AMZN Options History — November 2021 In November 2021, AMZN traded between $165.34 and $184.81. ATM implied volatility averaged 25.7%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 1.2% (HV 20d: 26.9%). Max pain ranged from $165.00 to $171.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.53.
Notable Days 2021-11-19 : Highest Volume — 15,745,980 contracts2021-11-29 : Largest IV drop — 12.2% change2021-11-26 : Highest IV Rank — 46.3%2021-11-26 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $176.00 $165.34 $184.81 $165.44 $175.51 Max Pain $169.23 $165.00 $171.00 $166.25 $171.00 ATM IV 25.7% 21.4% 31.4% 22.0% 29.5% Expected Move 7.5% 6.2% 9.2% 6.4% 8.8% HV 20d 26.9% 23.1% 29.6% 23.5% 28.3% HV 60d 23.1% 20.9% 24.7% 20.9% 24.7% IV Rank 26.5% 11.1% 46.3% 12.8% 39.9% IV Percentile 37.1% 14.7% 79.0% 17.5% 63.5% Term Structure 0.1% -0.6% 0.5% 0.4% 0.3% VWIV 27.3% 22.6% 33.1% 23.3% 31.3% Skew 25d -0.0% -1.0% 2.4% 1.2% 2.4% Skew 10d -0.8% -4.0% 4.9% 2.3% 4.9% Call IV 25d 26.6% 21.5% 31.8% 22.0% 28.8% Put IV 25d 26.5% 22.4% 33.0% 23.2% 31.2% Bid-Ask Spread % 11.73 8.18 16.34 10.09 9.68 Gamma HHI 0.03 0.02 0.09 0.02 0.02 Net GEX 1.17B -1.13B 3.86B -846.8M -540.0M Net DEX -35.07B -77.91B 2.35B 2.35B -17.77B Net VEX -402.6M -416.2M -389.6M -395.3M -408.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.36 0.81 0.71 0.81 Total Volume 8,270,298.095 3,937,020 15,745,980 5,529,720 5,278,400 Total OI 20,178,743.81 18,146,320 22,040,300 18,460,160 19,362,580
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 2021-11-01 $165.44 $166.25 22.0% 6.4% 23.5% 12.8% 23.3% 1.2% 0.4% -846.8M 2.35B -395.3M 0.71 10.09 N/A N/A 3,240,380 2,289,340 8,467,820 9,992,340 2021-11-02 $165.34 $165.00 21.4% 6.3% 23.1% 11.3% 22.8% 1.1% 0.5% -796.9M 1.68B -401.5M 0.66 10.30 N/A N/A 2,372,640 1,564,380 9,113,400 10,549,620 2021-11-03 $169.46 $165.00 21.4% 6.2% 24.4% 11.1% 22.6% 0.7% 0.4% 1.15B -19.62B -407.6M 0.43 10.39 N/A N/A 5,128,560 2,203,940 9,384,100 10,793,140 2021-11-04 $174.14 $167.50 23.3% 6.8% 25.5% 17.8% 25.0% -0.2% 0.2% 3.11B -48.07B -411.2M 0.37 12.26 N/A N/A 9,489,220 3,497,480 9,866,540 10,892,860 2021-11-05 $176.11 $168.00 24.0% 7.1% 25.5% 20.3% 25.7% -0.6% 0.3% 3.77B -53.35B -405.1M 0.42 16.34 N/A N/A 10,615,460 4,420,460 9,985,980 11,154,600 2021-11-08 $174.61 $169.00 24.3% 7.1% 25.3% 21.5% 26.1% -0.6% 0.3% 1.09B -34.43B -400.7M 0.47 15.97 N/A N/A 4,537,660 2,113,180 8,714,780 10,117,340 2021-11-09 $178.61 $169.00 26.0% 7.5% 26.0% 27.3% 27.6% -0.9% 0.1% 2.27B -53.11B -404.7M 0.36 16.04 N/A N/A 6,359,240 2,285,380 9,441,580 10,585,080 2021-11-10 $173.28 $169.50 26.0% 7.5% 28.7% 27.4% 27.4% 0.6% 0.2% 363.2M -23.48B -405.5M 0.48 14.95 N/A N/A 6,450,180 3,084,540 9,885,840 10,791,080 2021-11-11 $173.63 $170.00 24.8% 7.2% 28.7% 23.0% 26.4% 0.1% 0.4% 570.1M -24.11B -403.6M 0.61 9.56 N/A N/A 4,325,840 2,620,700 10,228,680 11,065,060 2021-11-12 $176.20 $170.00 24.9% 7.2% 27.1% 23.6% 26.5% -0.6% 0.4% 1.85B -38.82B -401.2M 0.50 8.58 N/A N/A 7,243,120 3,588,160 10,507,520 11,335,020 2021-11-15 $177.16 $170.00 25.9% 7.4% 26.8% 27.0% 27.5% -0.7% -0.2% 1.29B -40.50B -395.8M 0.52 8.18 N/A N/A 3,731,600 1,944,800 9,007,860 10,309,440 2021-11-16 $177.21 $170.00 24.8% 7.1% 26.8% 23.2% 26.1% -1.0% -0.1% 1.45B -41.55B -398.7M 0.63 9.15 N/A N/A 2,819,200 1,767,460 9,533,300 10,671,880 2021-11-17 $177.87 $170.00 25.1% 7.2% 26.6% 24.4% 26.8% -1.0% -0.1% 1.76B -45.04B -396.8M 0.42 10.42 N/A N/A 4,435,160 1,855,460 9,749,020 10,863,360 2021-11-18 $184.81 $170.00 26.5% 7.6% 29.6% 29.0% 27.7% -0.8% -0.2% 3.86B -77.91B -389.6M 0.36 12.68 N/A N/A 10,381,560 3,762,940 10,181,760 10,972,980 2021-11-19 $184.19 $170.00 26.7% 7.7% 27.2% 29.8% 28.0% -0.7% -0.2% 3.52B -73.70B -391.6M 0.41 10.73 N/A N/A 11,186,260 4,559,720 10,622,560 11,417,740 2021-11-22 $179.63 $170.00 27.8% 8.0% 29.0% 33.6% 29.7% -0.9% -0.4% 542.4M -34.52B -396.1M 0.57 10.13 N/A N/A 5,389,740 3,073,100 8,521,160 9,625,160 2021-11-23 $178.90 $170.50 29.1% 8.5% 28.4% 38.4% 30.8% -0.5% -0.5% 609.4M -33.27B -414.0M 0.70 13.54 N/A N/A 4,209,780 2,935,420 9,475,560 10,318,020 2021-11-24 $179.07 $171.00 28.2% 8.2% 28.4% 35.3% 29.7% -0.2% -0.3% 346.2M -31.52B -411.4M 0.53 14.76 N/A N/A 4,293,020 2,255,460 9,839,780 10,862,140 2021-11-26 $176.09 $171.00 31.4% 9.2% 29.1% 46.3% 33.1% 1.2% -0.6% -1.13B -16.88B -416.2M 0.68 13.58 N/A N/A 4,236,760 2,901,580 10,166,220 10,907,340 2021-11-29 $178.74 $171.00 27.5% 8.0% 27.7% 32.8% 29.3% 0.5% 0.3% 325.2M -32.88B -400.2M 0.57 8.89 N/A N/A 3,327,660 1,901,320 8,623,900 9,849,480 2021-11-30 $175.51 $171.00 29.5% 8.8% 28.3% 39.9% 31.3% 2.4% 0.3% -540.0M -17.77B -408.0M 0.81 9.68 N/A N/A 2,920,820 2,357,580 9,090,480 10,272,100
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