AMZN Options History — November 2016

In November 2016, AMZN traded between $35.92 and $39.44. ATM implied volatility averaged 24.3%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 8.9% (HV 20d: 33.1%). Max pain ranged from $38.25 to $39.75. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2016-11-10: Highest Volume — 3,933,480 contracts
2016-11-10: Largest IV spike — 17.5% change
2016-11-14: Highest IV Rank — 38.9%
2016-11-14: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.14	$35.92	$39.44	$39.19	$37.69
Max Pain	$38.86	$38.25	$39.75	$39.25	$38.50
ATM IV	24.3%	20.9%	29.9%	23.6%	23.1%
Expected Move	7.0%	5.9%	8.6%	7.0%	6.8%
HV 20d	33.1%	25.7%	37.9%	25.7%	31.9%
HV 60d	23.7%	19.2%	26.0%	19.2%	25.8%
IV Rank	23.7%	14.6%	38.9%	21.9%	20.6%
IV Percentile	26.3%	15.5%	48.0%	22.6%	23.4%
Term Structure	-0.2%	-0.7%	0.1%	-0.3%	-0.1%
VWIV	24.8%	21.7%	30.3%	25.1%	24.4%
Skew 25d	2.6%	1.7%	3.5%	2.5%	1.8%
Skew 10d	4.8%	2.8%	6.3%	4.8%	3.4%
Call IV 25d	23.3%	20.1%	28.3%	22.5%	22.5%
Put IV 25d	25.9%	22.5%	31.8%	25.0%	24.3%
Bid-Ask Spread %	40.94	25.94	48.96	45.55	46.66
Gamma HHI	0.04	0.02	0.12	0.03	0.03
Net GEX	-33.5M	-385.6M	322.9M	-65.4M	-209.1M
Net DEX	-2.37B	-6.54B	1.85B	-2.95B	-1.60B
Net VEX	-35.4M	-38.5M	-32.9M	-33.6M	-37.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.71	1.16	1.00	0.83
Total Volume	2,234,774.286	1,350,240	3,933,480	2,097,260	2,170,740
Total OI	11,215,133.333	10,185,660	12,677,320	10,359,760	11,340,240

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
2016-11-01	$39.19	$39.25	23.6%	7.0%	25.7%	21.9%	25.1%	2.5%	-0.3%	-65.4M	-2.95B	-33.6M	1.00	45.55	N/A	N/A	1,050,360	1,046,900	4,924,780	5,434,980
2016-11-02	$38.27	$39.25	24.4%	7.5%	25.9%	24.2%	26.0%	2.5%	-0.3%	-291.8M	-546.9M	-34.0M	0.85	48.96	N/A	N/A	1,185,700	1,011,880	5,197,560	5,656,640
2016-11-03	$38.26	$39.75	24.6%	6.9%	26.0%	24.6%	24.1%	3.0%	-0.4%	-337.0M	-579.8M	-33.8M	0.92	37.15	N/A	N/A	1,044,220	957,320	5,512,700	5,772,760
2016-11-04	$37.70	$39.75	24.8%	7.1%	26.2%	25.1%	24.5%	3.4%	-0.3%	-385.6M	1.19B	-33.1M	1.16	46.32	N/A	N/A	1,269,520	1,470,480	5,597,040	5,879,500
2016-11-07	$39.23	$39.50	23.0%	6.6%	30.6%	20.3%	23.2%	3.3%	0.0%	70.1M	-3.94B	-33.7M	0.87	47.45	N/A	N/A	944,260	818,740	4,907,440	5,278,220
2016-11-08	$39.44	$39.50	22.4%	6.4%	30.5%	18.8%	22.8%	3.1%	0.1%	133.6M	-4.57B	-33.4M	0.93	46.75	N/A	N/A	728,880	677,240	5,062,360	5,457,320
2016-11-09	$38.47	$39.25	23.5%	6.8%	31.5%	21.6%	23.9%	2.5%	0.1%	-111.2M	-2.09B	-32.9M	0.86	25.94	N/A	N/A	1,189,480	1,028,380	5,200,360	5,606,360
2016-11-10	$36.99	$39.25	27.6%	7.8%	33.8%	32.6%	27.6%	2.9%	-0.4%	-292.4M	1.38B	-33.0M	0.86	28.44	N/A	N/A	2,119,680	1,813,800	5,448,720	5,804,560
2016-11-11	$36.88	$39.00	26.4%	7.5%	33.8%	29.4%	26.7%	2.6%	-0.4%	-327.3M	1.55B	-34.3M	0.71	47.50	N/A	N/A	1,938,040	1,368,460	5,940,180	6,157,260
2016-11-14	$35.92	$38.75	29.9%	8.6%	34.5%	38.9%	30.3%	3.5%	-0.7%	-163.5M	1.85B	-32.9M	0.86	39.87	N/A	N/A	1,420,960	1,221,420	5,355,420	5,578,540
2016-11-15	$37.19	$38.50	25.9%	7.4%	37.2%	28.0%	26.4%	3.0%	-0.3%	-34.0M	-1.22B	-36.7M	0.76	30.17	N/A	N/A	1,166,440	887,960	5,789,260	5,916,800
2016-11-16	$37.30	$38.50	25.9%	7.4%	37.3%	28.1%	26.3%	3.1%	-0.2%	-24.0M	-1.44B	-36.6M	0.96	44.14	N/A	N/A	826,320	792,660	5,884,140	6,076,100
2016-11-17	$37.77	$38.25	25.8%	7.4%	37.7%	27.9%	26.3%	3.1%	-0.2%	94.2M	-3.03B	-36.7M	1.05	42.35	N/A	N/A	1,003,040	1,050,900	6,071,340	6,250,020
2016-11-18	$38.13	$38.25	24.6%	7.1%	37.8%	24.7%	25.2%	2.9%	-0.1%	293.5M	-4.16B	-37.3M	0.94	44.83	N/A	N/A	1,605,000	1,503,720	6,174,820	6,502,500
2016-11-21	$38.96	$38.25	20.9%	5.9%	37.7%	14.6%	21.7%	2.5%	-0.2%	227.6M	-5.72B	-36.0M	0.97	38.55	N/A	N/A	1,121,480	1,089,900	4,990,620	5,213,940
2016-11-22	$39.25	$38.50	21.6%	6.1%	37.9%	16.5%	22.0%	2.4%	-0.2%	313.7M	-6.54B	-37.4M	0.87	31.69	N/A	N/A	1,339,680	1,171,720	5,231,560	5,554,980
2016-11-23	$38.93	$38.50	22.2%	6.3%	37.8%	18.1%	22.7%	1.9%	-0.1%	147.5M	-5.34B	-38.4M	0.78	34.33	N/A	N/A	1,120,940	868,760	5,536,960	5,880,120
2016-11-25	$39.02	$38.50	22.4%	6.4%	37.9%	18.9%	23.0%	2.0%	-0.2%	322.9M	-5.63B	-38.5M	1.01	46.87	N/A	N/A	901,980	909,600	5,695,360	6,075,320
2016-11-28	$38.31	$38.50	23.7%	7.0%	32.4%	22.3%	25.1%	1.9%	-0.1%	-3.0M	-3.44B	-36.8M	0.79	41.79	N/A	N/A	972,040	771,420	5,087,420	5,439,140
2016-11-29	$38.09	$38.50	23.3%	6.9%	31.8%	21.2%	24.5%	1.7%	0.0%	-62.8M	-2.88B	-36.8M	0.94	44.43	N/A	N/A	695,820	654,420	5,338,560	5,695,900
2016-11-30	$37.69	$38.50	23.1%	6.8%	31.9%	20.6%	24.4%	1.8%	-0.1%	-209.1M	-1.60B	-37.6M	0.83	46.66	N/A	N/A	1,184,680	986,060	5,462,360	5,877,880