AMZN

$266.66NEUTRAL

spot: 2026/11/13 20:59:43 UTC

analytics: 2026/11/15 16:41:32 UTC

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Volatility Regime

Macro VCG—— · vcg = —

No dealer regime data yet.

VRP

-0.08

CHEAP

IV (ATM)

33.4%

RV

41.4%

IV Rank

37

1y rank 37

IV %ile 30d

52

Implied Move 30d

6.5%

IV 52w Low

23.3%

IV 52w High

50.3%

RV 52w Low

17.0%

RV 52w High

61.2%

Skew 25Δ

-0.0625

IV materially below RV — long-vol structures favored.

Building 1-year history… (≤30s)

Analytical time series

IV / IV-of-IV

— IV (L)— IV-of-IV (R)

Analytical time series

RV / SPY-corr-1m

— RV (L)— SPY-corr-21 (R)

20 sessions

Regime Quadrant

GoldilocksFragile CalmStock PickerSystemic Panic

Systemic Panic: high vol, high corr — broad de-risking

20-session overlay

IV-z vs RV-z

-1.84σ

— IV-z— RV-z

Today's snapshot

IV by DTE

Term Structure

— ATM-2 ($262.50)— ATM-1 ($265.00)— ATM ($267.50)— ATM+1 ($270.00)

Today's IV by strike — one curve per expiration date

Smile

— 2026-11-11— 2026-11-13— 2026-11-16— 2026-11-18

IV (fwd ~30d) vs RV (trailing 21d) — lag is the VRP

HV / IV

— IV— RV

Last 1y

IV %ile Distribution

52th %ile

30-session bars + smoothed z-overlay

VRP Spread

-0.08 pts | widening -0.00 pts