AMZN Options History — August 2017 In August 2017, AMZN traded between $47.27 and $49.84. ATM implied volatility averaged 20.4%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.8% (HV 20d: 19.6%). Max pain ranged from $48.50 to $50.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.96.
Notable Days 2017-08-24 : Highest Volume — 3,888,960 contracts2017-08-22 : Largest IV drop — 11.5% change2017-08-10 : Highest IV Rank — 42.7%2017-08-10 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $48.56 $47.27 $49.84 $49.74 $48.99 Max Pain $49.10 $48.50 $50.00 $50.00 $48.50 ATM IV 20.4% 18.8% 22.9% 21.3% 19.7% Expected Move 5.7% 5.1% 6.5% 5.9% 5.1% HV 20d 19.6% 16.2% 21.4% 21.3% 17.9% HV 60d 20.2% 19.8% 20.7% 20.0% 20.7% IV Rank 32.0% 24.6% 42.7% 36.0% 28.9% IV Percentile 39.9% 30.6% 52.8% 46.4% 33.3% Term Structure 0.4% -0.4% 0.7% -0.4% 0.4% VWIV 20.5% 18.2% 23.2% 21.3% 18.6% Skew 25d 1.9% 1.0% 2.8% 1.3% 1.7% Skew 10d 3.4% 2.1% 4.8% 2.6% 2.8% Call IV 25d 19.9% 18.0% 21.9% 20.9% 19.3% Put IV 25d 21.7% 20.2% 24.3% 22.3% 21.0% Bid-Ask Spread % 36.55 15.96 51.65 35.17 48.29 Gamma HHI 0.06 0.02 0.35 0.02 0.05 Net GEX -220.1M -1.17B 799.3M -39.2M 799.3M Net DEX -2.77B -9.40B 1.71B -4.23B -9.40B Net VEX -71.8M -78.9M -68.6M -68.6M -78.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.71 1.16 1.01 0.89 Total Volume 2,426,050.435 1,567,820 3,888,960 2,298,080 2,888,300 Total OI 13,173,039.13 11,893,280 14,681,940 12,070,120 14,681,940
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 2017-08-01 $49.74 $50.00 21.3% 5.9% 21.3% 36.0% 21.3% 1.3% -0.4% -39.2M -4.23B -68.6M 1.01 35.17 N/A N/A 1,142,460 1,155,620 5,605,440 6,464,680 2017-08-02 $49.84 $50.00 21.2% 5.9% 20.5% 35.5% 21.3% 1.1% -0.1% -61.8M -4.50B -69.3M 0.95 37.35 N/A N/A 1,348,500 1,278,580 5,817,280 6,731,080 2017-08-03 $49.40 $49.50 21.0% 6.1% 20.6% 34.6% 21.7% 1.0% 0.0% -260.8M -3.08B -69.5M 0.95 43.52 N/A N/A 1,083,720 1,025,560 6,039,380 6,999,020 2017-08-04 $49.27 $49.50 19.8% 5.8% 20.1% 29.1% 20.6% 1.1% -0.2% -573.9M -2.60B -70.2M 1.13 41.24 N/A N/A 1,179,520 1,334,900 6,213,020 7,247,820 2017-08-07 $49.65 $49.50 20.5% 5.9% 18.9% 32.4% 21.2% 1.0% 0.2% -19.4M -4.91B -70.0M 0.97 33.87 N/A N/A 850,060 825,980 5,399,540 6,639,900 2017-08-08 $49.36 $49.50 20.8% 6.1% 19.0% 33.4% 21.6% 1.5% 0.4% -83.9M -4.01B -71.0M 1.09 49.74 N/A N/A 766,560 837,220 5,664,320 6,866,120 2017-08-09 $49.13 $49.50 21.4% 6.2% 18.3% 36.2% 22.0% 1.4% 0.3% -225.0M -2.98B -72.6M 1.09 44.35 N/A N/A 933,100 1,014,420 5,816,440 7,078,260 2017-08-10 $47.84 $49.25 22.9% 6.5% 20.2% 42.7% 23.2% 2.4% -0.0% -597.3M 1.71B -72.6M 1.13 41.98 N/A N/A 1,498,900 1,697,120 5,977,260 7,257,500 2017-08-11 $48.32 $49.00 21.7% 6.3% 20.6% 37.4% 22.4% 2.1% 0.3% -526.3M -537.8M -73.2M 1.08 42.71 N/A N/A 1,476,980 1,595,180 6,291,240 7,452,880 2017-08-14 $49.15 $49.00 20.3% 5.9% 21.4% 31.5% 20.7% 1.6% 0.7% -2.8M -4.39B -71.3M 0.82 39.35 N/A N/A 955,640 785,720 5,775,780 7,024,720 2017-08-15 $49.20 $49.25 19.7% 5.7% 20.6% 28.9% 20.4% 1.5% 0.6% 86.9M -4.74B -70.8M 0.98 36.01 N/A N/A 791,700 776,120 6,025,120 7,187,000 2017-08-16 $48.88 $49.00 19.2% 5.5% 20.6% 26.6% 19.5% 1.7% 0.6% -162.7M -3.40B -71.0M 0.88 48.25 N/A N/A 1,181,560 1,042,800 6,173,140 7,341,720 2017-08-17 $48.11 $49.00 21.3% 6.1% 21.0% 36.0% 22.0% 2.2% 0.5% -593.5M -239.4M -72.2M 1.04 51.65 N/A N/A 1,388,100 1,442,780 6,430,360 7,526,040 2017-08-18 $48.02 $49.00 20.7% 5.9% 21.0% 33.1% 20.8% 2.2% 0.4% -1.17B -27.4M -71.2M 1.16 48.75 N/A N/A 1,471,120 1,699,880 6,636,720 7,756,540 2017-08-21 $47.60 $49.00 21.2% 6.0% 19.6% 35.3% 21.2% 2.2% 0.5% -273.4M -892.2M -70.4M 0.95 37.44 N/A N/A 1,075,320 1,018,260 5,349,780 6,543,500 2017-08-22 $48.30 $48.75 18.8% 5.2% 20.8% 24.6% 19.0% 2.2% 0.6% -58.2M -3.37B -70.0M 0.94 25.01 N/A N/A 1,034,700 970,140 5,547,220 6,810,020 2017-08-23 $47.90 $48.75 19.4% 5.3% 20.0% 27.4% 19.0% 2.4% 0.6% -294.5M -1.79B -70.4M 0.91 28.55 N/A N/A 938,780 855,440 5,756,600 6,996,300 2017-08-24 $47.67 $48.75 20.9% 5.7% 20.0% 34.0% 20.9% 2.8% 0.7% -396.1M -999.8M -71.9M 0.86 27.84 N/A N/A 2,090,860 1,798,100 5,949,300 7,147,400 2017-08-25 $47.27 $48.75 19.8% 5.4% 19.0% 29.2% 18.8% 2.5% 0.7% -697.4M 267.6M -73.4M 0.78 22.88 N/A N/A 1,960,360 1,527,040 6,490,060 7,462,740 2017-08-28 $47.28 $48.75 20.0% 5.4% 16.2% 30.2% 19.0% 2.4% 0.1% -214.8M -941.7M -73.3M 1.07 18.35 N/A N/A 898,460 961,240 6,137,480 6,983,480 2017-08-29 $47.76 $48.50 19.1% 5.1% 16.6% 26.0% 18.2% 2.4% 0.6% -52.2M -2.98B -74.3M 0.79 22.31 N/A N/A 1,322,560 1,050,100 6,358,880 7,221,240 2017-08-30 $48.27 $48.50 19.4% 5.1% 17.1% 27.6% 18.9% 2.0% 0.4% 354.4M -5.72B -76.3M 0.71 15.96 N/A N/A 1,651,280 1,178,420 6,745,540 7,360,100 2017-08-31 $48.99 $48.50 19.7% 5.1% 17.9% 28.9% 18.6% 1.7% 0.4% 799.3M -9.40B -78.9M 0.89 48.29 N/A N/A 1,529,260 1,359,040 7,188,340 7,493,600
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