AMZN Options History — May 2020 In May 2020, AMZN traded between $114.50 and $124.94. ATM implied volatility averaged 29.5%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 7.6% (HV 20d: 37.1%). Max pain ranged from $101.00 to $108.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.76.
Notable Days 2020-05-01 : Highest Volume — 8,091,540 contracts2020-05-13 : Largest IV spike — 15.6% change2020-05-01 : Highest IV Rank — 41.7%2020-05-01 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $119.70 $114.50 $124.94 $114.50 $121.25 Max Pain $105.44 $101.00 $108.50 $107.50 $108.50 ATM IV 29.5% 26.4% 36.7% 36.7% 26.4% Expected Move 8.5% 7.4% 11.1% 11.1% 7.4% HV 20d 37.1% 28.9% 47.2% 47.2% 28.9% HV 60d 46.6% 43.9% 47.6% 47.6% 43.9% IV Rank 26.9% 20.5% 41.7% 41.7% 20.5% IV Percentile 68.2% 45.2% 83.3% 83.3% 45.2% Term Structure 0.3% -0.2% 0.9% 0.5% 0.4% VWIV 30.7% 26.8% 41.1% 41.1% 26.8% Skew 25d 2.1% 1.0% 4.3% 1.5% 2.6% Skew 10d 4.0% 1.6% 8.3% 1.6% 6.2% Call IV 25d 28.8% 25.3% 36.9% 36.9% 25.3% Put IV 25d 30.9% 27.5% 38.4% 38.4% 27.9% Bid-Ask Spread % 30.81 17.61 41.60 41.60 38.33 Gamma HHI 0.04 0.02 0.16 0.05 0.05 Net GEX 504.4M -381.2M 1.87B -381.2M 792.4M Net DEX -28.22B -37.14B -18.64B -18.64B -28.37B Net VEX -142.9M -153.2M -133.6M -153.2M -142.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.51 0.95 0.79 0.93 Total Volume 3,515,993 2,041,880 8,091,540 8,091,540 3,960,760 Total OI 12,240,707 10,533,940 13,657,980 13,657,980 12,826,280
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 2020-05-01 $114.50 $107.50 36.7% 11.1% 47.2% 41.7% 41.1% 1.5% 0.5% -381.2M -18.64B -153.2M 0.79 41.60 N/A N/A 4,524,940 3,566,600 7,208,740 6,449,240 2020-05-04 $115.55 $101.00 34.9% 10.1% 46.7% 38.0% 35.4% 1.9% 0.1% 301.7M -23.79B -151.7M 0.75 20.32 N/A N/A 1,552,240 1,170,000 6,030,160 5,708,320 2020-05-05 $115.70 $102.50 32.1% 9.4% 44.5% 32.2% 33.4% 2.3% 0.4% 199.4M -23.81B -149.1M 0.95 25.79 N/A N/A 1,094,920 1,044,300 6,368,000 6,025,520 2020-05-06 $117.67 $102.50 32.3% 9.4% 44.5% 32.7% 33.3% 2.0% 0.3% 474.3M -28.18B -149.1M 0.90 17.61 N/A N/A 1,113,540 1,007,540 6,465,740 6,143,180 2020-05-07 $117.69 $102.75 30.0% 8.9% 44.6% 28.0% 32.1% 1.7% 0.9% 617.8M -28.77B -145.8M 0.89 25.00 N/A N/A 1,082,980 958,900 6,647,540 6,219,360 2020-05-08 $118.90 $103.00 26.9% 8.0% 44.6% 21.5% 29.2% 1.3% 0.8% 1.04B -32.06B -139.9M 0.83 26.55 N/A N/A 1,957,920 1,630,320 6,739,660 6,295,920 2020-05-11 $120.88 $103.50 27.9% 8.1% 39.3% 23.6% 29.5% 1.2% 0.4% 808.1M -33.16B -136.8M 0.71 26.77 N/A N/A 1,340,940 948,740 5,755,520 5,552,700 2020-05-12 $118.69 $105.00 27.9% 8.2% 36.3% 23.5% 29.5% 1.9% 0.6% 406.1M -27.89B -140.4M 0.75 32.69 N/A N/A 1,189,460 893,520 6,033,720 5,827,220 2020-05-13 $118.01 $105.00 32.2% 9.2% 36.2% 32.4% 33.4% 4.3% -0.0% 210.5M -25.20B -147.9M 0.80 25.89 N/A N/A 1,792,180 1,441,620 6,178,100 6,020,600 2020-05-14 $118.73 $105.00 29.9% 8.6% 34.1% 27.8% 30.7% 3.5% 0.1% 483.0M -27.40B -144.7M 0.72 31.12 N/A N/A 1,434,540 1,035,920 6,405,720 6,233,020 2020-05-15 $120.21 $105.00 27.9% 8.0% 34.1% 23.6% 28.9% 2.8% 0.1% 1.87B -32.52B -141.3M 0.79 33.31 N/A N/A 2,644,160 2,081,600 6,556,840 6,416,620 2020-05-18 $121.38 $105.00 26.4% 7.6% 33.8% 20.5% 27.5% 2.1% 0.2% 450.3M -28.94B -133.6M 0.67 32.88 N/A N/A 1,730,620 1,159,180 5,205,940 5,328,000 2020-05-19 $123.46 $106.00 28.9% 8.3% 32.8% 25.6% 29.9% 1.5% -0.0% 781.2M -33.57B -138.9M 0.55 28.81 N/A N/A 2,819,080 1,562,020 5,558,400 5,667,860 2020-05-20 $124.94 $107.00 28.8% 8.3% 32.9% 25.6% 29.6% 1.0% -0.0% 1.09B -37.14B -137.4M 0.51 31.22 N/A N/A 2,403,220 1,215,780 5,969,540 5,996,280 2020-05-21 $122.69 $107.50 29.5% 8.4% 33.5% 26.9% 29.9% 1.6% 0.1% 355.9M -30.74B -140.7M 0.69 33.00 N/A N/A 2,968,440 2,049,520 6,298,140 6,146,200 2020-05-22 $121.73 $107.50 27.8% 7.9% 33.5% 23.5% 28.1% 2.0% 0.4% -84.4M -27.22B -140.1M 0.74 34.86 N/A N/A 2,504,440 1,844,500 6,628,500 6,411,160 2020-05-26 $120.93 $108.00 27.9% 8.0% 33.4% 23.5% 28.2% 1.8% 0.1% 255.0M -26.25B -138.8M 0.84 39.22 N/A N/A 1,506,660 1,267,080 5,623,360 5,509,860 2020-05-27 $120.45 $108.25 28.0% 8.0% 31.5% 23.8% 28.5% 2.7% -0.2% 134.4M -24.71B -140.4M 0.76 35.39 N/A N/A 2,535,580 1,939,220 5,995,680 5,851,280 2020-05-28 $120.56 $108.25 28.0% 8.0% 30.1% 23.8% 28.7% 2.6% -0.0% 295.5M -25.94B -146.4M 0.69 35.82 N/A N/A 1,979,960 1,366,920 6,359,420 6,156,800 2020-05-29 $121.25 $108.50 26.4% 7.4% 28.9% 20.5% 26.8% 2.6% 0.4% 792.4M -28.37B -142.4M 0.93 38.33 N/A N/A 2,056,720 1,904,040 6,542,860 6,283,420
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