AMZN Options History — March 2020 In March 2020, AMZN traded between $84.66 and $98.02. ATM implied volatility averaged 49.5%, placing in the 78.7% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 0.1% (HV 20d: 49.4%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.79.
Notable Days 2020-03-20 : Highest Volume — 4,793,460 contracts2020-03-12 : Largest IV spike — 28.5% change2020-03-09 : Highest IV Rank — 100.0%2020-03-16 : Largest Expected Move — 18.4%Monthly Statistics Metric Avg Min Max Open Close Price $93.50 $84.66 $98.02 $96.38 $97.95 Max Pain $97.24 $95.00 $100.00 $99.50 $96.25 ATM IV 49.5% 33.4% 65.1% 35.9% 43.1% Expected Move 13.9% 9.9% 18.4% 10.9% 11.3% HV 20d 49.4% 35.5% 62.0% 35.5% 57.3% HV 60d 36.4% 28.7% 42.6% 28.7% 41.9% IV Rank 78.7% 54.4% 100.0% 62.4% 54.9% IV Percentile 98.2% 93.3% 100.0% 99.2% 93.3% Term Structure -0.8% -3.1% 2.0% -0.8% -0.8% VWIV 48.6% 35.8% 63.6% 40.1% 40.9% Skew 25d 13.9% 8.4% 19.8% 11.1% 8.7% Skew 10d 26.2% 14.9% 36.7% 22.6% 15.7% Call IV 25d 42.4% 28.4% 53.2% 30.7% 39.0% Put IV 25d 56.3% 38.9% 73.0% 41.9% 47.6% Bid-Ask Spread % 18.30 5.18 40.28 36.23 32.00 Gamma HHI 0.02 0.02 0.03 0.02 0.03 Net GEX -2.7M -408.8M 364.8M -65.0M 166.2M Net DEX 1.52B -9.56B 19.44B 1.64B -9.11B Net VEX -142.0M -153.8M -128.8M -135.5M -144.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.55 1.00 0.76 0.80 Total Volume 3,144,840 2,102,580 4,793,460 2,852,900 2,102,580 Total OI 12,585,111.818 10,588,680 14,309,340 11,994,140 11,278,560
Daily Data (22 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 2020-03-02 $96.38 $99.50 35.9% 10.9% 35.5% 62.4% 40.1% 11.1% -0.8% -65.0M 1.64B -135.5M 0.76 36.23 N/A N/A 1,620,500 1,232,400 5,936,640 6,057,500 2020-03-03 $95.78 $99.00 38.0% 11.6% 35.5% 69.1% 39.8% 12.3% -1.1% -21.1M 2.49B -139.5M 0.74 38.34 N/A N/A 2,111,500 1,556,040 6,292,500 6,306,420 2020-03-04 $98.02 $98.75 33.4% 9.9% 35.7% 54.4% 35.8% 10.5% -0.4% 291.6M -3.77B -140.3M 0.76 40.28 N/A N/A 1,659,400 1,253,300 6,634,740 6,536,960 2020-03-05 $96.01 $100.00 41.1% 11.3% 36.2% 79.1% 40.4% 14.3% -1.0% -71.1M 2.58B -143.0M 0.97 5.72 N/A N/A 1,555,720 1,515,120 6,841,840 6,713,740 2020-03-06 $94.55 $100.00 42.6% 11.9% 36.4% 84.0% 42.1% 16.7% -0.7% -408.8M 7.02B -142.2M 0.72 5.62 N/A N/A 2,553,920 1,833,620 6,950,900 6,843,100 2020-03-09 $90.86 $100.00 48.6% 13.6% 37.9% 100.0% 46.0% 16.6% -1.1% -253.6M 10.43B -135.5M 0.73 5.18 N/A N/A 1,578,940 1,148,720 6,012,240 6,098,600 2020-03-10 $94.21 $99.50 44.6% 12.4% 39.3% 87.4% 44.1% 14.9% -1.3% -32.8M 3.54B -140.7M 0.72 7.29 N/A N/A 1,644,560 1,179,780 6,365,180 6,306,520 2020-03-11 $91.53 $98.00 47.6% 13.2% 39.5% 97.0% 46.2% 14.8% -1.6% -193.4M 8.74B -137.7M 0.90 6.04 N/A N/A 1,370,800 1,231,580 6,591,260 6,553,040 2020-03-12 $84.66 $97.50 61.2% 16.9% 46.3% 100.0% 55.6% 18.0% -3.1% -403.5M 19.44B -128.8M 0.83 7.94 N/A N/A 2,243,220 1,869,740 6,853,300 6,714,080 2020-03-13 $86.97 $97.50 54.1% 15.2% 48.3% 84.1% 51.7% 18.4% -2.2% -299.6M 15.81B -129.1M 0.86 12.15 N/A N/A 2,152,960 1,856,320 7,176,840 6,796,960 2020-03-16 $85.82 $97.00 65.1% 18.4% 48.3% 100.0% 62.6% 19.8% 0.2% -193.8M 12.78B -132.9M 1.00 8.74 N/A N/A 1,297,640 1,293,820 6,104,580 6,155,000 2020-03-17 $90.67 $96.50 61.9% 17.6% 53.2% 93.5% 61.6% 19.5% 1.2% -50.6M 4.97B -143.7M 0.77 6.58 N/A N/A 2,129,620 1,647,800 6,286,500 6,434,140 2020-03-18 $89.56 $95.00 64.3% 18.4% 52.9% 98.4% 63.6% 19.8% 1.4% -77.0M 5.72B -147.2M 0.84 12.04 N/A N/A 1,863,140 1,560,420 6,636,380 6,755,880 2020-03-19 $96.04 $95.00 55.1% 15.8% 59.9% 79.5% 56.5% 17.8% 1.0% 364.8M -8.26B -153.8M 0.73 12.58 N/A N/A 2,590,260 1,884,660 6,929,720 6,908,600 2020-03-20 $91.42 $95.25 55.2% 15.6% 61.5% 79.7% 52.9% 14.6% 2.0% -73.9M 2.73B -147.0M 0.68 18.58 N/A N/A 2,844,940 1,948,520 7,130,460 7,178,880 2020-03-23 $94.75 $95.25 52.3% 14.5% 62.0% 73.9% 51.7% 12.3% -1.6% 149.5M -4.85B -146.9M 0.73 16.78 N/A N/A 1,408,640 1,030,380 5,361,500 5,227,180 2020-03-24 $96.23 $95.25 49.7% 13.8% 62.0% 68.4% 49.1% 8.4% -2.1% 285.4M -7.91B -145.2M 0.73 25.80 N/A N/A 1,472,860 1,077,900 5,667,380 5,487,640 2020-03-25 $95.37 $96.00 51.4% 14.3% 62.0% 71.9% 49.6% 9.4% -1.6% 176.7M -6.08B -148.2M 0.55 23.35 N/A N/A 1,552,640 846,400 5,863,840 5,710,960 2020-03-26 $96.61 $96.00 49.0% 13.2% 60.4% 67.0% 46.9% 8.9% -1.8% 335.3M -8.64B -149.0M 0.86 23.64 N/A N/A 1,284,320 1,098,500 6,148,220 5,904,840 2020-03-27 $95.71 $96.00 49.3% 13.1% 59.2% 67.5% 46.3% 9.5% -1.4% 134.2M -6.37B -147.7M 0.73 29.90 N/A N/A 1,616,260 1,184,420 6,291,140 6,137,320 2020-03-30 $98.02 $96.00 45.7% 12.1% 57.4% 60.2% 45.0% 8.6% -0.2% 181.2M -9.56B -145.8M 0.89 27.83 N/A N/A 1,210,460 1,072,160 5,290,620 5,400,760 2020-03-31 $97.95 $96.25 43.1% 11.3% 57.3% 54.9% 40.9% 8.7% -0.8% 166.2M -9.11B -144.1M 0.80 32.00 N/A N/A 1,167,200 935,380 5,583,940 5,694,620
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