AMZN Options History — November 2017 In November 2017, AMZN traded between $54.77 and $59.80. ATM implied volatility averaged 19.9%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 19.7% (HV 20d: 39.7%). Max pain ranged from $49.50 to $55.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.87.
Notable Days 2017-11-24 : Highest Volume — 4,526,700 contracts2017-11-29 : Largest IV spike — 19.8% change2017-11-29 : Highest IV Rank — 46.6%2017-11-29 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $56.98 $54.77 $59.80 $55.16 $58.82 Max Pain $51.96 $49.50 $55.00 $49.50 $55.00 ATM IV 19.9% 17.4% 22.8% 20.4% 21.0% Expected Move 5.8% 5.0% 7.1% 5.9% 6.3% HV 20d 39.7% 15.0% 45.6% 45.2% 18.3% HV 60d 29.0% 28.6% 29.7% 29.6% 29.5% IV Rank 32.7% 20.5% 46.6% 34.9% 38.0% IV Percentile 36.0% 21.8% 57.5% 37.3% 49.2% Term Structure 0.4% 0.0% 1.0% 0.5% 0.3% VWIV 21.0% 17.9% 25.3% 21.2% 22.6% Skew 25d 0.8% -0.4% 1.6% 0.7% 1.2% Skew 10d 1.7% -0.4% 3.5% 1.6% 2.6% Call IV 25d 19.9% 17.5% 22.5% 20.6% 20.8% Put IV 25d 20.7% 18.2% 24.1% 21.3% 22.0% Bid-Ask Spread % 38.49 27.92 49.62 39.78 49.31 Gamma HHI 0.07 0.04 0.25 0.05 0.05 Net GEX 578.6M -8.4M 1.34B 534.7M 242.5M Net DEX -21.38B -25.90B -15.42B -20.35B -19.30B Net VEX -66.6M -71.7M -59.0M -69.5M -70.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.69 1.11 0.80 0.77 Total Volume 2,568,723.81 1,714,260 4,526,700 1,819,360 2,711,160 Total OI 15,379,135.238 13,219,440 16,595,300 15,801,660 16,047,820
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 2017-11-01 $55.16 $49.50 20.4% 5.9% 45.2% 34.9% 21.2% 0.7% 0.5% 534.7M -20.35B -69.5M 0.80 39.78 N/A N/A 1,008,020 811,340 7,305,260 8,496,400 2017-11-02 $54.77 $50.00 20.5% 6.2% 45.3% 35.4% 22.4% 1.3% 1.0% 352.5M -18.84B -71.7M 0.69 28.54 N/A N/A 1,386,820 950,960 7,506,720 8,672,920 2017-11-03 $55.56 $50.00 21.2% 6.3% 45.4% 38.7% 22.7% 0.5% 0.6% 1.34B -22.71B -70.9M 0.71 35.18 N/A N/A 2,258,020 1,593,320 7,679,580 8,833,620 2017-11-06 $56.11 $50.00 20.5% 6.1% 45.4% 35.5% 22.1% 0.7% 0.7% 682.9M -22.52B -68.2M 1.05 34.01 N/A N/A 1,048,860 1,100,560 6,999,720 8,081,100 2017-11-07 $56.13 $50.50 20.5% 6.1% 45.3% 35.4% 21.9% 0.6% 0.7% 638.0M -22.19B -68.9M 1.11 27.92 N/A N/A 811,280 902,980 7,143,520 8,383,240 2017-11-08 $56.69 $51.00 20.5% 6.0% 45.3% 35.3% 21.7% 0.7% 0.6% 789.4M -24.22B -67.5M 0.91 37.84 N/A N/A 1,112,240 1,006,660 7,252,280 8,521,780 2017-11-09 $56.45 $51.00 20.7% 6.0% 45.4% 36.5% 21.7% 0.8% 0.4% 676.1M -23.30B -67.9M 1.00 41.16 N/A N/A 1,141,560 1,139,200 7,359,840 8,740,560 2017-11-10 $56.25 $51.00 20.5% 6.0% 45.5% 35.6% 21.6% 0.8% 0.9% 1.04B -22.65B -68.2M 0.84 40.41 N/A N/A 1,217,300 1,024,580 7,443,220 8,863,600 2017-11-13 $56.42 $51.00 20.3% 5.9% 45.6% 34.7% 21.3% 1.0% 0.4% 549.6M -22.08B -67.0M 0.90 37.79 N/A N/A 1,147,300 1,037,580 6,958,140 8,367,000 2017-11-14 $56.77 $52.00 20.2% 5.8% 45.5% 34.0% 21.1% 0.9% 0.3% 510.4M -22.80B -67.1M 0.95 34.96 N/A N/A 902,100 853,460 7,042,800 8,691,700 2017-11-15 $56.26 $52.00 21.3% 6.1% 45.5% 39.3% 22.2% 1.0% 0.2% 337.4M -20.80B -69.1M 0.96 36.39 N/A N/A 982,420 939,820 7,188,580 8,867,060 2017-11-16 $56.88 $52.50 18.9% 5.4% 44.9% 27.7% 19.9% 1.1% 0.4% 736.1M -23.54B -66.0M 1.06 37.85 N/A N/A 893,540 950,800 7,330,300 9,073,640 2017-11-17 $56.45 $52.50 18.7% 5.3% 45.1% 26.7% 19.6% 1.4% 0.2% 335.6M -21.27B -65.2M 0.91 42.75 N/A N/A 1,503,140 1,360,560 7,373,620 9,221,680 2017-11-20 $56.30 $52.50 18.4% 5.2% 44.3% 25.4% 18.9% 1.0% 0.0% 259.8M -15.42B -64.9M 0.81 41.47 N/A N/A 1,046,820 843,700 5,873,400 7,346,040 2017-11-21 $56.94 $52.50 17.4% 5.0% 44.3% 20.5% 18.0% 0.8% 0.2% 723.8M -18.23B -63.6M 0.88 37.05 N/A N/A 963,120 844,760 6,137,480 7,620,640 2017-11-22 $57.82 $53.00 17.5% 5.0% 44.2% 21.0% 17.9% 0.5% 0.1% 890.3M -21.38B -61.9M 0.73 35.41 N/A N/A 1,940,480 1,414,940 6,247,080 7,818,800 2017-11-24 $59.30 $53.50 18.6% 5.3% 44.5% 26.2% 19.3% 0.4% 0.3% 567.3M -25.90B -59.0M 0.77 49.62 N/A N/A 2,560,920 1,965,780 6,488,060 8,156,740 2017-11-27 $59.80 $53.75 19.5% 5.7% 15.0% 30.4% 20.6% -0.4% 0.7% 568.4M -23.83B -59.5M 0.80 34.53 N/A N/A 2,302,840 1,843,680 6,111,480 7,765,880 2017-11-28 $59.61 $54.00 19.0% 5.6% 15.0% 28.3% 20.0% 0.5% 0.6% 382.2M -22.10B -62.6M 0.84 45.66 N/A N/A 1,269,360 1,064,020 6,478,560 8,279,440 2017-11-29 $58.06 $54.00 22.8% 7.1% 18.0% 46.6% 25.3% 1.6% 0.2% -8.4M -15.46B -69.3M 0.79 40.56 N/A N/A 2,286,180 1,801,020 6,682,500 8,510,040 2017-11-30 $58.82 $55.00 21.0% 6.3% 18.3% 38.0% 22.6% 1.2% 0.3% 242.5M -19.30B -70.4M 0.77 49.31 N/A N/A 1,532,300 1,178,860 7,199,100 8,848,720
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