AMZN Options History — September 2018

In September 2018, AMZN traded between $95.31 and $102.07. ATM implied volatility averaged 29.5%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 7.7% (HV 20d: 21.8%). Max pain ranged from $91.50 to $95.50. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.83.

Notable Days

2018-09-06: Highest Volume — 6,797,820 contracts
2018-09-17: Largest IV spike — 25.4% change
2018-09-28: Highest IV Rank — 52.6%
2018-09-17: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$98.30	$95.31	$102.07	$102.07	$100.26
Max Pain	$94.68	$91.50	$95.50	$91.50	$95.50
ATM IV	29.5%	24.5%	35.2%	24.5%	35.2%
Expected Move	7.7%	6.8%	9.6%	6.8%	7.0%
HV 20d	21.8%	15.3%	25.9%	15.3%	24.3%
HV 60d	20.7%	19.3%	22.1%	19.3%	20.6%
IV Rank	36.1%	21.3%	52.6%	21.3%	52.6%
IV Percentile	65.6%	46.0%	84.5%	46.0%	84.5%
Term Structure	2.1%	-0.8%	8.8%	0.1%	-0.8%
VWIV	27.6%	24.4%	33.6%	24.4%	26.0%
Skew 25d	3.6%	0.8%	5.5%	0.8%	3.8%
Skew 10d	7.6%	1.4%	11.7%	1.4%	7.0%
Call IV 25d	28.0%	24.5%	33.6%	24.5%	33.4%
Put IV 25d	31.6%	25.3%	38.4%	25.3%	37.2%
Bid-Ask Spread %	20.24	9.86	30.56	19.59	29.85
Gamma HHI	0.03	0.02	0.06	0.03	0.06
Net GEX	293.5M	-1.31B	1.75B	821.0M	1.49B
Net DEX	-32.13B	-48.78B	-18.94B	-48.78B	-39.28B
Net VEX	-159.9M	-168.9M	-127.8M	-127.8M	-160.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.68	0.99	0.76	0.78
Total Volume	4,734,021.053	3,075,500	6,797,820	5,653,080	6,036,400
Total OI	19,315,868.421	16,740,460	21,404,840	17,269,300	19,039,560

Daily Data (19 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
2018-09-04	$102.07	$91.50	24.5%	6.8%	15.3%	21.3%	24.4%	0.8%	0.1%	821.0M	-48.78B	-127.8M	0.76	19.59	N/A	N/A	3,211,640	2,441,440	7,509,840	9,759,460
2018-09-05	$99.66	$92.00	26.4%	7.4%	18.2%	26.9%	26.4%	1.7%	0.2%	-323.4M	-35.57B	-147.2M	0.76	9.86	N/A	N/A	3,253,860	2,484,260	8,075,820	10,415,040
2018-09-06	$98.10	$95.00	27.3%	8.0%	19.0%	29.5%	28.0%	3.2%	0.1%	-1.31B	-25.45B	-157.3M	0.83	13.96	N/A	N/A	3,713,520	3,084,300	8,750,200	11,024,960
2018-09-07	$97.71	$95.00	26.5%	7.8%	19.0%	27.1%	27.5%	2.9%	0.4%	-816.4M	-24.98B	-161.7M	0.90	19.59	N/A	N/A	3,345,660	3,022,140	9,440,940	11,349,560
2018-09-10	$96.93	$95.00	28.2%	8.2%	19.0%	32.2%	28.8%	3.2%	0.3%	-67.3M	-26.43B	-163.7M	0.80	11.06	N/A	N/A	1,905,300	1,523,860	8,191,720	10,171,160
2018-09-11	$99.27	$95.00	26.3%	7.7%	20.6%	26.7%	27.6%	2.9%	0.5%	609.8M	-39.01B	-157.5M	0.76	15.07	N/A	N/A	2,477,140	1,870,540	8,611,340	10,613,000
2018-09-12	$99.41	$95.00	26.7%	7.8%	20.3%	28.0%	28.0%	3.3%	0.6%	944.1M	-40.51B	-161.5M	0.68	13.93	N/A	N/A	2,254,040	1,525,440	8,982,340	10,911,600
2018-09-13	$99.29	$95.00	26.3%	7.7%	18.8%	26.6%	27.4%	3.3%	0.6%	1.14B	-39.93B	-160.6M	0.84	14.54	N/A	N/A	2,262,280	1,899,480	9,266,060	11,142,460
2018-09-14	$98.52	$95.00	26.7%	7.8%	19.1%	27.7%	27.9%	3.6%	0.8%	46.4M	-33.81B	-161.4M	0.88	15.40	N/A	N/A	3,244,540	2,847,520	9,518,880	11,402,220
2018-09-17	$95.31	$95.00	33.4%	9.6%	22.8%	47.5%	33.6%	5.5%	7.2%	-185.7M	-18.94B	-168.9M	0.87	16.18	N/A	N/A	2,814,920	2,449,840	8,453,660	10,397,400
2018-09-18	$97.14	$95.00	28.4%	8.2%	23.7%	32.8%	29.1%	4.4%	8.1%	116.7M	-29.07B	-167.0M	0.91	24.26	N/A	N/A	1,897,100	1,730,560	9,095,680	10,998,520
2018-09-19	$96.24	$95.00	29.4%	8.4%	24.0%	35.9%	29.7%	4.9%	7.8%	-245.1M	-24.15B	-168.2M	0.80	20.97	N/A	N/A	1,928,240	1,548,860	9,284,080	11,244,960
2018-09-20	$97.34	$95.00	28.4%	7.7%	24.1%	32.7%	27.5%	4.3%	8.4%	406.5M	-31.94B	-164.5M	0.99	19.23	N/A	N/A	1,818,080	1,801,740	9,573,720	11,520,500
2018-09-21	$95.66	$95.00	30.5%	7.8%	25.0%	38.9%	28.2%	5.0%	8.8%	-760.3M	-21.45B	-163.2M	0.95	29.90	N/A	N/A	3,142,300	2,983,420	9,714,040	11,690,800
2018-09-24	$96.55	$95.00	34.1%	7.6%	25.2%	49.5%	27.6%	4.8%	-0.6%	21.7M	-21.74B	-164.9M	0.85	29.05	N/A	N/A	1,664,060	1,411,440	7,597,280	9,143,180
2018-09-25	$98.40	$95.00	33.8%	7.1%	25.8%	48.7%	26.0%	4.2%	-0.6%	766.5M	-31.31B	-163.4M	0.84	30.08	N/A	N/A	1,942,220	1,632,960	7,982,080	9,483,680
2018-09-26	$99.27	$95.00	34.6%	7.0%	25.9%	50.9%	25.6%	3.9%	-0.6%	1.17B	-35.62B	-161.2M	0.73	30.56	N/A	N/A	2,318,860	1,695,260	8,195,520	9,826,020
2018-09-27	$100.57	$95.00	34.4%	6.8%	24.3%	50.3%	25.2%	3.5%	-0.7%	1.75B	-42.50B	-157.7M	0.79	21.51	N/A	N/A	2,656,880	2,106,300	8,459,480	10,164,740
2018-09-28	$100.26	$95.50	35.2%	7.0%	24.3%	52.6%	26.0%	3.8%	-0.8%	1.49B	-39.28B	-160.1M	0.78	29.85	N/A	N/A	3,394,520	2,641,880	8,606,060	10,433,500