AMZN Options History — June 2020 In June 2020, AMZN traded between $122.86 and $138.40. ATM implied volatility averaged 32.0%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 10.3% (HV 20d: 21.7%). Max pain ranged from $105.25 to $122.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2020-06-26 : Highest Volume — 7,001,840 contracts2020-06-11 : Largest IV spike — 25.7% change2020-06-29 : Highest IV Rank — 47.8%2020-06-11 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $130.78 $122.86 $138.40 $123.53 $137.74 Max Pain $113.58 $105.25 $122.00 $108.50 $122.00 ATM IV 32.0% 24.1% 39.7% 26.7% 38.9% Expected Move 8.5% 7.0% 10.5% 7.5% 8.2% HV 20d 21.7% 17.7% 25.7% 17.7% 25.7% HV 60d 36.1% 31.8% 43.7% 43.7% 32.2% IV Rank 32.1% 15.8% 47.8% 21.2% 46.1% IV Percentile 69.5% 30.6% 84.9% 47.2% 84.1% Term Structure 1.4% -1.7% 5.4% 0.2% -1.7% VWIV 30.8% 25.6% 37.5% 27.1% 29.5% Skew 25d 2.1% -0.8% 3.7% 2.6% 2.3% Skew 10d 3.8% -1.8% 7.6% 5.4% 3.6% Call IV 25d 31.4% 23.1% 39.3% 25.8% 37.9% Put IV 25d 33.4% 25.4% 42.0% 28.4% 40.2% Bid-Ask Spread % 28.95 16.46 45.56 35.31 45.56 Gamma HHI 0.05 0.03 0.25 0.03 0.04 Net GEX 973.9M -417.9M 2.55B 743.5M 1.10B Net DEX -39.87B -54.40B -30.19B -32.82B -40.95B Net VEX -144.8M -155.7M -135.3M -138.2M -149.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.41 0.93 0.62 0.55 Total Volume 4,137,668.182 1,825,860 7,001,840 2,431,100 3,322,660 Total OI 12,562,816.364 10,285,860 14,575,180 11,122,560 11,751,380
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 2020-06-01 $123.53 $108.50 26.7% 7.5% 17.7% 21.2% 27.1% 2.6% 0.2% 743.5M -32.82B -138.2M 0.62 35.31 N/A N/A 1,502,120 928,980 5,602,720 5,519,840 2020-06-02 $123.32 $108.75 26.2% 7.4% 17.7% 20.2% 26.9% 2.8% -0.3% 876.3M -32.42B -141.0M 0.77 40.06 N/A N/A 1,033,620 792,240 6,090,900 5,795,800 2020-06-03 $124.20 $109.00 25.2% 7.1% 17.8% 18.1% 25.6% 2.6% -0.5% 1.15B -35.41B -138.0M 0.41 39.35 N/A N/A 2,053,640 846,200 6,238,020 5,963,820 2020-06-04 $122.86 $105.25 26.0% 7.6% 17.7% 19.7% 27.0% 2.6% 0.1% 768.7M -31.09B -138.2M 0.58 19.97 N/A N/A 2,579,500 1,498,040 6,642,100 6,084,420 2020-06-05 $123.92 $106.00 24.1% 7.0% 17.9% 15.8% 27.2% 2.2% -0.2% 1.74B -35.07B -137.0M 0.61 23.34 N/A N/A 2,776,740 1,686,060 6,919,040 6,265,420 2020-06-08 $126.16 $110.00 26.7% 7.7% 18.5% 21.0% 28.4% 1.3% 0.3% 1.12B -38.55B -135.3M 0.58 25.44 N/A N/A 2,333,740 1,362,700 6,105,520 5,681,200 2020-06-09 $130.81 $110.00 30.1% 8.6% 21.5% 28.1% 31.6% 0.6% 0.1% 1.48B -49.41B -139.4M 0.46 21.50 N/A N/A 4,732,560 2,153,680 6,544,640 6,168,520 2020-06-10 $132.65 $110.75 29.3% 8.4% 20.1% 26.4% 30.7% -0.8% 0.2% 1.62B -53.82B -139.6M 0.53 21.59 N/A N/A 3,312,420 1,757,520 7,050,160 6,545,160 2020-06-11 $129.01 $112.50 36.8% 10.5% 23.0% 41.8% 37.5% 3.5% -0.2% 643.1M -39.54B -155.5M 0.84 23.41 N/A N/A 3,380,440 2,845,840 7,239,100 6,814,180 2020-06-12 $127.30 $113.00 34.5% 9.8% 23.9% 37.2% 35.2% 3.7% -0.1% 210.5M -33.07B -155.7M 0.82 18.71 N/A N/A 3,590,400 2,956,160 7,505,140 7,070,040 2020-06-15 $128.74 $113.00 33.2% 9.5% 23.8% 34.4% 34.3% 2.8% 4.1% 615.9M -37.49B -153.4M 0.58 16.46 N/A N/A 1,881,300 1,087,420 6,495,120 6,243,200 2020-06-16 $130.41 $114.00 31.2% 8.9% 23.9% 30.4% 31.9% 2.3% 4.7% 1.00B -43.03B -149.5M 0.68 19.08 N/A N/A 1,827,700 1,247,340 6,836,060 6,474,640 2020-06-17 $131.94 $114.50 31.4% 9.0% 23.6% 30.9% 32.9% 1.6% 4.5% 1.31B -46.44B -147.2M 0.63 22.60 N/A N/A 1,775,100 1,123,580 6,991,220 6,695,380 2020-06-18 $132.39 $115.00 31.3% 8.7% 23.4% 30.6% 31.3% 1.7% 5.0% 1.40B -47.51B -147.2M 0.76 24.87 N/A N/A 1,289,860 980,240 7,167,780 6,816,020 2020-06-19 $134.75 $115.00 31.3% 8.4% 22.6% 30.5% 30.4% 0.9% 5.4% 2.55B -54.40B -140.1M 0.93 31.56 N/A N/A 3,258,520 3,039,400 7,237,580 6,920,440 2020-06-22 $135.35 $115.00 34.5% 8.7% 22.1% 37.1% 31.5% 1.9% 1.9% 683.2M -38.53B -140.6M 0.66 27.81 N/A N/A 1,623,940 1,069,720 5,342,620 4,943,240 2020-06-23 $138.40 $115.00 34.8% 8.4% 22.4% 37.7% 30.8% 0.8% 2.2% 997.4M -44.70B -140.0M 0.60 36.32 N/A N/A 3,364,920 2,030,080 5,664,760 5,297,500 2020-06-24 $137.14 $120.00 37.3% 9.0% 22.8% 42.8% 33.1% 2.4% 1.9% 632.9M -38.97B -148.2M 0.65 32.01 N/A N/A 2,663,400 1,744,300 5,956,840 5,660,900 2020-06-25 $137.33 $120.00 36.5% 8.6% 22.8% 41.4% 30.8% 2.2% 2.2% 851.1M -40.39B -145.3M 0.69 34.12 N/A N/A 2,004,920 1,380,740 6,349,200 5,949,560 2020-06-26 $135.32 $120.50 39.2% 9.4% 24.0% 46.8% 33.4% 2.8% 2.5% -417.9M -33.41B -153.7M 0.78 36.64 N/A N/A 3,934,800 3,067,040 6,557,280 6,164,640 2020-06-29 $133.78 $121.00 39.7% 8.8% 24.2% 47.8% 31.4% 2.7% -1.7% 327.0M -30.19B -151.8M 0.61 41.16 N/A N/A 1,985,480 1,203,640 5,695,680 5,325,180 2020-06-30 $137.74 $122.00 38.9% 8.2% 25.7% 46.1% 29.5% 2.3% -1.7% 1.10B -40.95B -149.7M 0.55 45.56 N/A N/A 2,145,500 1,177,160 6,127,140 5,624,240
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