AMZN Options History — July 2020 In July 2020, AMZN traded between $144.43 and $160.03. ATM implied volatility averaged 49.2%, placing in the 67.3% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 11.6% (HV 20d: 37.6%). Max pain ranged from $119.50 to $140.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.56.
Notable Days 2020-07-02 : Highest Volume — 9,362,280 contracts2020-07-31 : Largest IV drop — 19.8% change2020-07-14 : Highest IV Rank — 93.8%2020-07-14 : Largest Expected Move — 16.8%Monthly Statistics Metric Avg Min Max Open Close Price $152.77 $144.43 $160.03 $144.43 $158.07 Max Pain $131.60 $119.50 $140.50 $122.50 $140.50 ATM IV 49.2% 35.2% 62.1% 40.4% 35.2% Expected Move 13.5% 8.3% 16.8% 9.0% 9.9% HV 20d 37.6% 28.9% 45.4% 29.7% 42.9% HV 60d 31.9% 30.3% 34.0% 32.1% 31.3% IV Rank 67.3% 38.6% 93.8% 49.3% 38.6% IV Percentile 90.0% 71.4% 99.2% 84.9% 71.4% Term Structure -1.9% -3.3% 0.5% -1.3% 0.5% VWIV 48.3% 30.6% 59.6% 32.6% 35.6% Skew 25d -2.1% -4.7% 1.2% 1.2% -1.2% Skew 10d -5.7% -12.7% 1.8% 1.8% -2.9% Call IV 25d 51.3% 36.2% 63.9% 40.1% 36.2% Put IV 25d 49.2% 35.1% 63.1% 41.3% 35.1% Bid-Ask Spread % 30.28 14.07 52.72 50.33 52.51 Gamma HHI 0.05 0.02 0.27 0.04 0.07 Net GEX 785.2M -432.3M 2.64B 1.30B 1.53B Net DEX -50.90B -77.69B -31.60B -55.63B -56.04B Net VEX -167.4M -185.4M -137.0M -142.8M -165.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.40 0.72 0.46 0.71 Total Volume 5,437,303.636 1,581,280 9,362,280 6,795,920 8,850,560 Total OI 13,312,478.182 11,516,360 15,903,820 12,107,140 14,578,440
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 2020-07-01 $144.43 $122.50 40.4% 9.0% 29.7% 49.3% 32.6% 1.2% -1.3% 1.30B -55.63B -142.8M 0.46 50.33 N/A N/A 4,660,460 2,135,460 6,361,000 5,746,140 2020-07-02 $144.88 $123.50 39.4% 8.3% 28.9% 47.3% 30.6% 0.8% -1.4% 1.86B -56.08B -142.7M 0.61 52.72 N/A N/A 5,807,040 3,555,240 6,570,700 6,084,540 2020-07-06 $152.06 $119.50 43.4% 11.4% 32.2% 55.5% 40.7% 0.0% -1.8% 929.3M -62.50B -137.0M 0.51 15.33 N/A N/A 4,370,420 2,227,140 6,150,140 5,456,320 2020-07-07 $150.46 $120.50 45.4% 12.1% 32.9% 59.7% 43.2% 0.5% -1.6% 830.3M -57.61B -145.8M 0.72 14.58 N/A N/A 2,674,340 1,932,360 6,551,920 5,951,400 2020-07-08 $153.37 $122.50 46.5% 12.4% 31.6% 61.8% 44.2% -0.3% -2.0% 916.5M -63.56B -148.6M 0.53 14.07 N/A N/A 2,885,680 1,533,240 6,946,540 6,449,620 2020-07-09 $159.15 $122.75 51.5% 13.6% 33.2% 72.0% 48.4% -2.1% -2.4% 1.26B -75.89B -147.1M 0.49 18.81 N/A N/A 5,542,620 2,709,820 7,106,260 6,631,040 2020-07-10 $160.03 $125.00 53.0% 14.1% 30.2% 75.2% 50.8% -4.7% -2.7% 2.64B -77.69B -153.3M 0.55 21.28 N/A N/A 4,139,240 2,256,620 7,459,280 6,988,480 2020-07-13 $156.24 $125.00 60.4% 16.1% 31.5% 90.5% 58.6% -4.3% -3.3% 749.5M -59.28B -165.3M 0.41 35.22 N/A N/A 4,505,200 1,862,300 6,557,900 5,909,380 2020-07-14 $152.74 $127.50 62.1% 16.8% 33.6% 93.8% 59.6% -0.8% -3.3% 549.6M -50.27B -176.3M 0.59 19.91 N/A N/A 3,158,680 1,869,420 7,318,940 6,378,560 2020-07-15 $151.27 $131.00 57.6% 15.6% 34.2% 84.6% 56.0% -1.6% -3.2% 532.1M -47.43B -178.5M 0.67 21.02 N/A N/A 3,006,300 2,008,580 7,821,160 6,635,240 2020-07-16 $150.49 $132.50 58.0% 15.9% 34.4% 85.5% 56.1% -2.0% -3.2% 328.4M -45.25B -181.2M 0.59 23.27 N/A N/A 3,518,360 2,064,020 8,253,500 6,958,880 2020-07-17 $148.19 $135.00 52.3% 14.5% 35.3% 73.7% 51.9% -2.2% -2.5% -111.0M -39.08B -178.8M 0.65 26.94 N/A N/A 3,965,020 2,567,840 8,683,280 7,220,540 2020-07-20 $159.21 $135.00 54.6% 15.4% 42.3% 78.5% 54.8% -4.4% -2.6% 713.4M -52.18B -171.9M 0.40 28.58 N/A N/A 3,921,600 1,580,820 6,089,560 5,426,800 2020-07-21 $157.16 $135.50 52.3% 14.9% 42.9% 73.7% 52.7% -4.5% -1.9% 724.6M -49.56B -178.9M 0.53 29.42 N/A N/A 2,950,100 1,577,340 6,597,580 5,825,480 2020-07-22 $154.93 $138.00 51.0% 14.6% 43.2% 71.0% 52.6% -4.3% -1.7% 596.7M -44.67B -182.6M 0.58 27.67 N/A N/A 1,962,060 1,142,720 7,077,800 6,249,580 2020-07-23 $149.63 $139.00 48.9% 14.1% 45.3% 66.7% 51.1% -3.5% -1.9% 78.2M -31.60B -183.3M 0.63 28.49 N/A N/A 3,447,620 2,183,300 7,255,040 6,358,140 2020-07-24 $149.99 $140.00 48.6% 14.1% 45.3% 66.1% 50.3% -2.3% -2.2% -432.3M -33.27B -185.4M 0.67 31.69 N/A N/A 4,150,720 2,771,640 7,640,480 6,668,800 2020-07-27 $153.28 $140.00 47.1% 13.9% 45.1% 63.0% 49.6% -2.5% -1.3% 576.5M -42.28B -180.8M 0.44 36.65 N/A N/A 1,870,740 828,220 6,358,500 5,753,060 2020-07-28 $150.63 $140.00 45.9% 13.6% 45.4% 60.5% 49.3% -2.7% -1.0% 497.0M -37.39B -182.0M 0.51 34.96 N/A N/A 1,052,780 531,960 6,665,320 5,966,460 2020-07-29 $151.50 $140.00 44.0% 13.1% 44.6% 56.7% 46.8% -3.4% -0.7% 518.7M -39.14B -179.0M 0.52 38.31 N/A N/A 1,041,940 539,340 6,791,020 6,116,520 2020-07-30 $153.30 $140.00 43.9% 13.1% 41.8% 56.4% 47.0% -2.9% -0.9% 675.6M -43.43B -177.5M 0.64 44.39 N/A N/A 2,603,420 1,658,400 7,021,880 6,243,300 2020-07-31 $158.07 $140.50 35.2% 9.9% 42.9% 38.6% 35.6% -1.2% 0.5% 1.53B -56.04B -165.1M 0.71 52.51 N/A N/A 5,167,360 3,683,200 7,701,540 6,876,900
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