AMZN Options History — September 2017

In September 2017, AMZN traded between $46.90 and $49.98. ATM implied volatility averaged 21.4%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.3% (HV 20d: 17.0%). Max pain ranged from $47.75 to $48.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.82.

Notable Days

2017-09-13: Highest Volume — 3,209,080 contracts
2017-09-25: Largest IV spike — 26.5% change
2017-09-28: Highest IV Rank — 70.3%
2017-09-25: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.44	$46.90	$49.98	$48.93	$48.04
Max Pain	$47.99	$47.75	$48.50	$48.50	$47.75
ATM IV	21.4%	18.2%	29.1%	18.2%	26.6%
Expected Move	5.6%	4.5%	6.3%	4.5%	5.2%
HV 20d	17.0%	15.9%	18.7%	17.9%	16.4%
HV 60d	18.7%	18.1%	20.7%	20.7%	18.1%
IV Rank	36.1%	22.3%	70.3%	22.3%	59.2%
IV Percentile	41.3%	25.4%	80.2%	27.4%	67.1%
Term Structure	2.0%	-0.5%	7.4%	0.4%	-0.2%
VWIV	20.3%	16.8%	22.6%	16.8%	19.0%
Skew 25d	1.5%	0.7%	2.7%	1.3%	1.8%
Skew 10d	2.6%	1.5%	4.0%	2.3%	1.5%
Call IV 25d	21.1%	17.9%	29.3%	17.9%	26.2%
Put IV 25d	22.5%	19.2%	30.8%	19.2%	28.0%
Bid-Ask Spread %	30.34	22.33	44.34	35.69	44.34
Gamma HHI	0.06	0.02	0.23	0.09	0.17
Net GEX	210.8M	-768.4M	837.4M	690.6M	631.7M
Net DEX	-5.67B	-11.53B	-868.2M	-8.66B	-6.06B
Net VEX	-77.5M	-82.2M	-74.8M	-78.3M	-80.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.67	1.04	0.87	0.96
Total Volume	2,526,584	1,728,120	3,209,080	2,797,180	2,882,960
Total OI	14,444,388	12,978,780	15,885,740	15,017,780	15,619,440

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
2017-09-01	$48.93	$48.50	18.2%	4.5%	17.9%	22.3%	16.8%	1.3%	0.4%	690.6M	-8.66B	-78.3M	0.87	35.69	N/A	N/A	1,494,700	1,302,480	7,301,200	7,716,580
2017-09-05	$48.25	$48.00	19.6%	5.9%	18.2%	28.5%	21.5%	2.1%	0.3%	100.1M	-4.52B	-76.0M	0.91	31.22	N/A	N/A	1,295,340	1,184,860	6,748,260	6,929,380
2017-09-06	$48.40	$48.00	19.3%	5.7%	18.2%	27.1%	20.8%	1.9%	0.5%	186.4M	-5.30B	-77.2M	0.95	25.18	N/A	N/A	886,240	841,880	7,128,640	7,186,500
2017-09-07	$48.99	$48.00	18.8%	5.7%	18.7%	24.9%	20.4%	1.6%	0.5%	669.5M	-8.15B	-77.6M	0.84	24.98	N/A	N/A	1,268,300	1,069,080	7,243,900	7,310,260
2017-09-08	$48.31	$48.00	19.2%	5.8%	16.8%	26.5%	20.9%	1.9%	1.2%	-193.7M	-4.38B	-77.1M	0.86	35.25	N/A	N/A	1,712,900	1,467,940	7,368,060	7,461,120
2017-09-11	$48.90	$48.00	18.7%	5.5%	17.0%	24.2%	20.1%	1.7%	0.4%	398.5M	-7.07B	-75.7M	0.88	38.18	N/A	N/A	1,019,880	899,820	6,941,340	7,012,840
2017-09-12	$49.09	$48.00	18.7%	5.5%	15.9%	24.2%	20.0%	1.5%	0.7%	451.3M	-7.68B	-76.2M	0.81	30.62	N/A	N/A	1,085,020	880,320	7,091,540	7,206,980
2017-09-13	$49.98	$48.00	19.0%	5.6%	17.1%	25.6%	20.7%	0.9%	0.6%	837.4M	-11.53B	-78.0M	0.76	27.29	N/A	N/A	1,820,360	1,388,720	7,282,120	7,379,580
2017-09-14	$49.63	$48.00	19.4%	5.7%	17.2%	27.6%	20.7%	1.1%	0.7%	664.6M	-9.99B	-78.9M	0.72	26.80	N/A	N/A	1,588,820	1,145,520	7,577,240	7,689,540
2017-09-15	$49.25	$48.00	18.3%	5.3%	16.3%	22.6%	19.4%	1.0%	0.6%	250.7M	-8.07B	-78.2M	0.78	30.44	N/A	N/A	1,785,580	1,390,520	7,951,000	7,934,740
2017-09-18	$48.69	$48.00	19.6%	5.6%	16.9%	28.1%	20.8%	1.1%	7.2%	129.9M	-5.72B	-77.5M	0.67	37.96	N/A	N/A	1,808,400	1,211,240	6,527,820	6,450,960
2017-09-19	$48.47	$48.00	19.0%	5.5%	16.7%	25.6%	19.6%	1.1%	6.4%	-36.3M	-4.56B	-76.1M	0.75	25.40	N/A	N/A	1,079,280	805,580	6,586,160	6,917,840
2017-09-20	$48.66	$48.00	19.7%	5.7%	15.9%	28.9%	20.4%	0.7%	7.0%	63.3M	-5.47B	-77.4M	0.72	32.52	N/A	N/A	1,231,620	889,140	6,797,480	7,104,760
2017-09-21	$48.25	$48.00	20.8%	5.6%	15.9%	33.4%	20.1%	0.9%	6.1%	-169.2M	-3.78B	-76.7M	0.77	22.33	N/A	N/A	1,182,040	908,220	6,987,180	7,242,900
2017-09-22	$47.74	$48.00	21.3%	5.4%	16.3%	35.7%	19.2%	1.3%	7.4%	-768.4M	-1.35B	-75.3M	1.04	42.86	N/A	N/A	1,377,900	1,426,440	7,164,240	7,433,720
2017-09-25	$46.95	$48.00	26.9%	6.3%	17.1%	60.6%	22.6%	1.4%	-0.5%	-153.3M	-868.2M	-74.8M	0.85	24.87	N/A	N/A	1,721,780	1,468,840	6,462,900	6,872,200
2017-09-26	$46.90	$48.00	26.9%	6.0%	17.1%	60.5%	21.4%	2.0%	-0.1%	-146.1M	-914.9M	-77.0M	0.82	25.29	N/A	N/A	1,387,140	1,138,200	6,909,180	7,320,660
2017-09-27	$47.63	$47.75	28.4%	5.7%	17.6%	67.2%	20.6%	2.7%	-0.4%	196.5M	-4.12B	-79.7M	0.74	22.94	N/A	N/A	1,400,040	1,039,360	7,262,600	7,532,800
2017-09-28	$47.84	$47.75	29.1%	5.6%	17.3%	70.3%	20.3%	1.5%	0.3%	412.6M	-5.15B	-82.2M	0.77	22.60	N/A	N/A	1,153,420	891,800	7,548,160	7,685,940
2017-09-29	$48.04	$47.75	26.6%	5.2%	16.4%	59.2%	19.0%	1.8%	-0.2%	631.7M	-6.06B	-80.5M	0.96	44.34	N/A	N/A	1,471,580	1,411,380	7,735,680	7,883,760