AMZN Options History — February 2020 In February 2020, AMZN traded between $91.93 and $108.70. ATM implied volatility averaged 27.2%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 4.8% (HV 20d: 31.9%). Max pain ranged from $92.50 to $100.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.66.
Notable Days 2020-02-07 : Highest Volume — 9,328,220 contracts2020-02-27 : Largest IV spike — 24.6% change2020-02-27 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $103.30 $91.93 $108.70 $100.54 $91.93 Max Pain $97.32 $92.50 $100.00 $92.50 $100.00 ATM IV 27.2% 21.7% 47.6% 23.4% 47.6% Expected Move 7.9% 6.2% 14.9% 6.7% 14.9% HV 20d 31.9% 29.2% 40.6% 29.2% 40.6% HV 60d 23.2% 21.8% 27.1% 21.8% 27.1% IV Rank 54.1% 29.6% 100.0% 39.0% 100.0% IV Percentile 53.0% 23.0% 100.0% 33.7% 100.0% Term Structure -0.4% -2.4% 0.1% -0.1% -2.4% VWIV 27.9% 22.2% 52.2% 23.5% 52.2% Skew 25d 2.2% -1.3% 15.1% 1.6% 15.1% Skew 10d 3.7% -4.6% 29.5% 3.5% 29.5% Call IV 25d 26.6% 21.9% 42.0% 23.0% 42.0% Put IV 25d 28.8% 22.4% 57.1% 24.6% 57.1% Bid-Ask Spread % 23.21 14.31 31.31 31.31 28.76 Gamma HHI 0.04 0.02 0.09 0.04 0.02 Net GEX 690.7M -495.1M 2.22B 743.1M -495.1M Net DEX -20.12B -34.88B 14.99B -21.15B 14.99B Net VEX -114.6M -132.9M -99.9M -101.8M -132.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.47 0.91 0.58 0.91 Total Volume 4,586,533.684 2,831,160 9,328,220 3,334,100 5,242,260 Total OI 12,662,321.053 10,275,060 14,596,320 10,275,060 13,657,520
Daily Data (19 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 2020-02-03 $100.54 $92.50 23.4% 6.7% 29.2% 39.0% 23.5% 1.6% -0.1% 743.1M -21.15B -101.8M 0.58 31.31 N/A N/A 2,106,480 1,227,620 5,077,900 5,197,160 2020-02-04 $102.72 $92.50 22.9% 6.4% 29.7% 36.3% 23.2% -0.3% -0.1% 1.03B -27.51B -99.9M 0.50 30.33 N/A N/A 2,591,660 1,300,680 5,405,320 5,612,340 2020-02-05 $102.18 $92.50 23.3% 6.3% 29.9% 38.0% 23.3% -0.2% -0.2% 1.16B -26.08B -102.9M 0.52 28.12 N/A N/A 2,355,000 1,217,000 5,903,080 5,807,780 2020-02-06 $102.48 $93.75 21.7% 6.2% 29.8% 29.6% 22.2% 0.5% 0.0% 1.33B -26.91B -102.4M 0.66 15.20 N/A N/A 1,708,620 1,122,540 6,277,760 6,134,160 2020-02-07 $103.82 $94.00 23.7% 6.7% 29.9% 40.3% 23.8% -0.1% -0.3% 2.22B -31.98B -102.2M 0.55 17.36 N/A N/A 6,015,180 3,313,040 6,434,000 6,441,820 2020-02-10 $106.54 $95.00 25.3% 7.2% 30.4% 49.6% 25.6% -0.6% -0.3% 1.10B -32.49B -105.9M 0.48 14.31 N/A N/A 3,671,080 1,773,400 5,714,220 5,759,140 2020-02-11 $107.72 $95.50 26.8% 7.6% 30.4% 58.0% 27.0% -1.3% -0.4% 1.18B -34.57B -112.6M 0.50 15.09 N/A N/A 4,548,280 2,261,540 6,372,960 6,310,620 2020-02-12 $108.16 $97.50 24.7% 7.0% 29.6% 46.2% 25.0% -0.6% -0.4% 1.31B -34.88B -113.0M 0.66 17.53 N/A N/A 2,144,840 1,412,880 6,857,020 6,750,420 2020-02-13 $107.48 $98.50 24.0% 6.9% 29.7% 42.0% 24.6% -0.4% 0.0% 1.07B -32.36B -115.4M 0.56 21.04 N/A N/A 2,248,880 1,267,720 7,190,520 7,018,240 2020-02-14 $106.67 $98.75 22.3% 6.4% 30.2% 32.6% 22.9% 0.1% -0.1% 370.7M -28.74B -114.3M 0.77 24.52 N/A N/A 2,669,340 2,054,860 7,384,120 7,212,200 2020-02-18 $107.95 $99.00 23.2% 6.6% 29.7% 37.6% 23.9% -0.2% -0.1% 932.3M -29.88B -111.4M 0.47 24.10 N/A N/A 2,679,340 1,249,700 6,124,160 6,189,560 2020-02-19 $108.70 $99.50 22.1% 6.3% 29.6% 31.9% 22.9% -0.6% 0.1% 1.43B -32.98B -112.0M 0.67 21.73 N/A N/A 1,967,640 1,314,160 6,685,420 6,571,840 2020-02-20 $107.62 $100.00 22.5% 6.5% 30.1% 34.1% 23.0% 0.4% 0.1% 536.6M -28.17B -113.2M 0.74 21.55 N/A N/A 2,370,660 1,760,160 6,871,540 6,740,600 2020-02-21 $104.73 $100.00 25.7% 7.4% 32.4% 51.6% 26.3% 2.1% -0.3% -69.8M -15.64B -119.4M 0.87 23.54 N/A N/A 3,475,860 3,020,580 7,090,400 7,032,020 2020-02-24 $100.72 $100.00 29.9% 8.7% 35.3% 75.2% 31.0% 3.8% -0.6% -86.0M -3.65B -123.8M 0.76 19.58 N/A N/A 2,513,080 1,911,320 5,593,660 5,493,180 2020-02-25 $98.72 $100.00 33.7% 9.9% 35.6% 96.1% 34.5% 6.6% -1.0% -145.5M 628.1M -130.1M 0.82 29.79 N/A N/A 2,319,880 1,902,200 6,071,040 5,906,960 2020-02-26 $99.04 $100.00 32.5% 9.7% 35.4% 89.4% 33.6% 6.6% -0.9% -87.8M -199.2M -132.3M 0.77 30.26 N/A N/A 2,025,180 1,569,020 6,417,980 6,176,960 2020-02-27 $95.03 $100.00 40.5% 12.3% 38.8% 100.0% 41.1% 9.4% -1.6% -409.6M 9.29B -132.5M 0.67 26.97 N/A N/A 2,886,840 1,925,620 6,720,340 6,380,140 2020-02-28 $91.93 $100.00 47.6% 14.9% 40.6% 100.0% 52.2% 15.1% -2.4% -495.1M 14.99B -132.9M 0.91 28.76 N/A N/A 2,739,300 2,502,960 7,075,720 6,581,800
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