AMZN Options History — September 2019 In September 2019, AMZN traded between $86.12 and $92.34. ATM implied volatility averaged 24.0%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.2% (HV 20d: 20.9%). Max pain ranged from $90.00 to $91.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.74.
Notable Days 2019-09-20 : Highest Volume — 6,487,900 contracts2019-09-16 : Largest IV spike — 15.0% change2019-09-27 : Highest IV Rank — 30.2%2019-09-24 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $89.93 $86.12 $92.34 $89.71 $86.70 Max Pain $91.11 $90.00 $91.50 $91.25 $90.00 ATM IV 24.0% 19.6% 30.1% 26.1% 29.4% Expected Move 6.5% 5.8% 7.4% 7.3% 6.5% HV 20d 20.9% 15.6% 25.1% 24.6% 20.3% HV 60d 20.6% 20.0% 21.4% 21.1% 21.4% IV Rank 12.8% 0.0% 30.2% 18.8% 28.0% IV Percentile 21.1% 0.0% 59.1% 31.3% 56.0% Term Structure 1.6% -0.7% 5.6% 0.2% -0.7% VWIV 22.8% 20.5% 26.1% 26.1% 23.0% Skew 25d 4.2% 3.3% 5.7% 5.7% 4.4% Skew 10d 7.8% 6.4% 10.3% 10.3% 8.2% Call IV 25d 22.0% 17.8% 28.4% 23.2% 27.2% Put IV 25d 26.2% 21.1% 33.0% 28.9% 31.6% Bid-Ask Spread % 36.83 29.52 44.18 37.78 43.07 Gamma HHI 0.03 0.02 0.09 0.02 0.02 Net GEX 287.9M -1.02B 1.42B 129.6M -129.0M Net DEX -4.02B -14.62B 8.64B -3.35B 2.45B Net VEX -120.6M -128.8M -112.5M -128.8M -116.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.56 0.93 0.80 0.72 Total Volume 3,124,370 1,689,220 6,487,900 3,078,460 2,071,580 Total OI 13,465,881 10,863,080 15,224,720 12,268,480 12,227,700
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 2019-09-03 $89.71 $91.25 26.1% 7.3% 24.6% 18.8% 26.1% 5.7% 0.2% 129.6M -3.35B -128.8M 0.80 37.78 N/A N/A 1,707,780 1,370,680 5,720,980 6,547,500 2019-09-04 $90.23 $91.25 23.9% 6.6% 24.2% 12.5% 23.2% 5.2% 0.3% 352.1M -5.11B -126.9M 0.85 41.99 N/A N/A 1,283,080 1,084,640 6,144,360 7,058,640 2019-09-05 $91.92 $91.50 21.8% 6.6% 25.1% 6.3% 23.5% 4.6% 0.7% 1.31B -12.90B -127.7M 0.76 34.86 N/A N/A 2,065,760 1,575,700 6,428,960 7,249,140 2019-09-06 $91.61 $91.50 21.2% 6.4% 24.1% 4.6% 22.4% 4.3% 0.6% 969.7M -10.66B -124.9M 0.71 30.93 N/A N/A 2,017,100 1,441,840 6,554,100 7,425,420 2019-09-09 $91.51 $91.50 22.1% 6.6% 23.9% 7.2% 23.1% 4.5% 0.8% 387.3M -7.74B -123.5M 0.80 32.25 N/A N/A 1,361,100 1,093,080 5,894,460 6,661,420 2019-09-10 $90.69 $91.50 22.2% 6.6% 23.4% 7.6% 23.3% 4.4% 0.7% 32.6M -3.95B -122.6M 0.56 34.22 N/A N/A 1,614,320 903,420 6,184,160 6,976,380 2019-09-11 $90.99 $91.50 20.8% 6.2% 22.0% 3.5% 21.8% 3.9% 0.8% 548.3M -6.54B -123.4M 0.58 39.05 N/A N/A 1,489,460 870,920 6,640,960 7,186,440 2019-09-12 $92.34 $91.50 19.8% 5.9% 18.7% 0.8% 21.4% 3.5% 1.1% 1.42B -14.62B -123.1M 0.67 37.13 N/A N/A 1,910,560 1,276,320 6,977,720 7,309,240 2019-09-13 $91.98 $91.50 19.6% 5.8% 18.8% 0.0% 20.7% 3.4% 1.0% 908.0M -12.03B -121.1M 0.78 38.70 N/A N/A 1,584,180 1,230,920 7,211,920 7,511,620 2019-09-16 $90.31 $91.50 22.5% 6.5% 19.8% 8.4% 22.5% 3.9% 4.7% 514.7M -4.81B -119.2M 0.62 36.67 N/A N/A 1,589,520 979,120 6,479,300 6,798,200 2019-09-17 $91.02 $91.50 21.5% 6.2% 19.4% 5.5% 22.0% 3.7% 5.1% 899.6M -8.55B -118.6M 0.90 36.61 N/A N/A 887,520 801,700 6,877,580 7,073,100 2019-09-18 $90.90 $91.50 21.4% 6.1% 19.3% 5.3% 21.7% 3.5% 5.3% 597.6M -7.27B -119.2M 0.69 33.95 N/A N/A 1,553,420 1,073,260 7,028,900 7,344,560 2019-09-19 $91.14 $91.00 21.5% 5.9% 19.2% 5.6% 20.5% 3.3% 5.6% 748.1M -9.71B -118.4M 0.82 29.52 N/A N/A 1,526,720 1,247,860 7,253,660 7,538,880 2019-09-20 $89.53 $91.25 23.7% 6.2% 20.2% 11.8% 21.6% 3.6% 5.6% -16.3M 3.87B -116.1M 0.74 35.20 N/A N/A 3,732,840 2,755,060 7,474,760 7,749,960 2019-09-23 $89.36 $91.25 26.2% 6.2% 15.6% 18.9% 21.6% 4.3% 0.2% -284.9M -1.13B -112.5M 0.82 34.24 N/A N/A 1,452,780 1,185,820 4,938,920 5,924,160 2019-09-24 $86.91 $90.75 30.1% 7.4% 18.5% 30.1% 25.4% 4.7% -0.0% -655.1M 6.50B -116.8M 0.81 36.72 N/A N/A 2,174,280 1,763,600 5,638,460 6,729,060 2019-09-25 $88.49 $90.25 28.3% 6.6% 19.6% 24.9% 22.9% 4.4% 0.3% -271.5M 855.4M -120.0M 0.69 36.35 N/A N/A 1,892,640 1,303,220 6,032,900 7,015,320 2019-09-26 $87.05 $90.25 28.6% 6.7% 20.4% 26.0% 23.4% 4.4% 0.3% -684.1M 5.61B -117.2M 0.65 44.18 N/A N/A 1,992,900 1,294,940 6,337,640 7,150,880 2019-09-27 $86.12 $90.00 30.1% 7.2% 20.2% 30.2% 25.1% 4.4% 0.2% -1.02B 8.64B -116.6M 0.93 43.19 N/A N/A 2,758,640 2,569,120 6,704,240 7,316,020 2019-09-30 $86.70 $90.00 29.4% 6.5% 20.3% 28.0% 23.0% 4.4% -0.7% -129.0M 2.45B -116.2M 0.72 43.07 N/A N/A 1,206,540 865,040 5,723,380 6,504,320
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