AMZN Options History — September 2020 In September 2020, AMZN traded between $146.71 and $176.47. ATM implied volatility averaged 45.5%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 6.0% (HV 20d: 39.5%). Max pain ranged from $152.00 to $157.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.64.
Notable Days 2020-09-04 : Highest Volume — 8,488,960 contracts2020-09-03 : Largest IV spike — 17.1% change2020-09-03 : Highest IV Rank — 70.2%2020-09-03 : Largest Expected Move — 14.7%Monthly Statistics Metric Avg Min Max Open Close Price $157.94 $146.71 $176.47 $175.05 $157.45 Max Pain $155.49 $152.00 $157.50 $153.75 $155.00 ATM IV 45.5% 39.9% 50.6% 39.9% 47.4% Expected Move 12.5% 10.4% 14.7% 10.4% 11.3% HV 20d 39.5% 25.3% 47.8% 26.4% 46.8% HV 60d 37.4% 32.6% 40.9% 33.2% 38.6% IV Rank 59.7% 48.3% 70.2% 48.3% 63.7% IV Percentile 82.5% 73.8% 90.9% 75.4% 84.1% Term Structure 2.1% -1.2% 4.3% 1.6% 3.4% VWIV 43.8% 37.8% 51.6% 37.8% 39.8% Skew 25d 3.2% 1.3% 5.6% 1.4% 1.5% Skew 10d 5.3% 0.2% 10.9% 4.3% 2.1% Call IV 25d 44.2% 39.0% 49.1% 40.0% 46.9% Put IV 25d 47.3% 41.4% 53.5% 41.4% 48.5% Bid-Ask Spread % 27.42 12.53 44.37 44.37 21.15 Gamma HHI 0.03 0.02 0.06 0.04 0.03 Net GEX 702.1M -867.6M 2.06B 2.06B 1.33B Net DEX -36.66B -82.20B -4.73B -78.97B -41.39B Net VEX -257.9M -276.4M -240.4M -245.0M -263.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.48 0.91 0.53 0.61 Total Volume 5,068,483.81 2,779,140 8,488,960 3,605,680 4,540,620 Total OI 16,524,963.81 15,000,940 18,627,000 15,000,940 16,187,960
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 2020-09-01 $175.05 $153.75 39.9% 10.4% 26.4% 48.3% 37.8% 1.4% 1.6% 2.06B -78.97B -245.0M 0.53 44.37 N/A N/A 2,355,800 1,249,880 8,200,540 6,800,400 2020-09-02 $176.47 $155.00 43.2% 11.1% 25.3% 55.1% 40.3% 1.9% 1.4% 1.80B -82.20B -258.8M 0.60 43.33 N/A N/A 2,496,460 1,509,540 8,537,720 7,264,360 2020-09-03 $167.23 $155.00 50.6% 14.7% 32.6% 70.2% 51.6% 4.3% 0.6% 96.8M -46.70B -274.1M 0.65 15.94 N/A N/A 4,037,740 2,615,580 8,744,300 7,519,700 2020-09-04 $165.18 $157.00 49.1% 14.4% 31.9% 67.3% 50.7% 5.6% -0.2% -266.0M -41.80B -276.4M 0.78 22.89 N/A N/A 4,776,560 3,712,400 9,300,600 7,778,460 2020-09-08 $157.62 $157.50 50.0% 14.0% 36.2% 69.0% 48.9% 5.6% -1.2% 436.5M -32.64B -263.3M 0.54 18.02 N/A N/A 2,323,520 1,260,960 8,549,880 6,912,820 2020-09-09 $164.08 $157.50 43.0% 12.8% 38.4% 54.7% 44.4% 4.8% 1.4% 1.05B -51.55B -262.7M 0.55 26.17 N/A N/A 2,902,380 1,589,760 8,981,700 7,218,800 2020-09-10 $159.36 $157.50 44.6% 12.8% 39.3% 57.9% 44.6% 5.4% 0.4% 405.0M -36.03B -260.9M 0.65 28.00 N/A N/A 3,885,460 2,516,300 9,360,660 7,541,960 2020-09-11 $155.25 $157.50 41.1% 12.1% 40.4% 50.8% 41.2% 5.0% 1.6% -444.4M -20.60B -248.9M 0.91 29.35 N/A N/A 3,755,680 3,422,120 9,953,500 7,863,760 2020-09-14 $155.24 $157.50 41.8% 12.0% 40.1% 52.1% 41.9% 4.4% 2.1% 370.3M -27.85B -243.9M 0.64 29.51 N/A N/A 2,189,640 1,409,560 9,035,300 7,124,380 2020-09-15 $157.12 $157.50 41.0% 11.8% 39.9% 50.6% 41.4% 3.4% 1.7% 569.0M -33.77B -248.3M 0.59 28.28 N/A N/A 2,276,740 1,338,580 9,408,500 7,410,500 2020-09-16 $155.00 $157.00 42.8% 12.3% 37.3% 54.1% 43.0% 3.9% 1.4% 445.1M -27.36B -250.6M 0.64 29.57 N/A N/A 2,085,080 1,344,720 9,756,460 7,654,000 2020-09-17 $149.74 $157.00 44.0% 12.5% 38.7% 56.8% 43.9% 3.6% 1.9% -414.5M -11.64B -241.2M 0.75 23.98 N/A N/A 3,528,740 2,633,240 10,025,800 7,843,940 2020-09-18 $147.08 $155.00 43.6% 12.3% 38.5% 56.0% 43.2% 2.9% 1.9% -867.6M -4.73B -240.4M 0.79 20.91 N/A N/A 4,464,780 3,519,960 10,493,420 8,133,580 2020-09-21 $146.71 $152.00 45.3% 12.5% 38.5% 59.4% 44.6% 2.3% 4.0% 452.4M -15.40B -245.9M 0.60 25.07 N/A N/A 2,380,420 1,417,720 8,852,300 6,225,300 2020-09-22 $156.34 $152.00 46.3% 12.5% 45.5% 61.3% 44.3% 1.3% 3.7% 1.51B -43.52B -268.1M 0.48 31.79 N/A N/A 4,171,500 1,991,380 9,510,440 6,539,800 2020-09-23 $150.44 $152.50 47.9% 13.1% 46.9% 64.6% 45.8% 2.2% 3.8% 785.6M -24.71B -263.3M 0.64 28.73 N/A N/A 2,732,800 1,754,680 9,818,700 6,844,380 2020-09-24 $151.41 $154.00 48.9% 13.0% 45.5% 66.9% 46.1% 1.9% 3.8% 852.7M -27.16B -267.4M 0.60 31.05 N/A N/A 3,440,500 2,052,340 10,000,020 7,095,960 2020-09-25 $154.39 $155.00 47.4% 12.3% 46.4% 63.7% 43.6% 1.6% 4.3% 1.94B -36.53B -266.2M 0.68 37.12 N/A N/A 3,836,880 2,602,900 10,215,720 7,362,460 2020-09-28 $158.60 $155.00 48.3% 12.0% 47.8% 65.6% 42.3% 1.6% 3.1% 1.36B -45.03B -264.3M 0.63 28.12 N/A N/A 2,166,180 1,369,920 8,844,500 6,402,600 2020-09-29 $157.05 $155.00 48.2% 11.7% 47.0% 65.3% 40.9% 1.6% 3.2% 1.27B -40.38B -262.9M 0.64 12.53 N/A N/A 1,698,180 1,080,960 9,118,200 6,590,860 2020-09-30 $157.45 $155.00 47.4% 11.3% 46.8% 63.7% 39.8% 1.5% 3.4% 1.33B -41.39B -263.1M 0.61 21.15 N/A N/A 2,814,560 1,726,060 9,361,180 6,826,780
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