AMZN Options History — November 2015

In November 2015, AMZN traded between $31.34 and $33.95. ATM implied volatility averaged 27.7%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.3% (HV 20d: 27.4%). Max pain ranged from $28.38 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2015-11-13: Highest Volume — 3,894,000 contracts
2015-11-13: Largest IV spike — 8.5% change
2015-11-16: Highest IV Rank — 25.6%
2015-11-16: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.87	$31.34	$33.95	$31.40	$33.24
Max Pain	$29.99	$28.38	$31.00	$28.38	$31.00
ATM IV	27.7%	23.3%	30.8%	23.3%	29.1%
Expected Move	8.0%	6.4%	8.8%	6.4%	8.7%
HV 20d	27.4%	22.8%	30.7%	30.0%	24.0%
HV 60d	32.2%	28.4%	34.7%	34.0%	28.5%
IV Rank	17.6%	5.6%	25.6%	5.7%	21.3%
IV Percentile	43.4%	13.9%	53.2%	14.3%	48.8%
Term Structure	-0.0%	-0.5%	0.7%	0.7%	0.3%
VWIV	28.2%	23.1%	31.4%	23.1%	30.5%
Skew 25d	3.0%	1.0%	3.8%	3.0%	3.8%
Skew 10d	6.3%	2.3%	8.5%	6.0%	7.0%
Call IV 25d	26.6%	22.1%	29.5%	22.1%	27.4%
Put IV 25d	29.6%	25.1%	32.9%	25.1%	31.2%
Bid-Ask Spread %	28.77	17.33	54.37	31.68	38.60
Gamma HHI	0.07	0.04	0.17	0.05	0.05
Net GEX	216.7M	41.0M	332.5M	158.0M	132.8M
Net DEX	-10.08B	-12.27B	-7.81B	-8.57B	-7.81B
Net VEX	-18.7M	-20.9M	-15.8M	-17.1M	-20.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.62	1.29	1.18	1.02
Total Volume	2,064,854	673,980	3,894,000	1,066,760	1,791,240
Total OI	10,329,893	8,800,520	12,024,360	9,093,400	9,191,220

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
2015-11-02	$31.40	$28.38	23.3%	6.4%	30.0%	5.7%	23.1%	3.0%	0.7%	158.0M	-8.57B	-17.1M	1.18	31.68	N/A	N/A	490,360	576,400	4,065,940	5,027,460
2015-11-03	$31.34	$28.38	23.3%	6.4%	29.3%	5.6%	23.1%	3.1%	0.7%	175.3M	-8.55B	-17.4M	1.29	34.10	N/A	N/A	395,880	509,060	4,205,440	5,159,220
2015-11-04	$31.99	$28.50	24.8%	6.9%	29.6%	9.6%	24.3%	3.2%	0.1%	225.9M	-9.89B	-15.9M	0.82	54.37	N/A	N/A	1,390,200	1,140,200	4,284,840	5,289,720
2015-11-05	$32.84	$29.00	25.5%	7.4%	28.7%	11.6%	26.5%	2.7%	0.0%	233.3M	-11.28B	-15.8M	0.95	20.59	N/A	N/A	1,283,280	1,218,840	4,479,500	5,560,700
2015-11-06	$32.97	$29.25	26.2%	7.6%	28.7%	13.4%	26.8%	1.0%	-0.5%	321.5M	-11.54B	-16.3M	0.78	38.17	N/A	N/A	1,321,000	1,030,320	4,703,280	5,834,620
2015-11-09	$32.77	$29.50	28.2%	8.0%	29.2%	18.7%	28.3%	2.8%	-0.1%	160.1M	-10.24B	-17.2M	0.88	32.78	N/A	N/A	760,320	672,040	4,455,880	5,331,180
2015-11-10	$32.96	$30.00	27.8%	7.9%	29.0%	17.7%	27.8%	2.8%	-0.2%	185.6M	-10.74B	-17.6M	0.89	28.69	N/A	N/A	739,560	661,700	4,695,620	5,547,180
2015-11-11	$33.32	$30.00	27.4%	7.9%	28.1%	16.7%	28.4%	2.7%	0.1%	236.4M	-11.59B	-17.7M	1.11	37.49	N/A	N/A	318,740	355,240	4,898,820	5,691,440
2015-11-12	$33.26	$30.25	28.1%	8.1%	26.8%	18.6%	28.2%	2.4%	0.0%	194.4M	-11.31B	-18.5M	0.79	24.22	N/A	N/A	1,075,000	846,040	5,109,180	5,958,500
2015-11-13	$32.12	$30.25	30.5%	8.8%	30.7%	25.0%	30.2%	3.2%	-0.0%	41.0M	-8.15B	-20.2M	0.91	24.73	N/A	N/A	2,041,980	1,852,020	5,336,140	6,088,420
2015-11-16	$32.39	$30.50	30.8%	8.8%	30.7%	25.6%	31.4%	3.7%	-0.3%	174.8M	-9.46B	-20.3M	0.62	27.74	N/A	N/A	1,780,760	1,107,880	5,137,580	5,691,260
2015-11-17	$32.15	$30.25	30.3%	8.7%	28.3%	24.4%	30.9%	3.4%	-0.3%	186.5M	-9.32B	-20.9M	0.84	27.06	N/A	N/A	887,060	742,340	5,389,580	5,872,900
2015-11-18	$33.24	$30.25	29.2%	8.4%	29.5%	21.4%	29.9%	3.4%	-0.4%	332.5M	-12.06B	-20.1M	0.83	25.94	N/A	N/A	1,179,900	984,280	5,503,220	5,981,820
2015-11-19	$33.08	$30.50	29.6%	8.5%	29.8%	22.7%	30.0%	3.4%	-0.5%	305.8M	-11.54B	-20.1M	0.74	23.84	N/A	N/A	1,551,400	1,151,780	5,534,220	6,152,540
2015-11-20	$33.38	$30.50	28.4%	8.1%	22.8%	19.2%	29.1%	3.4%	0.2%	294.4M	-12.27B	-19.7M	0.78	17.33	N/A	N/A	1,627,200	1,270,140	5,675,920	6,348,440
2015-11-23	$33.95	$30.50	27.2%	7.9%	22.8%	16.1%	28.0%	3.0%	-0.0%	264.3M	-9.69B	-18.4M	0.78	23.39	N/A	N/A	1,326,900	1,036,140	4,255,100	4,545,420
2015-11-24	$33.56	$30.75	29.3%	8.5%	23.6%	21.7%	30.3%	3.2%	-0.1%	216.2M	-8.84B	-19.9M	0.79	23.81	N/A	N/A	1,211,280	958,920	4,541,060	4,909,140
2015-11-25	$33.76	$31.00	28.0%	8.1%	23.5%	18.3%	28.6%	2.9%	0.0%	325.2M	-9.56B	-20.1M	1.06	19.73	N/A	N/A	957,620	1,016,740	4,779,440	5,115,240
2015-11-27	$33.66	$31.00	28.1%	8.3%	23.3%	18.6%	29.1%	2.8%	-0.3%	169.1M	-9.11B	-19.9M	0.80	21.17	N/A	N/A	1,129,340	907,980	4,864,400	5,386,280
2015-11-30	$33.24	$31.00	29.1%	8.7%	24.0%	21.3%	30.5%	3.8%	0.3%	132.8M	-7.81B	-20.4M	1.02	38.60	N/A	N/A	884,880	906,360	4,369,400	4,821,820