AMZN Options History — July 2017

In July 2017, AMZN traded between $47.68 and $52.54. ATM implied volatility averaged 27.2%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.1% (HV 20d: 20.1%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.87.

Notable Days

2017-07-28: Highest Volume — 6,407,820 contracts
2017-07-28: Largest IV drop — 25.1% change
2017-07-27: Highest IV Rank — 66.9%
2017-07-27: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.43	$47.68	$52.54	$47.68	$49.53
Max Pain	$48.76	$48.00	$50.00	$48.50	$50.00
ATM IV	27.2%	22.1%	30.5%	30.5%	22.8%
Expected Move	7.5%	6.0%	9.1%	6.7%	6.5%
HV 20d	20.1%	17.4%	24.6%	22.9%	22.5%
HV 60d	18.8%	18.2%	20.0%	18.2%	20.0%
IV Rank	54.1%	36.5%	66.9%	58.2%	42.6%
IV Percentile	67.9%	49.6%	81.7%	78.6%	52.4%
Term Structure	-1.1%	-1.6%	0.2%	-1.1%	-0.7%
VWIV	26.6%	21.6%	32.0%	23.5%	22.9%
Skew 25d	1.5%	-0.2%	2.9%	1.5%	1.4%
Skew 10d	2.6%	-0.3%	5.8%	1.8%	2.3%
Call IV 25d	26.7%	22.1%	30.1%	29.4%	22.4%
Put IV 25d	28.2%	22.9%	31.1%	30.9%	23.8%
Bid-Ask Spread %	26.56	20.41	41.00	22.43	31.47
Gamma HHI	0.05	0.02	0.08	0.03	0.02
Net GEX	293.2M	-280.9M	756.7M	-280.9M	-80.7M
Net DEX	-9.16B	-13.72B	-1.45B	-1.45B	-3.52B
Net VEX	-62.3M	-67.7M	-59.6M	-65.6M	-67.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.70	1.01	0.96	0.99
Total Volume	2,561,367	1,249,040	6,407,820	1,512,340	3,003,140
Total OI	12,037,416	10,044,200	13,540,480	11,531,200	11,270,560

Daily Data (20 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
2017-07-03	$47.68	$48.50	30.5%	6.7%	22.9%	58.2%	23.5%	1.5%	-1.1%	-280.9M	-1.45B	-65.6M	0.96	22.43	N/A	N/A	770,260	742,080	5,094,620	6,436,580
2017-07-05	$48.56	$48.50	29.0%	6.0%	24.1%	53.4%	21.6%	2.3%	-1.1%	-133.9M	-4.20B	-65.0M	0.96	24.44	N/A	N/A	1,051,800	1,005,000	5,253,840	6,594,440
2017-07-06	$48.27	$48.00	29.5%	7.7%	24.0%	55.0%	27.3%	2.6%	-1.6%	-173.1M	-3.20B	-64.2M	0.96	23.62	N/A	N/A	1,025,020	984,480	5,488,580	6,752,460
2017-07-07	$48.94	$48.00	27.6%	7.4%	24.6%	48.5%	26.1%	2.9%	-1.4%	341.5M	-6.52B	-63.2M	0.98	25.15	N/A	N/A	1,315,300	1,283,120	5,696,880	6,914,680
2017-07-10	$49.93	$48.00	28.3%	7.6%	21.5%	56.4%	27.0%	2.1%	-1.3%	310.9M	-9.32B	-62.1M	0.85	20.41	N/A	N/A	1,300,140	1,102,820	5,175,000	6,406,980
2017-07-11	$49.70	$48.00	28.4%	7.7%	21.1%	57.6%	27.7%	2.2%	-1.4%	329.1M	-8.73B	-62.7M	0.90	20.50	N/A	N/A	942,380	846,160	5,433,020	6,628,600
2017-07-12	$50.40	$48.25	27.5%	7.5%	20.1%	54.4%	26.9%	1.9%	-1.3%	756.7M	-12.00B	-60.7M	0.91	23.29	N/A	N/A	1,253,480	1,137,100	5,649,840	6,858,880
2017-07-13	$49.95	$48.25	27.4%	7.5%	20.2%	53.9%	26.7%	1.9%	-1.5%	442.0M	-9.46B	-61.7M	0.92	26.76	N/A	N/A	1,193,500	1,101,420	5,727,240	7,022,960
2017-07-14	$50.09	$48.50	26.2%	7.3%	19.6%	51.8%	26.0%	2.2%	-1.3%	558.5M	-10.29B	-60.8M	0.77	26.14	N/A	N/A	1,363,640	1,053,900	5,843,200	7,244,520
2017-07-17	$50.47	$48.50	26.3%	7.4%	17.4%	52.8%	26.4%	1.9%	-1.0%	493.7M	-10.68B	-59.6M	0.83	30.16	N/A	N/A	1,235,800	1,021,060	5,281,540	6,429,340
2017-07-18	$51.22	$48.50	27.4%	7.8%	18.0%	57.6%	27.7%	1.3%	-0.9%	599.5M	-13.36B	-60.4M	0.79	25.60	N/A	N/A	1,557,440	1,223,180	5,585,780	6,769,520
2017-07-19	$51.38	$48.75	27.0%	7.7%	18.0%	56.1%	27.5%	0.9%	-1.0%	589.6M	-13.57B	-61.2M	0.82	25.68	N/A	N/A	1,181,280	966,800	5,702,620	7,003,300
2017-07-20	$51.45	$48.75	27.2%	7.9%	17.8%	57.4%	27.8%	0.7%	-1.1%	632.7M	-13.72B	-61.3M	0.80	26.59	N/A	N/A	1,341,920	1,076,080	5,938,240	7,224,880
2017-07-21	$51.21	$49.00	26.6%	7.7%	17.9%	54.9%	27.3%	1.1%	-1.2%	360.3M	-12.59B	-61.0M	0.80	27.51	N/A	N/A	1,623,260	1,306,160	6,143,560	7,396,920
2017-07-24	$52.12	$49.25	26.9%	8.0%	18.9%	56.0%	28.3%	0.8%	-0.9%	287.1M	-10.94B	-60.2M	0.72	25.68	N/A	N/A	1,011,140	725,540	4,628,600	5,415,600
2017-07-25	$51.93	$49.50	27.4%	8.3%	18.7%	58.4%	29.0%	1.1%	-1.0%	279.6M	-10.49B	-61.3M	0.77	26.79	N/A	N/A	707,560	541,480	4,908,880	5,675,420
2017-07-26	$52.54	$49.50	26.3%	8.0%	17.8%	53.9%	28.3%	1.1%	-0.9%	366.8M	-12.08B	-60.1M	0.93	25.96	N/A	N/A	951,780	880,840	5,074,400	5,829,040
2017-07-27	$52.20	$49.50	29.5%	9.1%	18.0%	66.9%	32.0%	-0.2%	-1.5%	297.7M	-10.97B	-62.9M	0.70	41.00	N/A	N/A	2,937,720	2,055,740	5,295,940	6,078,680
2017-07-28	$51.06	$50.00	22.1%	6.2%	19.4%	36.5%	22.2%	0.8%	0.2%	-112.8M	-6.11B	-63.5M	1.01	31.93	N/A	N/A	3,192,300	3,215,520	6,101,700	6,771,480
2017-07-31	$49.53	$50.00	22.8%	6.5%	22.5%	42.6%	22.9%	1.4%	-0.7%	-80.7M	-3.52B	-67.7M	0.99	31.47	N/A	N/A	1,506,300	1,496,840	5,200,800	6,069,760