AMZN Options History — November 2018 In November 2018, AMZN traded between $75.10 and $87.43. ATM implied volatility averaged 37.9%, placing in the 60.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 23.1% (HV 20d: 61.0%). Max pain ranged from $83.75 to $90.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.86.
Notable Days 2018-11-09 : Highest Volume — 5,973,640 contracts2018-11-12 : Largest IV spike — 11.4% change2018-11-20 : Highest IV Rank — 82.9%2018-11-20 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $81.31 $75.10 $87.43 $82.99 $84.78 Max Pain $87.39 $83.75 $90.00 $88.50 $83.75 ATM IV 37.9% 32.2% 45.5% 35.6% 34.0% Expected Move 11.0% 9.2% 13.0% 11.0% 10.5% HV 20d 61.0% 47.7% 65.7% 62.8% 47.7% HV 60d 43.7% 40.1% 47.3% 40.1% 47.1% IV Rank 60.6% 43.9% 82.9% 54.0% 49.2% IV Percentile 78.6% 63.5% 96.8% 77.0% 63.9% Term Structure -0.6% -2.1% 0.1% -0.2% 0.1% VWIV 38.5% 33.2% 44.6% 38.6% 37.0% Skew 25d 4.5% 3.3% 5.2% 5.1% 3.5% Skew 10d 8.3% 6.2% 9.7% 9.6% 6.3% Call IV 25d 35.9% 30.6% 42.8% 33.4% 32.4% Put IV 25d 40.4% 34.4% 47.8% 38.5% 35.9% Bid-Ask Spread % 26.33 15.19 37.34 27.65 36.08 Gamma HHI 0.03 0.01 0.15 0.02 0.15 Net GEX 89.0M -365.4M 1.10B 301.8M 1.10B Net DEX -2.37B -20.51B 9.07B -3.37B -20.51B Net VEX -158.5M -168.0M -146.0M -164.3M -164.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.68 1.04 0.87 0.86 Total Volume 4,385,527.619 2,571,440 5,973,640 4,882,120 4,899,100 Total OI 18,753,846.667 16,595,020 20,873,460 19,582,840 19,330,760
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 2018-11-01 $82.99 $88.50 35.6% 11.0% 62.8% 54.0% 38.6% 5.1% -0.2% 301.8M -3.37B -164.3M 0.87 27.65 N/A N/A 2,610,820 2,271,300 9,824,440 9,758,400 2018-11-02 $83.26 $88.25 36.6% 11.5% 62.9% 56.8% 40.5% 5.0% -0.1% 377.0M -4.31B -165.2M 1.04 28.09 N/A N/A 2,711,120 2,806,680 10,001,680 10,068,520 2018-11-05 $81.30 $90.00 37.4% 10.4% 63.2% 59.1% 36.0% 5.0% -0.6% -145.4M 3.09B -157.9M 0.99 16.97 N/A N/A 1,468,320 1,452,080 8,661,120 9,130,660 2018-11-06 $81.95 $89.75 36.2% 10.2% 63.4% 55.7% 35.4% 4.8% -0.4% -41.7M 590.9M -157.7M 0.90 17.39 N/A N/A 1,353,600 1,217,840 9,042,600 9,354,960 2018-11-07 $87.43 $89.50 32.2% 9.2% 65.3% 43.9% 33.2% 3.8% -0.1% 487.1M -17.63B -166.1M 0.89 16.02 N/A N/A 3,027,900 2,697,580 9,225,740 9,470,380 2018-11-08 $87.26 $89.50 33.7% 9.6% 64.5% 48.4% 33.9% 3.9% -0.0% 432.9M -16.61B -167.7M 0.81 16.60 N/A N/A 3,009,920 2,437,020 9,468,900 9,910,020 2018-11-09 $85.93 $89.50 35.6% 10.1% 63.3% 53.9% 35.3% 4.1% -0.1% -39.4M -10.66B -168.0M 0.99 16.29 N/A N/A 2,998,160 2,975,480 9,837,460 10,271,800 2018-11-12 $82.07 $89.50 39.6% 11.1% 65.2% 65.8% 39.1% 4.5% -0.7% -142.9M 1.60B -159.3M 0.95 15.19 N/A N/A 1,932,920 1,838,200 9,063,880 9,253,940 2018-11-13 $81.42 $88.75 40.3% 11.3% 64.3% 67.6% 39.7% 4.7% -0.8% -192.8M 3.67B -159.4M 0.84 27.48 N/A N/A 1,875,280 1,571,460 9,542,580 9,595,360 2018-11-14 $80.19 $88.50 41.4% 11.7% 64.3% 70.8% 40.2% 4.4% -0.7% -297.9M 6.86B -155.9M 0.87 30.76 N/A N/A 2,152,380 1,867,980 9,785,420 9,730,120 2018-11-15 $80.81 $88.25 40.5% 11.4% 63.9% 68.1% 40.2% 5.2% -0.8% -231.0M 4.52B -159.5M 0.80 27.66 N/A N/A 3,236,900 2,592,200 10,241,780 9,939,800 2018-11-16 $80.00 $87.50 39.5% 11.2% 63.9% 65.4% 39.1% 4.8% -0.6% -365.4M 6.02B -157.4M 0.76 18.97 N/A N/A 3,085,080 2,331,720 10,791,120 10,082,340 2018-11-19 $75.56 $87.50 43.7% 12.4% 65.7% 77.7% 43.4% 5.0% -2.0% -180.5M 9.00B -146.0M 0.81 24.90 N/A N/A 2,254,640 1,832,100 8,171,920 8,423,100 2018-11-20 $75.23 $86.25 45.5% 13.0% 65.7% 82.9% 44.6% 5.0% -2.1% -176.0M 9.07B -148.8M 0.76 30.55 N/A N/A 2,789,020 2,132,460 8,793,400 8,808,500 2018-11-21 $75.99 $85.25 41.0% 11.8% 65.0% 69.7% 40.9% 4.9% -1.8% -61.8M 6.86B -150.7M 0.83 30.19 N/A N/A 1,898,060 1,575,520 9,255,800 9,067,320 2018-11-23 $75.10 $85.00 41.6% 12.1% 61.9% 71.3% 41.9% 4.9% -1.8% -361.2M 9.06B -147.6M 0.95 37.34 N/A N/A 1,570,660 1,485,900 9,487,160 9,257,860 2018-11-26 $79.07 $85.00 37.1% 11.0% 57.8% 58.3% 38.8% 4.4% -0.3% 78.3M -840.6M -153.6M 0.81 32.79 N/A N/A 1,892,880 1,535,900 8,320,820 8,528,800 2018-11-27 $79.15 $85.00 35.8% 10.7% 48.8% 54.4% 37.5% 4.1% -0.3% 180.1M -1.83B -153.4M 0.80 34.74 N/A N/A 1,598,920 1,271,720 8,758,820 8,850,380 2018-11-28 $83.83 $85.00 34.3% 10.4% 52.5% 49.9% 37.1% 3.3% -0.0% 541.8M -16.74B -162.0M 0.68 31.51 N/A N/A 3,320,020 2,258,820 8,977,840 8,995,000 2018-11-29 $84.16 $85.00 34.2% 10.4% 49.0% 49.8% 36.9% 3.7% 0.1% 610.3M -17.68B -164.0M 0.78 35.66 N/A N/A 2,390,040 1,868,380 9,265,720 9,484,560 2018-11-30 $84.78 $83.75 34.0% 10.5% 47.7% 49.2% 37.0% 3.5% 0.1% 1.10B -20.51B -164.2M 0.86 36.08 N/A N/A 2,626,980 2,272,120 9,573,600 9,757,160
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