AMZN Options History — January 2020 In January 2020, AMZN traded between $91.46 and $100.51. ATM implied volatility averaged 27.5%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.5% (HV 20d: 20.0%). Max pain ranged from $88.25 to $91.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2020-01-31 : Highest Volume — 12,291,200 contracts2020-01-28 : Largest IV drop — 6.8% change2020-01-27 : Highest IV Rank — 50.3%2020-01-27 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $94.19 $91.46 $100.51 $94.59 $100.51 Max Pain $90.63 $88.25 $91.00 $88.25 $91.00 ATM IV 27.5% 25.4% 28.7% 28.2% 25.4% Expected Move 7.6% 6.1% 8.5% 6.2% 7.5% HV 20d 20.0% 17.3% 29.6% 19.1% 29.6% HV 60d 16.7% 15.9% 21.8% 16.7% 21.8% IV Rank 42.2% 34.4% 50.3% 34.4% 42.5% IV Percentile 68.9% 46.4% 82.9% 73.8% 46.4% Term Structure -1.0% -1.5% 0.2% -0.8% 0.2% VWIV 26.7% 22.0% 30.1% 22.3% 26.8% Skew 25d 0.4% -0.6% 1.3% 0.1% 1.3% Skew 10d 0.1% -2.1% 2.5% -0.6% 2.5% Call IV 25d 27.5% 24.9% 28.7% 28.6% 24.9% Put IV 25d 27.9% 26.3% 29.2% 28.7% 26.3% Bid-Ask Spread % 25.68 18.15 39.61 29.54 39.61 Gamma HHI 0.05 0.02 0.13 0.06 0.11 Net GEX 633.7M -997.4M 2.28B 1.95B 2.28B Net DEX -17.87B -35.53B -3.16B -29.22B -35.53B Net VEX -105.3M -107.9M -101.1M -105.1M -101.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.44 0.81 0.54 0.66 Total Volume 4,254,998.095 1,476,080 12,291,200 7,056,640 12,291,200 Total OI 13,347,336.19 9,685,720 16,323,580 15,151,300 12,577,420
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 2020-01-02 $94.59 $88.25 28.2% 6.2% 19.1% 34.4% 22.3% 0.1% -0.8% 1.95B -29.22B -105.1M 0.54 29.54 N/A N/A 4,570,480 2,486,160 7,621,520 7,529,780 2020-01-03 $93.64 $88.50 28.3% 6.1% 19.6% 34.8% 22.0% 0.5% -0.8% 288.4M -22.30B -107.9M 0.60 34.22 N/A N/A 3,692,620 2,201,600 8,099,120 7,981,060 2020-01-06 $94.93 $90.00 28.6% 7.6% 19.2% 41.3% 26.7% 0.9% -0.9% 1.21B -25.99B -106.1M 0.66 18.69 N/A N/A 2,239,220 1,481,680 6,848,460 7,009,720 2020-01-07 $95.35 $90.00 28.6% 7.6% 19.2% 41.3% 26.7% 0.9% -1.0% 1.28B -27.73B -105.5M 0.44 21.21 N/A N/A 2,471,800 1,077,820 7,246,320 7,482,260 2020-01-08 $95.08 $90.50 27.9% 7.5% 19.3% 40.2% 26.2% 0.5% -0.9% 1.27B -26.73B -106.0M 0.52 20.84 N/A N/A 2,344,060 1,223,920 7,534,760 7,695,140 2020-01-09 $95.08 $91.00 27.7% 7.4% 18.9% 41.0% 26.1% 0.4% -1.0% 1.59B -27.20B -105.1M 0.56 21.87 N/A N/A 2,754,220 1,538,320 7,898,640 7,830,620 2020-01-10 $94.13 $91.00 27.7% 7.4% 19.6% 40.9% 26.1% 0.5% -1.1% -982.7M -19.86B -105.7M 0.70 24.59 N/A N/A 3,148,300 2,212,940 8,138,600 8,184,980 2020-01-13 $94.52 $91.00 27.3% 7.4% 19.5% 40.7% 26.0% 0.6% -1.1% 745.1M -22.11B -101.6M 0.63 18.96 N/A N/A 1,522,840 961,720 6,896,040 7,232,660 2020-01-14 $93.35 $91.00 27.5% 7.5% 20.3% 42.3% 26.2% 0.6% -1.3% 202.5M -16.83B -103.3M 0.55 18.15 N/A N/A 2,238,760 1,240,720 7,140,620 7,479,280 2020-01-15 $92.99 $91.00 27.7% 7.5% 20.4% 44.1% 26.4% 0.4% -1.4% 102.9M -15.84B -104.8M 0.63 20.26 N/A N/A 1,861,100 1,174,580 7,588,820 7,775,740 2020-01-16 $93.77 $91.00 27.0% 7.4% 20.2% 41.3% 26.0% 0.0% -1.3% 951.9M -20.91B -104.5M 0.59 23.74 N/A N/A 2,386,720 1,396,440 7,942,540 7,976,480 2020-01-17 $93.03 $91.00 26.9% 7.4% 20.5% 40.8% 25.9% 0.2% -1.5% -11.7M -15.52B -103.6M 0.55 27.13 N/A N/A 3,500,400 1,929,160 8,147,380 8,151,400 2020-01-21 $94.44 $91.00 28.0% 8.0% 21.0% 45.2% 28.0% 0.3% -1.2% 792.0M -12.70B -105.0M 0.53 25.74 N/A N/A 2,209,200 1,160,240 5,031,100 4,710,140 2020-01-22 $94.42 $91.00 27.9% 8.0% 21.0% 44.9% 28.0% 0.2% -1.1% 863.1M -12.87B -107.4M 0.54 26.95 N/A N/A 2,165,300 1,163,420 5,497,500 5,154,720 2020-01-23 $94.43 $91.00 27.0% 7.8% 21.0% 41.4% 27.4% 0.3% -1.2% 891.9M -12.67B -105.7M 0.56 26.36 N/A N/A 1,677,220 946,380 5,684,120 5,311,880 2020-01-24 $93.02 $91.00 27.5% 8.0% 21.9% 45.5% 28.0% 0.6% -1.1% -997.4M -4.65B -106.0M 0.81 30.77 N/A N/A 3,567,840 2,892,180 5,872,880 5,495,760 2020-01-27 $91.46 $91.00 28.7% 8.5% 17.3% 50.3% 30.1% 0.8% -0.5% 19.2M -3.16B -107.4M 0.77 22.01 N/A N/A 1,157,820 889,820 4,831,400 4,854,320 2020-01-28 $92.71 $91.00 26.7% 8.0% 18.1% 42.3% 28.1% 0.1% -0.5% 199.4M -6.59B -106.8M 0.63 23.77 N/A N/A 903,140 572,940 5,100,620 5,161,060 2020-01-29 $93.05 $91.00 26.7% 8.1% 17.5% 42.3% 28.6% -0.6% -0.5% 253.9M -7.66B -105.5M 0.61 25.95 N/A N/A 1,070,800 655,280 5,238,300 5,320,360 2020-01-30 $93.59 $91.00 26.9% 8.2% 17.6% 49.0% 28.7% -0.1% -0.7% 403.4M -9.29B -106.5M 0.66 38.94 N/A N/A 2,641,000 1,735,600 5,546,620 5,473,920 2020-01-31 $100.51 $91.00 25.4% 7.5% 29.6% 42.5% 26.8% 1.3% 0.2% 2.28B -35.53B -101.1M 0.66 39.61 N/A N/A 7,422,920 4,868,280 6,452,880 6,124,540
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