AMZN Options History — November 2008

In November 2008, AMZN traded between $1.75 and $2.92. ATM implied volatility averaged 89.4%, placing in the 60.6% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded below realized volatility by 11.4% (HV 20d: 100.8%). Max pain ranged from $2.13 to $2.75. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2008-11-05: Highest Volume — 1,858,800 contracts
  • 2008-11-05: Largest IV spike — 21.7% change
  • 2008-11-20: Highest IV Rank — 91.6%
  • 2008-11-20: Largest Expected Move — 34.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.22$1.75$2.92$2.79$2.13
Max Pain$2.51$2.13$2.75$2.75$2.13
ATM IV89.4%68.3%118.6%76.2%88.8%
Expected Move25.5%19.6%34.0%21.8%25.4%
HV 20d100.8%91.0%112.6%104.1%103.0%
HV 60d90.8%81.6%98.4%83.3%98.3%
IV Rank60.6%38.2%91.6%46.6%60.0%
IV Percentile92.9%84.5%99.6%88.1%91.3%
Term Structure0.5%-4.6%8.2%2.5%3.9%
VWIV90.3%77.0%113.6%79.4%89.7%
Skew 25d19.6%16.0%25.8%17.5%19.7%
Skew 10d40.8%33.4%54.4%36.2%42.9%
Call IV 25d79.8%63.0%106.1%67.4%80.0%
Put IV 25d99.5%80.6%129.1%84.9%99.7%
Bid-Ask Spread %4.973.066.346.275.38
Gamma HHI0.130.100.180.110.13
Net GEX-2.9M-5.7M3.0M1.7M-2.0M
Net DEX434.6M-38.9M635.2M83.9M327.6M
Net VEX-2.6M-4.0M-1.9M-3.9M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.612.562.071.78
Total Volume1,057,509.474157,2801,858,800586,960157,280
Total OI11,587,357.8959,943,54012,563,00011,798,42010,534,920

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$2.79$2.7576.2%21.8%104.1%46.6%79.4%17.5%2.5%1.7M83.9M-3.9M2.076.27N/AN/A190,920396,0405,878,1205,920,300
2008-11-04$2.92$2.7568.3%19.6%98.7%38.2%77.0%17.6%2.1%3.0M-38.9M-4.0M2.565.31N/AN/A199,300510,8005,911,6605,989,340
2008-11-05$2.60$2.7583.1%23.8%105.6%54.0%80.7%16.0%-0.7%-239.4K257.1M-3.5M0.616.34N/AN/A1,156,040702,7605,954,5406,059,620
2008-11-06$2.36$2.7586.9%24.9%106.7%58.0%86.3%17.3%-2.7%-4.3M495.0M-2.9M1.234.51N/AN/A499,940614,3805,232,4006,210,580
2008-11-07$2.46$2.7581.3%23.3%108.1%52.1%80.7%17.6%-0.7%-3.7M418.8M-3.0M1.136.06N/AN/A294,840332,7605,252,7006,172,260
2008-11-10$2.42$2.7583.5%24.0%100.8%54.4%87.5%17.8%-0.5%-4.2M450.6M-2.9M1.173.91N/AN/A355,960418,1805,261,4606,190,260
2008-11-11$2.31$2.7582.7%23.6%95.7%53.5%82.9%17.2%-0.4%-4.8M514.3M-2.7M1.525.90N/AN/A442,940671,4205,328,9806,222,200
2008-11-12$2.08$2.5094.2%25.2%91.0%65.7%88.0%18.7%-2.4%-5.6M635.2M-2.3M2.143.99N/AN/A536,4401,150,6205,381,6606,370,320
2008-11-13$2.25$2.5083.9%24.0%95.1%54.8%84.7%17.4%-1.2%-5.5M539.5M-2.6M1.845.62N/AN/A589,8201,085,9605,472,6606,445,320
2008-11-14$2.09$2.5089.3%25.6%97.9%60.5%89.6%18.3%-1.7%-5.7M587.9M-2.3M0.644.34N/AN/A883,220565,6005,528,2206,437,700
2008-11-17$1.98$2.5096.5%27.7%96.7%68.1%93.2%18.5%-4.1%-4.4M592.3M-2.2M1.143.06N/AN/A465,680528,7405,907,7406,381,700
2008-11-18$1.92$2.50101.5%29.1%95.9%73.5%101.1%19.2%-3.8%-4.3M606.0M-2.1M1.403.65N/AN/A551,840772,2405,921,0806,307,920
2008-11-19$1.79$2.50109.3%31.3%97.9%81.8%109.1%21.5%-2.9%-3.7M612.3M-1.9M2.023.15N/AN/A364,500736,0606,075,5206,311,400
2008-11-20$1.75$2.50118.6%34.0%97.5%91.6%113.6%22.9%-4.6%-3.7M612.1M-1.9M1.954.35N/AN/A454,860885,9606,019,2606,397,860
2008-11-21$1.89$2.3896.3%27.6%103.2%68.0%97.8%25.8%5.5%-2.5M603.9M-2.0M1.176.22N/AN/A598,100701,0806,091,2006,471,800
2008-11-24$2.13$2.1389.7%25.7%112.6%61.0%95.3%24.5%5.3%-1.7M326.2M-2.4M1.365.88N/AN/A473,600642,2404,821,7005,121,840
2008-11-25$2.11$2.1386.3%24.7%101.6%57.3%90.4%23.6%7.1%-1.9M338.4M-2.4M1.565.98N/AN/A183,040285,1204,917,0005,294,280
2008-11-26$2.20$2.1382.3%23.6%103.0%53.1%88.8%22.0%8.2%-1.7M294.6M-2.5M1.634.50N/AN/A264,440429,9604,985,9005,378,380
2008-11-28$2.13$2.1388.8%25.4%103.0%60.0%89.7%19.7%3.9%-2.0M327.6M-2.4M1.785.38N/AN/A56,480100,8005,069,4205,465,500