AMZN Options History — December 2017

In December 2017, AMZN traded between $56.64 and $59.55. ATM implied volatility averaged 19.8%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.3% (HV 20d: 19.4%). Max pain ranged from $47.75 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.93.

Notable Days

2017-12-01: Highest Volume — 3,483,480 contracts
2017-12-04: Largest IV spike — 23.2% change
2017-12-04: Highest IV Rank — 65.7%
2017-12-04: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.43	$56.64	$59.55	$58.10	$58.49
Max Pain	$49.17	$47.75	$55.00	$55.00	$50.00
ATM IV	19.8%	17.2%	26.8%	21.7%	22.0%
Expected Move	5.6%	4.7%	7.4%	6.3%	4.9%
HV 20d	19.4%	14.7%	20.8%	18.8%	14.8%
HV 60d	29.5%	29.1%	30.0%	29.6%	29.3%
IV Rank	31.8%	19.5%	65.7%	41.3%	42.8%
IV Percentile	36.8%	20.2%	70.2%	55.6%	59.1%
Term Structure	2.4%	-0.0%	10.7%	0.3%	10.7%
VWIV	20.4%	17.1%	26.1%	22.6%	18.1%
Skew 25d	1.8%	1.1%	2.5%	2.0%	1.2%
Skew 10d	3.4%	1.7%	5.3%	3.8%	2.2%
Call IV 25d	18.9%	16.6%	26.2%	20.8%	17.6%
Put IV 25d	20.7%	18.0%	28.7%	22.8%	18.8%
Bid-Ask Spread %	35.10	25.62	47.35	38.61	41.14
Gamma HHI	0.06	0.03	0.13	0.05	0.05
Net GEX	421.4M	24.4M	866.9M	178.8M	208.9M
Net DEX	-17.47B	-21.03B	-12.62B	-15.65B	-15.18B
Net VEX	-65.7M	-74.7M	-59.7M	-70.3M	-62.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.65	1.08	0.88	0.86
Total Volume	2,135,069	1,406,120	3,483,480	3,483,480	3,060,580
Total OI	14,824,701	12,913,160	16,420,580	16,420,580	14,230,580

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
2017-12-01	$58.10	$55.00	21.7%	6.3%	18.8%	41.3%	22.6%	2.0%	0.3%	178.8M	-15.65B	-70.3M	0.88	38.61	N/A	N/A	1,851,980	1,631,500	7,384,600	9,035,980
2017-12-04	$56.64	$47.75	26.8%	7.4%	20.8%	65.7%	26.1%	2.5%	-0.0%	55.9M	-12.62B	-74.7M	0.86	38.62	N/A	N/A	1,572,740	1,355,440	6,442,440	8,265,780
2017-12-05	$57.18	$48.00	23.0%	6.7%	20.8%	47.5%	23.8%	2.4%	0.6%	119.2M	-14.41B	-74.0M	0.90	25.62	N/A	N/A	1,207,020	1,085,680	6,845,900	8,587,100
2017-12-06	$57.52	$48.00	21.1%	6.4%	20.8%	38.5%	22.7%	2.2%	0.8%	184.9M	-15.66B	-70.8M	1.08	31.08	N/A	N/A	891,760	966,800	6,943,960	8,739,240
2017-12-07	$58.02	$48.00	20.4%	6.1%	20.8%	35.2%	22.1%	2.4%	0.9%	422.7M	-17.89B	-69.1M	0.98	28.94	N/A	N/A	974,400	952,220	7,029,100	8,880,960
2017-12-08	$58.08	$48.25	19.2%	5.8%	20.7%	29.2%	21.0%	2.5%	0.8%	650.2M	-18.16B	-69.0M	1.07	26.68	N/A	N/A	1,591,720	1,700,000	7,163,000	9,052,760
2017-12-11	$58.40	$48.50	19.4%	5.7%	20.7%	30.0%	20.6%	2.0%	0.4%	374.5M	-18.89B	-66.1M	1.02	29.11	N/A	N/A	806,880	826,680	6,531,080	8,465,680
2017-12-12	$58.17	$48.50	19.8%	5.8%	20.8%	31.8%	21.6%	2.1%	0.3%	337.7M	-18.06B	-68.3M	1.02	28.10	N/A	N/A	764,400	777,220	6,703,720	8,685,220
2017-12-13	$58.18	$48.25	19.1%	5.6%	20.7%	28.8%	21.1%	1.9%	0.4%	390.8M	-18.09B	-65.6M	0.96	30.70	N/A	N/A	715,940	690,180	6,795,320	8,786,940
2017-12-14	$58.81	$48.50	18.4%	5.4%	20.6%	25.2%	19.9%	1.7%	0.4%	852.7M	-20.97B	-65.0M	0.90	34.46	N/A	N/A	1,241,880	1,120,580	6,919,720	8,914,680
2017-12-15	$58.84	$48.50	18.1%	5.3%	20.3%	23.6%	19.5%	1.8%	0.6%	866.9M	-21.03B	-64.1M	0.80	47.35	N/A	N/A	1,640,200	1,314,960	7,029,160	9,060,720
2017-12-18	$59.55	$48.75	18.9%	5.4%	20.3%	27.5%	19.8%	1.4%	0.5%	626.0M	-19.41B	-61.4M	0.93	30.99	N/A	N/A	1,075,480	1,001,640	5,810,920	7,102,240
2017-12-19	$59.35	$49.00	18.8%	5.4%	20.3%	27.0%	19.6%	1.4%	0.9%	572.4M	-18.71B	-62.3M	0.85	37.33	N/A	N/A	807,920	688,700	6,010,660	7,384,740
2017-12-20	$58.89	$49.00	18.8%	5.4%	20.4%	27.1%	19.3%	1.4%	0.9%	378.8M	-17.19B	-63.0M	0.65	33.48	N/A	N/A	996,420	647,200	6,213,080	7,568,980
2017-12-21	$58.75	$49.50	17.9%	5.1%	19.8%	23.1%	18.7%	1.5%	0.6%	261.6M	-16.68B	-63.4M	0.80	34.27	N/A	N/A	1,085,160	868,760	6,429,520	7,752,260
2017-12-22	$58.42	$50.00	17.2%	4.8%	17.6%	19.5%	17.4%	1.1%	1.3%	24.4M	-15.27B	-63.0M	1.00	47.09	N/A	N/A	1,011,280	1,009,180	6,602,400	7,962,860
2017-12-26	$58.82	$50.00	18.1%	5.0%	17.5%	23.7%	18.1%	1.5%	8.9%	416.2M	-17.40B	-61.4M	1.03	45.29	N/A	N/A	833,480	860,820	5,951,300	7,405,500
2017-12-27	$59.12	$50.00	17.3%	5.0%	17.6%	19.9%	17.9%	1.6%	10.1%	720.9M	-18.80B	-60.9M	0.90	36.77	N/A	N/A	828,120	743,980	6,177,780	7,602,900
2017-12-28	$59.27	$50.00	19.2%	4.7%	14.7%	29.1%	17.1%	1.1%	9.2%	785.2M	-19.32B	-59.7M	1.01	36.46	N/A	N/A	748,900	753,580	6,272,880	7,752,360
2017-12-29	$58.49	$50.00	22.0%	4.9%	14.8%	42.8%	18.1%	1.2%	10.7%	208.9M	-15.18B	-62.1M	0.86	41.14	N/A	N/A	1,644,280	1,416,300	6,351,740	7,878,840