AMZN Options History — November 2014

In November 2014, AMZN traded between $14.83 and $16.93. ATM implied volatility averaged 24.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 9.7% (HV 20d: 34.6%). Max pain ranged from $16.00 to $16.75. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2014-11-14: Highest Volume — 6,189,160 contracts
  • 2014-11-05: Largest IV spike — 8.2% change
  • 2014-11-20: Highest IV Rank — 25.2%
  • 2014-11-24: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.93$14.83$16.93$15.28$16.93
Max Pain$16.13$16.00$16.75$16.00$16.75
ATM IV24.9%23.5%27.4%23.6%24.3%
Expected Move8.2%7.7%8.7%7.7%8.7%
HV 20d34.6%21.6%40.6%39.7%21.6%
HV 60d28.9%27.8%29.8%28.2%29.3%
IV Rank16.9%12.0%25.2%12.2%14.6%
IV Percentile25.9%10.3%50.4%10.3%19.0%
Term Structure-0.1%-0.8%0.6%0.3%0.3%
VWIV29.4%26.7%31.9%26.7%30.8%
Skew 25d1.8%0.6%3.7%1.4%0.8%
Skew 10d4.0%2.0%6.1%4.5%2.8%
Call IV 25d24.9%23.1%27.9%24.0%24.9%
Put IV 25d26.7%25.4%28.9%25.4%25.8%
Bid-Ask Spread %14.932.2925.3821.335.94
Gamma HHI0.090.040.350.040.12
Net GEX138.2M-29.1M417.3M30.5M227.0M
Net DEX-1.52B-3.59B1.13B190.0M-3.59B
Net VEX-17.5M-19.9M-15.0M-15.2M-18.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.541.141.080.54
Total Volume1,990,271.5791,046,2206,189,1601,112,6402,136,980
Total OI11,098,833.6849,678,96012,513,9409,678,96011,350,340

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$15.28$16.0023.6%7.7%39.7%12.2%26.7%1.4%0.3%30.5M190.0M-15.2M1.0821.33N/AN/A533,900578,7404,848,3204,830,640
2014-11-04$15.15$16.0023.6%7.7%39.5%12.3%27.1%2.7%0.6%11.4M522.3M-15.0M1.0920.23N/AN/A526,640574,0404,943,5204,958,560
2014-11-05$14.83$16.0025.5%8.0%39.3%18.9%27.8%2.8%0.0%-25.8M1.11B-15.0M1.1425.38N/AN/A887,5401,011,9205,088,2405,113,840
2014-11-06$14.83$16.0025.2%8.0%38.7%17.8%28.6%3.7%0.2%-29.1M1.13B-15.0M0.9523.34N/AN/A881,580840,0805,340,5805,324,420
2014-11-07$14.99$16.0024.0%7.9%39.0%13.6%28.7%2.2%0.1%138.3M634.9M-15.6M0.8719.48N/AN/A922,240803,3205,627,5005,477,000
2014-11-10$15.24$16.0023.9%7.7%38.2%13.4%28.3%2.4%-0.2%62.2M110.8M-15.7M0.8719.98N/AN/A642,960562,0405,341,8605,126,260
2014-11-11$15.60$16.0023.9%7.8%38.7%13.3%27.9%2.4%-0.1%105.4M-711.9M-15.9M0.9122.95N/AN/A1,155,3401,048,1205,319,5205,109,140
2014-11-12$15.58$16.0023.5%8.0%38.2%12.0%28.1%3.2%0.3%112.6M-744.9M-16.7M0.9817.77N/AN/A623,740613,1005,700,2005,477,380
2014-11-13$15.80$16.0024.9%8.1%38.2%16.7%28.7%2.1%-0.5%152.2M-1.40B-17.2M0.7417.54N/AN/A1,511,4401,119,8005,805,5205,610,500
2014-11-14$16.39$16.0026.2%8.2%40.1%21.3%30.0%0.9%-0.4%223.0M-3.31B-19.0M0.6817.80N/AN/A3,677,9202,511,2406,184,8005,854,080
2014-11-17$16.14$16.0026.3%8.3%40.6%21.5%29.9%0.8%0.2%146.2M-2.04B-19.4M0.7811.42N/AN/A1,146,640893,4406,022,8805,445,640
2014-11-18$16.25$16.0026.3%8.3%39.5%21.4%29.7%0.7%-0.5%176.8M-2.41B-19.5M0.6911.61N/AN/A1,008,720700,3406,251,8605,524,780
2014-11-19$16.33$16.0027.3%8.5%39.4%25.0%30.1%0.6%-0.4%184.1M-2.61B-19.8M0.6013.81N/AN/A787,700474,9606,432,0605,663,380
2014-11-20$16.50$16.0027.4%8.6%39.5%25.2%30.5%1.0%-0.4%224.6M-3.18B-19.9M0.6511.56N/AN/A1,467,120947,1606,498,9805,650,540
2014-11-21$16.62$16.0025.6%8.5%22.3%19.2%30.4%1.2%-0.2%417.3M-3.51B-19.5M0.7411.87N/AN/A2,025,4201,499,8806,662,4805,851,460
2014-11-24$16.78$0.0024.4%8.7%22.3%15.0%30.7%1.5%-0.2%160.5M-3.18B-18.5M0.752.29N/AN/A731,420546,7205,727,2204,764,800
2014-11-25$16.76$16.7524.3%8.6%21.7%14.6%31.9%1.8%-0.8%160.6M-3.06B-19.1M0.934.28N/AN/A714,500662,2405,875,8804,951,800
2014-11-26$16.68$16.7523.7%8.5%21.7%12.7%31.6%1.7%-0.7%148.1M-2.84B-18.3M0.985.14N/AN/A528,960517,2605,977,0205,144,840
2014-11-28$16.93$16.7524.3%8.7%21.6%14.6%30.8%0.8%0.3%227.0M-3.59B-18.4M0.545.94N/AN/A1,383,560753,4206,040,8405,309,500