AMZN Options History — November 2009 In November 2009, AMZN traded between $5.86 and $6.80. ATM implied volatility averaged 37.5%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 33.8% (HV 20d: 71.3%). Max pain ranged from $5.25 to $6.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.10.
Notable Days 2009-11-06 : Highest Volume — 2,432,160 contracts2009-11-27 : Largest IV spike — 13.5% change2009-11-02 : Highest IV Rank — 14.2%2009-11-02 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.43 $5.86 $6.80 $5.94 $6.80 Max Pain $5.83 $5.25 $6.25 $5.25 $6.25 ATM IV 37.5% 31.1% 42.9% 42.9% 35.4% Expected Move 10.8% 8.9% 12.3% 12.3% 10.1% HV 20d 71.3% 27.5% 90.4% 89.2% 27.5% HV 60d 57.9% 57.3% 58.3% 58.0% 57.6% IV Rank 8.2% 1.0% 14.2% 14.2% 6.2% IV Percentile 19.3% 0.4% 40.5% 40.5% 9.9% Term Structure 1.3% -0.3% 3.2% -0.3% 2.7% VWIV 38.8% 32.7% 44.8% 44.8% 37.0% Skew 25d 4.6% 3.6% 5.8% 5.8% 4.0% Skew 10d 9.5% 7.4% 13.2% 11.4% 8.1% Call IV 25d 36.0% 30.0% 41.2% 41.2% 33.9% Put IV 25d 40.6% 34.0% 47.1% 47.1% 37.9% Bid-Ask Spread % 4.04 2.83 5.64 5.27 3.29 Gamma HHI 0.14 0.11 0.20 0.12 0.13 Net GEX 19.8M 7.8M 27.3M 9.3M 26.7M Net DEX -2.51B -3.15B -1.73B -1.91B -2.45B Net VEX -6.8M -7.6M -6.4M -7.5M -6.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.75 1.73 1.47 0.82 Total Volume 1,278,909 713,500 2,432,160 1,600,140 1,097,880 Total OI 13,524,570 10,586,220 15,110,580 13,717,620 11,416,900
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 2009-11-02 $5.94 $5.25 42.9% 12.3% 89.2% 14.2% 44.8% 5.8% -0.3% 9.3M -1.91B -7.5M 1.47 5.27 N/A N/A 647,180 952,960 6,683,860 7,033,760 2009-11-03 $5.92 $5.25 41.8% 12.0% 89.4% 13.0% 44.0% 5.7% 0.3% 8.8M -1.84B -7.6M 1.02 4.82 N/A N/A 607,420 622,360 6,681,040 7,008,780 2009-11-04 $5.86 $5.25 42.1% 12.1% 89.5% 13.3% 41.5% 5.3% 0.2% 7.8M -1.73B -7.5M 0.75 4.00 N/A N/A 480,360 360,660 6,713,400 7,012,100 2009-11-05 $6.03 $5.25 41.0% 11.8% 89.7% 12.1% 42.4% 5.6% 0.5% 13.4M -2.07B -7.3M 1.35 4.36 N/A N/A 481,340 648,320 6,715,020 7,005,860 2009-11-06 $6.31 $5.75 39.1% 11.9% 90.4% 10.0% 42.0% 4.3% 0.7% 21.8M -2.60B -7.2M 0.93 4.87 N/A N/A 1,257,400 1,174,760 6,745,380 7,115,520 2009-11-09 $6.33 $5.75 38.3% 11.4% 89.5% 9.0% 39.9% 4.4% 0.6% 22.9M -2.63B -6.9M 0.98 5.64 N/A N/A 700,700 687,100 6,900,160 7,215,180 2009-11-10 $6.51 $5.75 40.3% 11.7% 89.6% 11.3% 42.3% 4.4% 0.1% 24.8M -2.89B -7.0M 1.08 4.12 N/A N/A 800,480 867,380 6,848,100 7,284,060 2009-11-11 $6.50 $5.75 38.3% 11.3% 89.7% 9.0% 40.3% 4.3% 0.5% 24.2M -2.93B -6.6M 1.19 4.67 N/A N/A 650,180 776,420 6,891,320 7,368,320 2009-11-12 $6.53 $5.75 40.2% 11.5% 89.1% 11.1% 41.5% 4.5% 0.7% 22.5M -2.92B -6.8M 1.73 4.41 N/A N/A 570,020 983,880 6,957,840 7,518,060 2009-11-13 $6.65 $6.00 37.3% 10.7% 88.7% 7.9% 39.4% 4.7% 1.5% 27.3M -3.15B -6.5M 1.67 3.98 N/A N/A 484,960 809,360 6,980,140 7,655,680 2009-11-16 $6.58 $6.00 39.0% 11.2% 88.9% 9.8% 39.3% 5.0% 0.6% 24.6M -3.00B -6.5M 0.91 4.63 N/A N/A 814,400 742,320 7,019,380 7,755,420 2009-11-17 $6.56 $6.00 37.0% 10.6% 89.0% 7.5% 37.6% 5.2% 1.6% 20.9M -2.96B -6.6M 1.10 3.26 N/A N/A 610,680 671,880 7,116,060 7,816,460 2009-11-18 $6.56 $6.00 35.2% 10.1% 88.4% 5.6% 35.6% 4.7% 1.9% 25.9M -3.02B -6.5M 1.26 3.41 N/A N/A 480,080 605,780 7,174,500 7,833,760 2009-11-19 $6.45 $6.00 35.2% 10.1% 89.1% 5.5% 35.9% 4.2% 1.5% 13.3M -2.70B -6.7M 0.89 3.43 N/A N/A 660,460 588,760 7,178,220 7,903,780 2009-11-20 $6.48 $6.00 35.4% 10.2% 33.1% 5.7% 36.4% 4.5% 1.7% 21.4M -2.77B -6.6M 0.75 3.43 N/A N/A 774,040 578,460 7,227,480 7,883,100 2009-11-23 $6.65 $6.00 33.1% 9.5% 29.5% 3.5% 35.0% 4.6% 2.8% 19.4M -2.17B -6.5M 1.17 2.83 N/A N/A 490,060 571,520 5,258,000 5,328,220 2009-11-24 $6.65 $6.00 31.6% 9.0% 28.1% 1.5% 33.3% 3.8% 3.1% 20.7M -2.18B -6.4M 1.32 3.35 N/A N/A 371,260 490,200 5,391,100 5,498,800 2009-11-25 $6.70 $6.25 31.1% 8.9% 28.0% 1.0% 32.7% 4.0% 3.2% 22.0M -2.26B -6.4M 0.83 3.00 N/A N/A 410,840 342,820 5,486,940 5,589,640 2009-11-27 $6.59 $6.25 35.3% 10.1% 29.0% 6.2% 35.9% 3.6% 2.6% 19.2M -2.10B -6.7M 0.81 3.99 N/A N/A 394,620 318,880 5,603,680 5,676,380 2009-11-30 $6.80 $6.25 35.4% 10.1% 27.5% 6.2% 37.0% 4.0% 2.7% 26.7M -2.45B -6.4M 0.82 3.29 N/A N/A 602,200 495,680 5,702,740 5,714,160
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