AMZN Options History — November 2019 In November 2019, AMZN traded between $86.68 and $90.94. ATM implied volatility averaged 17.8%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.5% (HV 20d: 14.3%). Max pain ranged from $88.00 to $90.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.67.
Notable Days 2019-11-15 : Highest Volume — 5,514,360 contracts2019-11-22 : Largest IV drop — 6.9% change2019-11-21 : Highest IV Rank — 6.1%2019-11-21 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $88.65 $86.68 $90.94 $89.39 $90.29 Max Pain $89.04 $88.00 $90.00 $88.00 $88.75 ATM IV 17.8% 17.0% 19.4% 17.2% 18.1% Expected Move 5.2% 4.5% 5.6% 4.5% 5.3% HV 20d 14.3% 12.1% 16.3% 16.0% 14.1% HV 60d 17.7% 16.4% 20.0% 19.9% 16.5% IV Rank 1.9% 0.0% 6.1% 0.0% 2.8% IV Percentile 2.7% 0.0% 7.1% 0.0% 6.3% Term Structure 0.2% -0.4% 1.0% 1.0% 0.3% VWIV 18.5% 16.3% 19.7% 16.3% 19.0% Skew 25d 1.5% 1.0% 1.9% 1.6% 1.0% Skew 10d 2.3% 1.0% 3.4% 2.7% 1.1% Call IV 25d 17.3% 16.2% 18.8% 16.2% 17.7% Put IV 25d 18.8% 17.8% 20.6% 17.8% 18.7% Bid-Ask Spread % 19.43 9.54 39.31 39.31 17.06 Gamma HHI 0.03 0.02 0.09 0.09 0.03 Net GEX 329.9M -1.61B 2.24B 1.41B 719.0M Net DEX -6.82B -20.28B 2.96B -11.64B -14.83B Net VEX -104.0M -108.7M -99.6M -105.4M -106.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.51 0.91 0.72 0.52 Total Volume 3,016,924 1,382,760 5,514,360 3,626,740 3,849,260 Total OI 13,220,519 11,925,580 14,464,300 13,766,040 14,464,300
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 2019-11-01 $89.39 $88.00 17.2% 4.5% 16.0% 0.0% 16.3% 1.6% 1.0% 1.41B -11.64B -105.4M 0.72 39.31 N/A N/A 2,109,960 1,516,780 6,618,880 7,147,160 2019-11-04 $90.39 $89.50 17.5% 5.4% 16.3% 0.9% 19.3% 1.7% 0.6% 803.3M -12.31B -103.5M 0.90 18.24 N/A N/A 1,246,980 1,119,900 5,619,420 6,306,160 2019-11-05 $90.22 $89.50 17.7% 5.4% 15.4% 1.4% 19.4% 1.8% 0.5% 604.0M -11.05B -104.1M 0.83 19.91 N/A N/A 756,780 625,980 5,835,020 6,657,580 2019-11-06 $89.64 $89.50 17.1% 5.2% 15.6% 0.0% 18.5% 1.6% 0.5% 384.4M -8.39B -102.2M 0.82 23.18 N/A N/A 1,016,700 834,660 5,970,600 6,807,240 2019-11-07 $89.34 $89.75 17.6% 5.3% 15.6% 1.2% 18.7% 1.8% 0.5% 42.1M -6.56B -102.5M 0.65 31.63 N/A N/A 1,505,380 985,840 6,123,200 6,953,800 2019-11-08 $89.13 $90.00 17.1% 5.1% 15.3% 0.0% 18.0% 1.7% 0.6% -314.6M -5.08B -102.4M 0.91 28.16 N/A N/A 2,009,600 1,835,300 6,394,860 7,094,580 2019-11-11 $88.42 $89.75 18.0% 5.2% 15.6% 2.3% 18.6% 1.9% 0.2% 61.6M -4.09B -100.8M 0.72 25.37 N/A N/A 1,074,680 775,000 5,665,780 6,495,680 2019-11-12 $88.80 $89.50 17.7% 5.2% 14.5% 1.6% 18.3% 1.8% 0.4% 235.6M -5.92B -101.0M 0.51 22.60 N/A N/A 1,474,440 750,620 5,974,000 6,736,100 2019-11-13 $87.51 $89.00 18.6% 5.4% 15.2% 4.0% 18.8% 1.8% 0.2% -266.0M -625.3M -99.6M 0.61 18.47 N/A N/A 2,215,780 1,358,020 6,401,340 6,929,080 2019-11-14 $87.78 $89.00 18.1% 5.2% 15.0% 2.7% 18.5% 1.6% 0.2% -251.1M -1.89B -102.4M 0.56 19.20 N/A N/A 1,789,340 1,010,100 6,848,420 7,192,100 2019-11-15 $86.80 $89.00 17.7% 5.1% 14.1% 1.5% 17.9% 1.3% 0.1% -1.61B 2.96B -100.1M 0.67 23.15 N/A N/A 3,309,100 2,205,260 7,108,400 7,324,080 2019-11-18 $87.54 $89.00 18.1% 5.2% 13.7% 2.6% 18.5% 1.3% -0.3% 86.2M -3.48B -103.0M 0.70 15.86 N/A N/A 1,700,060 1,190,960 5,909,100 6,240,160 2019-11-19 $87.64 $89.00 17.7% 5.1% 13.0% 1.7% 18.1% 1.4% -0.3% 292.8M -4.35B -105.1M 0.60 17.36 N/A N/A 1,438,280 866,640 6,317,460 6,567,720 2019-11-20 $87.12 $88.75 18.7% 5.4% 13.2% 4.2% 18.9% 1.7% -0.3% -27.5M -2.24B -105.3M 0.70 12.65 N/A N/A 1,571,580 1,094,480 6,505,780 6,704,700 2019-11-21 $86.68 $88.75 19.4% 5.6% 12.7% 6.1% 19.7% 1.8% -0.4% -379.6M -600.5M -106.9M 0.66 11.07 N/A N/A 1,514,080 1,002,420 6,739,580 6,841,640 2019-11-22 $87.16 $88.50 18.1% 5.2% 12.1% 2.5% 18.4% 1.6% -0.2% 165.9M -3.29B -107.5M 0.63 13.03 N/A N/A 2,099,900 1,322,520 6,997,620 7,025,220 2019-11-25 $88.66 $88.50 17.0% 5.0% 12.9% 0.0% 17.8% 1.2% 0.4% 706.0M -9.13B -104.7M 0.58 11.97 N/A N/A 2,055,240 1,201,740 6,176,660 6,402,200 2019-11-26 $89.56 $88.50 17.3% 5.1% 13.0% 0.6% 18.1% 1.1% 0.5% 1.69B -13.64B -108.7M 0.56 10.74 N/A N/A 2,048,380 1,144,360 6,691,340 6,729,340 2019-11-27 $90.94 $88.50 17.6% 5.2% 13.8% 1.4% 18.6% 1.0% 0.5% 2.24B -20.28B -107.1M 0.52 9.54 N/A N/A 3,094,560 1,617,820 6,931,340 6,962,740 2019-11-29 $90.29 $88.75 18.1% 5.3% 14.1% 2.8% 19.0% 1.0% 0.3% 719.0M -14.83B -106.8M 0.52 17.06 N/A N/A 2,537,500 1,311,760 7,221,740 7,242,560
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