AMZN Options History — November 2013

In November 2013, AMZN traded between $17.18 and $19.68. ATM implied volatility averaged 25.0%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 12.7% (HV 20d: 37.7%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2013-11-07: Highest Volume — 2,300,020 contracts
  • 2013-11-08: Largest IV drop — 8.2% change
  • 2013-11-07: Highest IV Rank — 8.3%
  • 2013-11-19: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.24$17.18$19.68$17.95$19.68
Max Pain$15.40$15.00$15.50$15.00$15.50
ATM IV25.0%23.1%27.9%24.6%24.1%
Expected Move9.0%9.0%9.1%9.0%9.1%
HV 20d37.7%24.0%44.7%44.7%24.7%
HV 60d31.3%30.4%32.0%30.4%31.2%
IV Rank5.7%3.9%8.3%5.3%4.8%
IV Percentile30.6%10.7%57.5%26.6%21.8%
Term Structure0.3%-1.0%1.7%1.5%0.4%
VWIV32.3%30.7%33.9%32.9%31.1%
Skew 25d1.9%1.2%2.5%1.6%1.4%
Skew 10d4.5%3.0%6.0%3.8%3.3%
Call IV 25d24.6%22.8%27.7%23.8%24.0%
Put IV 25d26.6%24.3%29.4%25.4%25.4%
Bid-Ask Spread %7.615.499.605.518.16
Gamma HHI0.130.070.280.200.07
Net GEX68.0M-16.0M130.0M73.7M86.4M
Net DEX-2.59B-3.98B-1.30B-2.56B-3.98B
Net VEX-9.0M-9.3M-8.5M-8.8M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.631.281.090.63
Total Volume1,129,696657,8202,300,0201,241,2601,402,680
Total OI6,216,2305,356,3406,754,9806,754,9806,683,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$17.95$15.0024.6%9.0%44.7%5.3%32.9%1.6%1.5%73.7M-2.56B-8.8M1.095.51N/AN/A594,180647,0803,078,2403,676,740
2013-11-04$17.94$15.0025.5%9.0%42.9%6.1%31.9%2.3%0.0%45.8M-2.42B-8.9M0.975.50N/AN/A472,800459,2802,749,3803,163,540
2013-11-05$17.94$15.0026.1%9.0%41.5%6.7%32.5%1.2%0.2%54.1M-2.48B-9.0M1.106.73N/AN/A321,980352,6402,883,9803,312,200
2013-11-06$17.81$15.5026.2%9.0%40.9%6.8%32.8%1.8%0.1%34.9M-2.18B-8.9M1.137.16N/AN/A412,800467,8002,877,1803,305,200
2013-11-07$17.18$15.0027.9%9.0%43.5%8.3%32.1%1.7%0.1%-16.0M-1.30B-9.1M0.915.57N/AN/A1,204,0601,095,9602,955,6403,392,660
2013-11-08$17.52$15.5025.6%9.0%43.6%6.2%32.1%1.9%-0.3%-617.4K-2.00B-9.1M1.288.24N/AN/A541,600695,8403,229,7203,520,160
2013-11-11$17.72$15.5026.1%9.0%43.5%6.7%31.0%2.1%-0.3%68.3M-2.30B-9.0M1.055.49N/AN/A347,180364,2002,938,0803,204,400
2013-11-12$17.48$15.5026.0%9.0%43.5%6.6%32.8%2.1%-0.2%43.6M-1.91B-9.2M1.167.66N/AN/A338,340394,1403,037,5603,330,640
2013-11-13$17.81$15.5025.4%9.0%43.7%6.0%33.1%2.1%-0.5%79.5M-2.44B-9.0M0.777.16N/AN/A506,060391,0603,068,5603,396,040
2013-11-14$18.37$15.5025.3%9.0%44.4%6.0%31.8%2.5%-1.0%119.1M-3.23B-8.5M0.798.50N/AN/A993,100787,7003,013,9403,403,040
2013-11-15$18.46$15.5025.4%9.0%40.6%6.0%32.1%2.1%-0.5%130.0M-3.26B-8.8M0.799.06N/AN/A972,860771,3803,131,5403,556,160
2013-11-18$18.31$15.5024.9%9.0%40.6%5.5%33.3%2.0%0.8%73.2M-2.37B-8.8M1.037.77N/AN/A528,900545,7202,666,3802,689,960
2013-11-19$18.25$15.5025.3%9.1%40.4%5.9%32.3%2.5%0.7%57.8M-2.23B-9.2M1.247.97N/AN/A331,320409,9402,805,1602,913,800
2013-11-20$18.13$15.5024.5%9.1%39.8%5.2%33.5%2.1%1.0%48.9M-2.08B-9.3M1.039.60N/AN/A324,220333,6002,891,7403,031,500
2013-11-21$18.45$15.5023.9%9.1%39.8%4.7%32.0%2.1%0.1%81.2M-2.57B-9.0M1.289.29N/AN/A316,980405,4202,921,4803,092,100
2013-11-22$18.62$15.5024.0%9.1%24.5%4.7%30.7%1.9%-0.4%77.6M-2.86B-9.0M0.947.86N/AN/A761,900712,6402,989,2003,179,600
2013-11-25$18.83$15.5023.6%9.0%24.0%4.4%33.9%2.3%1.5%92.5M-2.90B-8.7M1.119.19N/AN/A561,600625,8602,821,0602,926,440
2013-11-26$19.07$15.5023.2%9.1%24.0%4.0%31.3%1.9%1.7%101.3M-3.15B-9.0M1.057.77N/AN/A475,520499,1402,923,4003,209,640
2013-11-27$19.34$15.5023.1%9.0%24.2%3.9%32.6%1.2%0.8%109.6M-3.52B-8.9M1.038.08N/AN/A602,860623,5802,998,8003,356,200
2013-11-29$19.68$15.5024.1%9.1%24.7%4.8%31.1%1.4%0.4%86.4M-3.98B-8.9M0.638.16N/AN/A862,680540,0003,151,2403,532,300