AMZN Options History — October 2017 In October 2017, AMZN traded between $47.81 and $55.63. ATM implied volatility averaged 27.0%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 8.3% (HV 20d: 18.7%). Max pain ranged from $47.75 to $49.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.85.
Notable Days 2017-10-27 : Highest Volume — 9,705,140 contracts2017-10-27 : Largest IV drop — 19.6% change2017-10-10 : Highest IV Rank — 72.8%2017-10-23 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $50.03 $47.81 $55.63 $47.95 $55.23 Max Pain $48.26 $47.75 $49.50 $47.75 $49.50 ATM IV 27.0% 20.0% 29.7% 27.1% 20.0% Expected Move 7.3% 5.1% 8.3% 5.4% 5.8% HV 20d 18.7% 13.0% 45.1% 16.4% 45.1% HV 60d 18.8% 15.8% 29.7% 17.9% 29.7% IV Rank 61.4% 33.0% 72.8% 61.2% 33.0% IV Percentile 70.7% 35.7% 86.9% 69.8% 35.7% Term Structure -0.9% -1.7% 0.6% -1.2% 0.6% VWIV 26.1% 18.5% 29.0% 19.5% 21.1% Skew 25d 1.2% 0.4% 2.6% 1.5% 0.6% Skew 10d 2.3% -0.3% 5.0% 4.0% 1.0% Call IV 25d 26.8% 20.3% 29.4% 26.3% 20.3% Put IV 25d 28.0% 20.9% 30.7% 27.7% 20.9% Bid-Ask Spread % 27.19 14.23 44.53 37.62 44.53 Gamma HHI 0.06 0.03 0.22 0.03 0.05 Net GEX 501.6M -136.2M 1.15B 166.7M 534.5M Net DEX -10.72B -27.94B -3.58B -4.80B -20.75B Net VEX -77.0M -82.0M -66.1M -79.4M -68.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.64 1.16 0.85 1.11 Total Volume 2,751,919.091 1,535,860 9,705,140 1,700,920 1,765,100 Total OI 15,503,019.091 13,895,760 16,880,180 14,595,000 15,496,000
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 2017-10-02 $47.95 $47.75 27.1% 5.4% 16.4% 61.2% 19.5% 1.5% -1.2% 166.7M -4.80B -79.4M 0.85 37.62 N/A N/A 920,440 780,480 7,136,800 7,458,200 2017-10-03 $47.81 $47.75 28.7% 5.3% 15.7% 68.5% 18.9% 2.6% -1.1% 165.7M -4.32B -80.2M 0.79 20.13 N/A N/A 1,113,700 885,020 7,339,400 7,623,700 2017-10-04 $48.27 $47.75 28.1% 5.1% 16.0% 65.7% 18.5% 1.8% -1.1% 474.6M -6.74B -81.4M 0.87 37.26 N/A N/A 1,044,680 904,340 7,698,280 7,789,980 2017-10-05 $49.04 $48.00 28.9% 7.8% 16.5% 69.5% 27.6% 2.4% -0.6% 800.0M -10.42B -82.0M 0.85 16.25 N/A N/A 1,555,480 1,326,700 7,780,020 7,896,680 2017-10-06 $49.49 $48.00 28.5% 7.6% 15.9% 67.6% 27.0% 0.9% -1.7% 1.15B -12.25B -81.1M 0.69 21.35 N/A N/A 2,594,560 1,788,540 7,866,020 8,157,680 2017-10-09 $49.57 $48.00 29.0% 7.8% 15.4% 69.8% 27.7% 2.0% -1.3% 571.4M -10.60B -80.1M 0.79 19.96 N/A N/A 1,206,300 949,660 7,448,420 7,545,980 2017-10-10 $49.31 $48.00 29.7% 8.1% 15.4% 72.8% 28.6% 1.1% -1.3% 510.5M -9.46B -80.3M 0.85 14.23 N/A N/A 1,131,880 965,640 7,695,760 7,760,160 2017-10-11 $49.74 $48.00 28.9% 8.0% 14.4% 69.3% 28.5% 1.4% -1.1% 739.2M -11.60B -80.8M 0.75 17.12 N/A N/A 1,074,220 801,860 7,868,460 7,945,960 2017-10-12 $50.04 $48.00 28.5% 7.9% 14.3% 67.7% 28.2% 1.3% -1.1% 1.05B -13.21B -79.9M 0.64 21.96 N/A N/A 2,163,620 1,385,540 8,024,580 8,049,620 2017-10-13 $50.14 $48.00 27.9% 7.8% 14.0% 64.7% 27.7% 1.5% -1.1% 1.08B -13.33B -78.8M 0.80 23.31 N/A N/A 1,575,060 1,263,740 8,162,380 8,238,180 2017-10-16 $50.31 $48.00 28.3% 8.0% 13.2% 66.8% 28.5% 1.4% -1.3% 621.4M -12.51B -77.4M 0.89 21.86 N/A N/A 878,140 785,220 7,539,760 7,679,100 2017-10-17 $50.45 $48.00 27.9% 7.9% 13.0% 64.8% 28.4% 1.4% -1.2% 704.1M -13.03B -76.6M 0.91 19.39 N/A N/A 1,009,540 920,900 7,664,220 7,882,600 2017-10-18 $49.93 $48.00 28.2% 8.1% 13.7% 66.3% 28.6% 1.1% -1.4% 392.1M -10.57B -77.2M 0.79 21.65 N/A N/A 1,211,480 961,020 7,831,500 8,135,880 2017-10-19 $49.29 $48.00 28.0% 8.1% 14.2% 65.4% 28.3% 1.4% -1.7% -136.2M -6.77B -76.6M 1.11 28.41 N/A N/A 1,458,940 1,618,040 8,060,840 8,455,200 2017-10-20 $49.13 $49.00 27.0% 7.9% 13.6% 60.8% 27.6% 1.2% -1.6% 48.6M -6.17B -77.2M 0.90 33.31 N/A N/A 1,423,780 1,287,380 8,197,760 8,682,420 2017-10-23 $48.27 $49.00 27.5% 8.3% 13.8% 63.3% 29.0% 0.4% -0.6% 48.8M -3.58B -75.2M 1.16 30.08 N/A N/A 1,113,180 1,290,660 6,734,600 7,161,160 2017-10-24 $48.80 $48.50 26.2% 8.0% 14.2% 57.5% 28.0% 0.5% -0.6% 155.6M -5.47B -75.9M 0.85 33.14 N/A N/A 828,300 707,560 7,110,080 7,510,540 2017-10-25 $48.60 $48.50 26.7% 8.2% 13.4% 59.8% 28.7% 0.4% -0.8% 123.8M -4.72B -76.8M 0.80 33.94 N/A N/A 929,380 747,720 7,305,920 7,734,380 2017-10-26 $48.73 $48.50 26.7% 8.0% 13.4% 59.4% 28.2% 0.4% -1.3% 166.3M -5.27B -75.6M 0.79 40.39 N/A N/A 1,735,900 1,370,440 7,494,620 7,896,920 2017-10-27 $55.05 $48.50 21.4% 6.4% 45.1% 39.9% 23.5% 0.8% 0.3% 1.04B -27.94B -66.1M 0.72 33.52 N/A N/A 5,656,680 4,048,460 7,767,260 8,397,420 2017-10-30 $55.63 $49.00 20.6% 6.1% 45.0% 35.8% 21.9% 0.6% 0.3% 632.2M -22.41B -67.5M 0.88 28.71 N/A N/A 1,788,740 1,574,200 6,959,200 7,882,780 2017-10-31 $55.23 $49.50 20.0% 5.8% 45.1% 33.0% 21.1% 0.6% 0.6% 534.5M -20.75B -68.6M 1.11 44.53 N/A N/A 835,900 929,200 7,143,400 8,352,600
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