1,189,680 1,199,280 5,225,180 6,773,900 2017-06-28 $49.44 $48.50 28.9% 5.4% 22.4% 52.9% 19.7% 2.1% -0.6% -276.1M -5.90B -66.2M 1.11 24.87 N/A N/A 1,121,580 1,242,140 5,454,820 7,005,980 2017-06-29 $48.86 $48.75 30.2% 6.4% 22.8% 57.3% 22.5% 3.4% -1.1% -728.2M -3.01B -68.1M 0.83 42.59 N/A N/A 1,693,420 1,397,880 5,647,000 7,287,720 2017-06-30 $48.55 $48.50 29.3% 6.0% 22.5% 54.4% 21.0% 2.6% -0.6% -883.1M -1.69B -66.9M 1.05 30.14 N/A N/A 1,327,620 1,391,000 5,947,040 7,443,980
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