AMZN Options History — November 2010 In November 2010, AMZN traded between $7.89 and $8.97. ATM implied volatility averaged 35.9%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.4% (HV 20d: 32.6%). Max pain ranged from $8.00 to $8.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.99.
Notable Days 2010-11-24 : Highest Volume — 3,396,260 contracts2010-11-10 : Largest IV drop — 17.4% change2010-11-30 : Highest IV Rank — 57.3%2010-11-30 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $8.43 $7.89 $8.97 $8.13 $8.77 Max Pain $8.36 $8.00 $8.50 $8.00 $8.50 ATM IV 35.9% 28.4% 44.5% 39.6% 44.5% Expected Move 9.9% 9.0% 11.4% 9.8% 11.4% HV 20d 32.6% 28.4% 36.7% 36.7% 36.3% HV 60d 32.0% 30.5% 34.3% 31.4% 32.5% IV Rank 32.1% 10.0% 57.3% 42.9% 57.3% IV Percentile 47.3% 5.6% 87.7% 70.2% 87.7% Term Structure -0.1% -1.8% 1.5% -0.1% -1.8% VWIV 35.1% 32.0% 40.3% 35.6% 40.3% Skew 25d 3.9% 2.9% 4.8% 3.8% 2.9% Skew 10d 7.7% 5.8% 9.6% 7.2% 5.8% Call IV 25d 33.1% 30.1% 38.9% 33.8% 38.9% Put IV 25d 37.0% 33.7% 41.7% 37.6% 41.7% Bid-Ask Spread % 5.51 2.91 9.81 3.95 2.91 Gamma HHI 0.14 0.08 0.38 0.09 0.11 Net GEX 8.4M -39.4M 37.3M -1.8M 17.1M Net DEX -1.20B -1.88B -328.9M -823.0M -1.56B Net VEX -8.2M -8.9M -7.7M -7.7M -8.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.47 1.54 1.16 0.82 Total Volume 1,617,955.238 918,020 3,396,260 991,440 1,421,800 Total OI 10,163,478.095 8,399,000 11,165,500 9,297,720 10,219,660
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 2010-11-01 $8.13 $8.00 39.6% 9.8% 36.7% 42.9% 35.6% 3.8% -0.1% -1.8M -823.0M -7.7M 1.16 3.95 N/A N/A 458,460 532,980 3,869,560 5,428,160 2010-11-02 $8.23 $8.00 40.3% 9.5% 34.9% 45.0% 34.2% 4.2% 0.9% 3.6M -966.1M -7.8M 1.05 4.30 N/A N/A 448,860 469,160 3,905,580 5,486,360 2010-11-03 $8.42 $8.00 37.2% 9.3% 33.0% 35.8% 34.4% 4.2% 0.8% 14.6M -1.28B -7.7M 1.03 3.68 N/A N/A 685,880 707,920 3,971,560 5,662,960 2010-11-04 $8.45 $8.00 33.2% 9.3% 33.0% 23.9% 33.9% 4.4% 0.9% 18.5M -1.37B -7.7M 1.12 3.50 N/A N/A 882,500 992,080 4,044,540 5,818,540 2010-11-05 $8.54 $8.50 35.4% 9.7% 32.9% 30.5% 34.8% 4.2% -0.3% 25.2M -1.49B -8.0M 1.50 6.66 N/A N/A 807,660 1,211,520 4,181,760 6,049,580 2010-11-08 $8.60 $8.50 37.0% 9.8% 32.0% 35.1% 34.0% 3.8% -0.2% 14.5M -1.46B -8.2M 1.54 9.55 N/A N/A 615,720 946,660 4,073,620 6,049,180 2010-11-09 $8.51 $8.50 34.4% 9.4% 31.8% 27.6% 33.7% 3.4% 0.3% 3.0M -1.28B -8.3M 1.44 5.62 N/A N/A 467,400 673,620 4,164,220 6,492,980 2010-11-10 $8.67 $8.50 28.4% 9.0% 31.8% 10.0% 32.4% 3.9% 0.5% 19.1M -1.58B -8.1M 0.97 9.35 N/A N/A 609,940 589,520 4,241,620 6,611,960 2010-11-11 $8.52 $8.50 32.6% 9.4% 32.8% 22.4% 32.9% 3.9% 0.3% 4.6M -1.37B -8.3M 1.26 7.47 N/A N/A 515,060 648,060 4,385,740 6,653,400 2010-11-12 $8.28 $8.50 35.4% 10.1% 28.4% 30.4% 36.0% 4.4% -0.5% -39.4M -871.6M -8.7M 1.33 7.69 N/A N/A 1,019,820 1,358,180 4,433,380 6,732,120 2010-11-15 $7.95 $8.50 35.8% 10.3% 32.0% 31.8% 35.7% 3.6% -0.7% -27.5M -349.7M -8.4M 0.98 9.81 N/A N/A 1,178,440 1,153,460 4,312,420 6,473,120 2010-11-16 $7.89 $8.50 36.2% 10.4% 30.3% 32.8% 36.5% 4.8% -0.4% -23.8M -328.9M -8.5M 0.81 5.55 N/A N/A 879,480 713,140 4,462,000 6,473,840 2010-11-17 $7.92 $8.50 35.0% 10.0% 30.3% 29.2% 35.0% 4.2% 0.5% -16.4M -426.7M -8.4M 1.08 6.15 N/A N/A 455,240 490,760 4,518,640 6,454,960 2010-11-18 $8.21 $8.25 32.1% 9.2% 29.8% 20.9% 32.5% 3.7% 1.0% 11.9M -1.04B -8.3M 0.84 6.67 N/A N/A 820,140 685,880 4,563,660 6,408,120 2010-11-19 $8.24 $8.50 31.3% 9.0% 28.4% 18.5% 32.0% 3.6% 1.5% 37.3M -999.3M -8.1M 0.72 4.87 N/A N/A 678,500 489,920 4,545,860 6,545,700 2010-11-22 $8.52 $8.25 32.3% 9.3% 30.9% 21.4% 32.7% 3.1% 0.3% 16.0M -1.31B -7.8M 0.47 4.41 N/A N/A 1,241,180 579,060 3,438,520 4,960,480 2010-11-23 $8.41 $8.25 34.9% 10.0% 31.2% 28.9% 35.4% 3.3% -0.6% 21.0M -1.23B -8.2M 0.74 2.97 N/A N/A 841,500 621,440 3,766,760 5,132,520 2010-11-24 $8.86 $8.25 35.7% 10.2% 35.9% 31.3% 36.6% 3.8% -0.6% 33.9M -1.85B -8.4M 0.65 3.10 N/A N/A 2,054,880 1,341,380 3,916,100 5,321,720 2010-11-26 $8.86 $8.50 39.8% 11.1% 35.8% 43.4% 38.5% 4.4% -1.8% 17.3M -1.80B -8.7M 0.54 3.30 N/A N/A 866,540 465,760 4,206,580 5,758,420 2010-11-29 $8.97 $8.50 43.5% 10.8% 35.7% 54.3% 38.9% 3.5% -1.5% 26.9M -1.88B -8.4M 0.72 4.27 N/A N/A 1,371,140 986,420 4,122,240 5,574,900 2010-11-30 $8.77 $8.50 44.5% 11.4% 36.3% 57.3% 40.3% 2.9% -1.8% 17.1M -1.56B -8.9M 0.82 2.91 N/A N/A 780,620 641,180 4,364,980 5,854,680
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