AMZN Options History — November 2020 In November 2020, AMZN traded between $149.24 and $165.72. ATM implied volatility averaged 34.8%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 9.2% (HV 20d: 43.9%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.70.
Notable Days 2020-11-06 : Highest Volume — 8,244,180 contracts2020-11-04 : Largest IV drop — 9.5% change2020-11-02 : Highest IV Rank — 60.4%2020-11-02 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $157.14 $149.24 $165.72 $149.24 $158.00 Max Pain $157.99 $155.00 $160.00 $158.00 $155.00 ATM IV 34.8% 29.8% 45.8% 45.8% 31.4% Expected Move 10.2% 8.7% 14.1% 14.1% 9.4% HV 20d 43.9% 35.6% 46.1% 41.9% 35.6% HV 60d 41.7% 39.5% 42.9% 39.5% 40.5% IV Rank 37.8% 27.5% 60.4% 60.4% 30.8% IV Percentile 45.1% 31.7% 72.2% 72.2% 34.9% Term Structure 0.1% -0.4% 1.6% -0.2% 1.6% VWIV 36.1% 30.7% 49.0% 49.0% 33.6% Skew 25d 1.2% -0.9% 3.0% 3.0% -0.4% Skew 10d 2.5% -2.1% 5.5% 5.4% -1.1% Call IV 25d 34.5% 30.2% 44.0% 44.0% 32.2% Put IV 25d 35.6% 30.3% 46.9% 46.9% 31.7% Bid-Ask Spread % 22.47 16.25 25.93 16.25 23.12 Gamma HHI 0.04 0.02 0.15 0.02 0.03 Net GEX 1.26B 92.5M 3.55B 92.5M 1.07B Net DEX -32.72B -62.47B -11.83B -12.24B -37.05B Net VEX -280.1M -291.7M -270.2M -270.2M -279.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.51 0.98 0.89 0.59 Total Volume 5,285,531 3,368,820 8,244,180 4,197,620 4,714,600 Total OI 18,105,268 16,012,840 20,475,680 16,012,840 16,842,260
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 2020-11-02 $149.24 $158.00 45.8% 14.1% 41.9% 60.4% 49.0% 3.0% -0.2% 92.5M -12.24B -270.2M 0.89 16.25 N/A N/A 2,224,080 1,973,540 8,607,900 7,404,940 2020-11-03 $152.95 $158.00 43.4% 13.3% 41.8% 55.5% 46.6% 2.9% -0.1% 316.5M -20.38B -273.2M 0.76 18.84 N/A N/A 1,935,700 1,479,920 8,607,900 7,404,940 2020-11-04 $161.40 $157.50 39.3% 12.0% 44.8% 47.0% 42.5% 2.0% -0.0% 1.53B -47.23B -290.7M 0.91 20.29 N/A N/A 3,013,500 2,739,220 9,324,560 8,055,300 2020-11-05 $165.72 $160.00 37.1% 10.9% 45.7% 42.5% 38.6% 2.1% 0.2% 2.44B -62.47B -291.7M 0.72 18.60 N/A N/A 3,894,480 2,822,320 9,672,560 8,452,140 2020-11-06 $165.56 $160.00 35.5% 10.5% 44.7% 39.3% 37.0% 1.9% 0.5% 1.68B -59.04B -287.9M 0.98 21.56 N/A N/A 4,156,980 4,087,200 9,879,240 8,706,920 2020-11-09 $158.62 $160.00 35.9% 10.4% 43.4% 40.1% 36.7% 1.2% 0.4% 897.0M -32.45B -278.3M 0.71 22.56 N/A N/A 2,864,700 2,047,220 9,086,300 7,757,160 2020-11-10 $152.23 $160.00 38.3% 11.1% 45.1% 44.9% 39.0% 1.1% 0.3% 100.4M -11.83B -274.2M 0.75 20.75 N/A N/A 3,081,580 2,326,200 9,651,480 8,323,100 2020-11-11 $156.55 $160.00 35.0% 10.1% 46.1% 38.2% 35.8% 0.9% 0.3% 1.04B -28.01B -285.3M 0.54 22.97 N/A N/A 3,162,980 1,723,360 10,273,420 8,711,640 2020-11-12 $155.38 $160.00 36.5% 10.5% 46.1% 41.4% 37.1% 1.4% 0.2% 1.18B -23.57B -291.0M 0.75 21.70 N/A N/A 3,445,060 2,574,480 10,865,440 9,054,040 2020-11-13 $156.60 $160.00 34.5% 10.0% 46.1% 37.2% 35.5% 1.4% 0.5% 2.20B -27.53B -288.4M 0.78 22.24 N/A N/A 4,529,920 3,544,180 11,067,620 9,408,060 2020-11-16 $156.34 $159.50 32.8% 9.4% 44.9% 33.7% 33.4% 1.5% -0.1% 879.7M -27.64B -278.7M 0.75 23.62 N/A N/A 2,031,480 1,523,360 9,567,600 8,253,860 2020-11-17 $157.18 $159.00 32.8% 9.4% 44.9% 33.6% 33.3% 1.2% -0.2% 1.11B -31.31B -279.1M 0.65 24.17 N/A N/A 2,083,600 1,353,180 9,851,040 8,604,740 2020-11-18 $155.76 $159.00 32.6% 9.4% 44.8% 33.4% 32.9% 1.6% -0.2% 711.4M -25.01B -275.4M 0.70 24.19 N/A N/A 1,985,820 1,383,000 10,090,400 8,808,640 2020-11-19 $155.97 $158.00 32.1% 9.2% 44.8% 32.3% 32.4% 1.3% -0.4% 731.8M -25.58B -273.3M 0.63 25.10 N/A N/A 2,413,500 1,526,860 10,302,280 9,023,420 2020-11-20 $155.17 $155.75 31.7% 9.1% 44.8% 31.4% 32.0% 1.2% -0.2% 1.17B -23.34B -272.2M 0.73 23.51 N/A N/A 3,726,320 2,725,020 10,723,640 9,150,880 2020-11-23 $155.21 $155.00 30.6% 8.9% 44.7% 29.2% 31.8% 0.6% -0.3% 939.7M -27.93B -271.8M 0.53 25.62 N/A N/A 3,454,020 1,841,140 8,707,280 7,523,980 2020-11-24 $155.92 $155.00 29.8% 8.7% 43.5% 27.5% 30.7% 0.1% -0.2% 1.08B -32.17B -272.9M 0.59 25.93 N/A N/A 2,956,540 1,742,200 9,325,740 8,040,120 2020-11-25 $159.47 $155.00 30.2% 8.8% 42.8% 28.3% 31.5% -0.9% -0.0% 2.56B -49.64B -284.2M 0.51 23.02 N/A N/A 4,947,640 2,499,900 9,890,260 8,311,960 2020-11-27 $159.60 $155.00 30.3% 8.9% 42.4% 28.6% 31.9% -0.5% -0.4% 3.55B -50.08B -284.2M 0.59 25.35 N/A N/A 3,263,020 1,912,800 10,287,020 8,485,580 2020-11-30 $158.00 $155.00 31.4% 9.4% 35.6% 30.8% 33.6% -0.4% 1.6% 1.07B -37.05B -279.3M 0.59 23.12 N/A N/A 2,967,180 1,747,420 9,065,320 7,776,940
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