AMZN Options History — March 2018

In March 2018, AMZN traded between $71.55 and $80.06. ATM implied volatility averaged 30.2%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.9% (HV 20d: 23.3%). Max pain ranged from $69.00 to $73.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.83.

Notable Days

2018-03-29: Highest Volume — 5,910,660 contracts
2018-03-22: Largest IV spike — 24.2% change
2018-03-27: Highest IV Rank — 100.0%
2018-03-28: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.00	$71.55	$80.06	$74.66	$72.24
Max Pain	$71.40	$69.00	$73.00	$70.00	$73.00
ATM IV	30.2%	21.6%	51.3%	29.8%	44.9%
Expected Move	8.3%	6.5%	12.9%	8.7%	10.7%
HV 20d	23.3%	14.2%	33.4%	33.4%	33.3%
HV 60d	24.3%	22.7%	29.4%	23.6%	29.3%
IV Rank	53.4%	27.9%	100.0%	55.0%	81.8%
IV Percentile	71.4%	48.8%	100.0%	89.7%	99.6%
Term Structure	2.0%	-2.5%	9.7%	-0.6%	-1.7%
VWIV	29.5%	24.0%	44.6%	31.1%	37.2%
Skew 25d	4.0%	2.4%	6.5%	4.5%	6.5%
Skew 10d	7.7%	4.5%	12.4%	8.4%	12.4%
Call IV 25d	28.5%	20.6%	48.0%	28.3%	41.5%
Put IV 25d	32.5%	23.2%	54.4%	32.8%	47.9%
Bid-Ask Spread %	40.80	30.24	50.63	43.60	42.33
Gamma HHI	0.07	0.02	0.42	0.03	0.03
Net GEX	280.7M	-855.4M	1.16B	-141.4M	223.0M
Net DEX	-22.83B	-35.56B	-3.00B	-19.25B	-5.86B
Net VEX	-107.2M	-123.6M	-92.1M	-107.8M	-123.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.66	1.06	0.85	0.66
Total Volume	3,316,368.571	2,134,300	5,910,660	3,765,760	5,910,660
Total OI	14,551,038.095	12,426,640	16,546,460	14,447,840	15,546,180

Daily Data (21 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
2018-03-01	$74.66	$70.00	29.8%	8.7%	33.4%	55.0%	31.1%	4.5%	-0.6%	-141.4M	-19.25B	-107.8M	0.85	43.60	N/A	N/A	2,040,600	1,725,160	6,501,480	7,946,360
2018-03-02	$74.99	$70.00	28.1%	7.8%	30.4%	49.3%	28.9%	4.6%	-0.1%	-392.3M	-21.58B	-109.3M	0.91	35.29	N/A	N/A	2,206,980	2,015,560	6,776,500	8,224,360
2018-03-05	$76.19	$69.00	25.3%	7.6%	30.1%	40.1%	27.2%	3.9%	-0.2%	508.3M	-25.23B	-102.3M	0.90	30.24	N/A	N/A	1,309,980	1,182,200	6,115,300	7,432,820
2018-03-06	$76.80	$69.00	24.6%	7.4%	29.0%	37.8%	26.8%	3.6%	0.6%	673.3M	-27.81B	-99.9M	0.86	30.65	N/A	N/A	1,506,280	1,289,180	6,352,460	7,729,020
2018-03-07	$77.24	$70.00	24.9%	7.5%	27.9%	38.9%	27.1%	4.1%	0.5%	761.3M	-28.97B	-103.8M	0.88	31.88	N/A	N/A	1,180,680	1,037,200	6,649,420	8,076,120
2018-03-08	$77.48	$70.00	23.6%	7.1%	27.1%	34.4%	26.0%	3.5%	0.8%	1.02B	-30.47B	-100.1M	1.06	31.91	N/A	N/A	1,132,760	1,199,420	6,775,220	8,288,800
2018-03-09	$78.82	$70.00	21.6%	6.5%	19.3%	27.9%	24.0%	2.6%	0.6%	1.16B	-35.56B	-95.1M	0.78	43.24	N/A	N/A	2,321,720	1,808,060	6,880,300	8,481,920
2018-03-12	$80.06	$70.00	24.1%	7.1%	18.0%	36.2%	25.7%	2.4%	0.4%	681.2M	-34.22B	-92.1M	0.89	40.83	N/A	N/A	1,884,900	1,671,860	6,404,480	7,863,280
2018-03-13	$79.42	$71.50	26.2%	7.5%	16.2%	43.1%	27.0%	2.6%	0.0%	404.9M	-31.97B	-98.1M	0.78	38.26	N/A	N/A	2,045,440	1,592,440	6,725,500	8,360,440
2018-03-14	$79.64	$72.00	25.3%	7.4%	15.3%	39.9%	26.2%	2.6%	0.4%	475.5M	-32.90B	-101.1M	0.89	43.50	N/A	N/A	1,210,520	1,082,480	7,085,920	8,692,940
2018-03-15	$79.13	$72.00	25.2%	7.4%	14.2%	39.8%	26.0%	2.7%	0.7%	127.0M	-30.56B	-101.6M	0.78	47.64	N/A	N/A	1,380,860	1,070,100	7,230,400	8,902,120
2018-03-16	$78.52	$72.00	24.0%	7.0%	14.9%	35.7%	25.3%	2.7%	0.7%	-855.4M	-27.27B	-102.6M	0.89	50.63	N/A	N/A	2,041,500	1,810,720	7,452,580	9,093,880
2018-03-19	$77.29	$72.00	27.0%	7.7%	16.0%	45.5%	27.4%	3.6%	8.6%	213.2M	-17.89B	-107.6M	0.90	42.34	N/A	N/A	1,511,220	1,359,260	5,723,480	6,703,160
2018-03-20	$79.32	$72.50	25.4%	7.3%	17.5%	40.5%	26.2%	3.3%	9.7%	591.7M	-25.06B	-104.2M	0.82	40.47	N/A	N/A	1,217,660	1,001,380	6,088,580	7,109,080
2018-03-21	$78.61	$72.50	27.0%	7.7%	18.0%	41.6%	27.3%	3.5%	9.2%	449.8M	-22.41B	-108.6M	0.70	47.03	N/A	N/A	1,255,140	879,160	6,219,380	7,343,280
2018-03-22	$77.37	$72.50	33.5%	9.1%	19.1%	64.7%	32.3%	4.7%	9.3%	113.5M	-17.57B	-113.3M	0.71	47.67	N/A	N/A	1,742,520	1,240,600	6,517,420	7,512,980
2018-03-23	$74.98	$72.50	39.4%	10.5%	22.2%	85.3%	35.9%	5.3%	8.4%	-421.9M	-9.36B	-119.1M	0.87	43.67	N/A	N/A	2,605,100	2,267,820	6,900,900	7,829,160
2018-03-26	$77.85	$73.00	39.2%	8.9%	25.6%	84.6%	32.0%	4.5%	-1.8%	371.8M	-20.59B	-116.4M	0.80	46.85	N/A	N/A	1,387,360	1,115,100	6,225,360	7,272,060
2018-03-27	$74.90	$73.00	44.4%	10.5%	29.2%	100.0%	35.5%	6.0%	-2.5%	46.0M	-11.93B	-120.8M	0.73	47.03	N/A	N/A	2,051,760	1,499,120	6,484,460	7,502,360
2018-03-28	$71.55	$73.00	51.3%	12.9%	33.3%	100.0%	44.6%	6.5%	-1.3%	-118.2M	-3.00B	-123.6M	0.76	31.82	N/A	N/A	2,760,180	2,093,100	6,804,900	7,747,440
2018-03-29	$72.24	$73.00	44.9%	10.7%	33.3%	81.8%	37.2%	6.5%	-1.7%	223.0M	-5.86B	-123.5M	0.66	42.33	N/A	N/A	3,552,800	2,357,860	7,475,560	8,070,620