AMZN Options History — August 2020 In August 2020, AMZN traded between $154.59 and $173.47. ATM implied volatility averaged 36.0%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 2.8% (HV 20d: 33.2%). Max pain ranged from $141.00 to $152.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.54.
Notable Days 2020-08-18 : Highest Volume — 6,862,860 contracts2020-08-18 : Largest IV spike — 14.1% change2020-08-27 : Highest IV Rank — 50.8%2020-08-26 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $162.59 $154.59 $173.47 $155.93 $173.47 Max Pain $146.79 $141.00 $152.50 $141.00 $152.50 ATM IV 36.0% 32.1% 41.1% 34.9% 40.2% Expected Move 10.2% 9.2% 11.6% 9.6% 10.3% HV 20d 33.2% 26.4% 40.3% 40.1% 26.4% HV 60d 32.4% 31.4% 33.3% 31.5% 33.3% IV Rank 40.4% 32.2% 50.8% 38.0% 48.9% IV Percentile 70.9% 62.7% 78.2% 71.0% 75.8% Term Structure 0.4% -0.4% 1.4% -0.4% 1.1% VWIV 36.5% 33.3% 41.6% 33.4% 37.7% Skew 25d -0.5% -1.8% 0.9% -0.4% 0.9% Skew 10d -1.1% -4.0% 3.5% 0.8% 3.5% Call IV 25d 37.0% 32.3% 42.8% 35.4% 40.6% Put IV 25d 36.6% 33.0% 41.6% 35.0% 41.4% Bid-Ask Spread % 36.51 27.17 56.56 53.34 44.95 Gamma HHI 0.05 0.02 0.34 0.02 0.03 Net GEX 1.25B -178.4M 4.26B 489.6M 1.43B Net DEX -57.16B -77.27B -37.27B -41.78B -72.24B Net VEX -202.0M -239.4M -170.0M -170.0M -231.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.33 0.77 0.77 0.47 Total Volume 4,305,409.524 2,618,220 6,862,860 3,092,300 4,214,380 Total OI 14,212,691.429 11,914,680 16,098,900 11,914,680 13,818,000
Daily Data (21 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 2020-08-03 $155.93 $141.00 34.9% 9.6% 40.1% 38.0% 33.4% -0.4% -0.4% 489.6M -41.78B -170.0M 0.77 53.34 N/A N/A 1,749,080 1,343,220 6,069,620 5,845,060 2020-08-04 $156.22 $141.00 35.4% 9.6% 39.8% 39.0% 34.3% -0.4% -0.3% 363.8M -42.94B -178.0M 0.58 55.41 N/A N/A 1,945,000 1,132,680 6,480,820 6,323,860 2020-08-05 $160.37 $141.25 34.9% 9.5% 40.3% 38.1% 33.8% -1.8% -0.2% 1.13B -54.63B -180.8M 0.54 56.56 N/A N/A 2,948,500 1,597,080 6,777,880 6,632,040 2020-08-06 $161.80 $145.00 34.3% 10.0% 38.3% 36.7% 35.3% -1.7% -0.1% 1.69B -59.51B -184.5M 0.54 36.10 N/A N/A 2,848,920 1,531,620 7,267,160 6,832,400 2020-08-07 $158.32 $145.00 34.5% 10.1% 39.0% 37.2% 36.1% -0.7% -0.0% -125.5M -46.73B -190.9M 0.75 35.37 N/A N/A 3,487,660 2,613,820 7,518,340 7,038,200 2020-08-10 $156.90 $145.00 35.7% 10.4% 38.2% 39.5% 36.7% -0.1% 0.8% 483.8M -42.88B -191.2M 0.66 27.17 N/A N/A 1,574,460 1,043,760 6,794,620 6,394,860 2020-08-11 $154.59 $145.00 35.1% 10.2% 37.7% 38.4% 36.3% 0.5% 0.4% 164.7M -37.27B -196.5M 0.64 28.24 N/A N/A 1,860,140 1,194,160 7,172,200 6,740,100 2020-08-12 $158.08 $145.00 32.4% 9.4% 38.2% 32.9% 33.6% -0.6% 0.5% 739.8M -48.24B -192.7M 0.61 30.39 N/A N/A 1,951,340 1,190,700 7,395,860 7,011,680 2020-08-13 $158.63 $145.00 33.6% 9.8% 38.1% 35.2% 35.0% 0.0% 0.6% 907.9M -49.63B -193.6M 0.64 28.26 N/A N/A 2,497,840 1,592,700 7,523,880 7,137,360 2020-08-14 $156.70 $145.00 32.4% 9.4% 37.9% 32.8% 33.6% 0.9% 0.4% -178.4M -41.89B -190.8M 0.65 29.81 N/A N/A 2,948,960 1,905,780 7,744,740 7,292,100 2020-08-17 $159.49 $145.00 32.1% 9.2% 28.6% 32.2% 33.3% 0.3% 0.4% 1.07B -52.13B -183.8M 0.49 31.70 N/A N/A 1,764,560 856,360 6,973,660 6,478,620 2020-08-18 $165.75 $146.00 36.6% 10.5% 31.2% 41.5% 37.3% -1.4% -0.1% 1.75B -70.69B -192.6M 0.33 29.25 N/A N/A 5,157,460 1,705,400 7,454,020 6,668,640 2020-08-19 $163.49 $147.25 35.9% 10.3% 31.2% 39.9% 36.8% -0.3% 0.6% 1.72B -62.54B -203.2M 0.45 28.94 N/A N/A 3,238,340 1,445,380 8,014,860 7,064,700 2020-08-20 $165.39 $148.50 34.4% 9.8% 28.0% 37.0% 35.7% -0.7% 1.0% 2.17B -70.18B -208.2M 0.48 30.75 N/A N/A 2,732,600 1,319,040 8,294,540 7,345,840 2020-08-21 $163.98 $149.75 35.7% 10.2% 28.4% 39.7% 36.7% -0.7% 0.9% 736.1M -65.88B -213.6M 0.53 30.30 N/A N/A 3,251,380 1,715,100 8,591,920 7,506,980 2020-08-24 $165.31 $150.00 37.8% 10.7% 27.7% 44.0% 39.0% -0.8% 0.9% 1.27B -57.61B -219.1M 0.42 34.78 N/A N/A 3,409,880 1,431,180 6,967,380 5,932,460 2020-08-25 $167.19 $150.75 38.7% 10.9% 26.6% 45.8% 39.5% -1.1% 0.8% 1.61B -62.40B -225.0M 0.42 38.47 N/A N/A 2,790,480 1,179,440 7,456,800 6,384,100 2020-08-26 $171.93 $151.00 41.0% 11.6% 27.8% 50.6% 41.6% -1.7% 0.1% 2.24B -77.27B -223.9M 0.38 38.98 N/A N/A 4,739,000 1,783,660 7,859,940 6,733,200 2020-08-27 $170.70 $151.25 41.1% 11.4% 28.1% 50.8% 41.0% -0.6% 0.6% 2.26B -72.98B -233.3M 0.56 38.19 N/A N/A 2,771,080 1,548,340 8,220,580 6,915,260 2020-08-28 $170.09 $152.25 40.3% 10.8% 26.6% 49.0% 39.4% 0.4% 1.4% 4.26B -71.00B -239.4M 0.55 39.72 N/A N/A 2,844,800 1,558,320 8,553,680 7,238,560 2020-08-31 $173.47 $152.50 40.2% 10.3% 26.4% 48.9% 37.7% 0.9% 1.1% 1.43B -72.24B -231.7M 0.47 44.95 N/A N/A 2,869,260 1,345,120 7,454,660 6,363,340
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