AMZN Options History — October 2020 In October 2020, AMZN traded between $151.56 and $173.15. ATM implied volatility averaged 51.3%, placing in the 71.6% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 10.6% (HV 20d: 40.6%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.66.
Notable Days 2020-10-09 : Highest Volume — 10,337,800 contracts2020-10-29 : Largest IV drop — 7.3% change2020-10-19 : Highest IV Rank — 78.3%2020-10-28 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $161.69 $151.56 $173.15 $160.82 $151.56 Max Pain $158.95 $155.00 $160.00 $155.00 $160.00 ATM IV 51.3% 47.3% 54.5% 49.7% 47.3% Expected Move 14.4% 11.4% 16.1% 11.4% 14.2% HV 20d 40.6% 33.8% 47.5% 47.5% 42.3% HV 60d 38.0% 36.8% 40.2% 38.7% 39.6% IV Rank 71.6% 63.4% 78.3% 68.5% 63.4% IV Percentile 89.1% 74.2% 95.2% 90.1% 74.2% Term Structure -1.1% -2.8% 3.3% 3.1% -0.5% VWIV 50.4% 40.4% 56.2% 40.4% 49.0% Skew 25d 1.0% 0.2% 3.5% 1.3% 3.5% Skew 10d 1.6% -0.1% 6.6% 1.3% 6.6% Call IV 25d 50.7% 45.4% 53.4% 48.7% 45.4% Put IV 25d 51.8% 48.1% 55.4% 50.0% 49.0% Bid-Ask Spread % 15.22 8.74 37.92 16.55 16.68 Gamma HHI 0.03 0.02 0.08 0.04 0.03 Net GEX 1.18B -992.0M 2.80B 2.24B -992.0M Net DEX -45.48B -82.75B -5.10B -53.76B -5.10B Net VEX -281.1M -299.2M -265.6M -269.6M -274.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.47 1.04 0.65 1.04 Total Volume 5,919,477.273 3,087,000 10,337,800 5,038,980 10,193,480 Total OI 17,317,932.727 15,162,620 19,420,600 16,738,820 18,816,520
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 2020-10-01 $160.82 $155.00 49.7% 11.4% 47.5% 68.5% 40.4% 1.3% 3.1% 2.24B -53.76B -269.6M 0.65 16.55 N/A N/A 3,050,120 1,988,860 9,677,660 7,061,160 2020-10-02 $156.84 $155.00 51.9% 11.8% 44.6% 72.9% 41.5% 1.1% 3.3% 478.2M -37.44B -270.4M 0.80 37.92 N/A N/A 4,307,900 3,460,660 9,977,920 7,370,220 2020-10-05 $159.63 $157.00 52.6% 14.8% 45.0% 74.4% 51.7% 1.3% -1.3% 1.52B -45.71B -270.2M 0.59 14.07 N/A N/A 1,940,840 1,146,160 9,165,940 6,788,480 2020-10-06 $154.82 $157.25 54.1% 15.0% 43.2% 77.4% 52.3% 1.9% -0.7% 950.6M -31.00B -266.6M 0.81 12.15 N/A N/A 2,655,900 2,144,380 9,531,440 6,993,420 2020-10-07 $159.55 $157.25 51.7% 14.3% 42.1% 72.5% 50.3% 1.2% -1.0% 1.69B -46.04B -277.2M 0.66 11.83 N/A N/A 2,437,420 1,599,740 9,846,160 7,765,260 2020-10-08 $159.59 $157.25 50.5% 14.1% 40.8% 70.1% 49.0% 0.9% -1.2% 1.86B -46.11B -276.0M 0.62 8.74 N/A N/A 2,833,960 1,744,980 10,027,680 7,964,560 2020-10-09 $164.07 $158.50 47.7% 13.3% 40.7% 64.4% 46.6% 0.3% -1.2% 2.80B -67.33B -273.3M 0.60 14.68 N/A N/A 6,453,040 3,884,760 10,385,500 8,270,640 2020-10-12 $172.28 $159.75 48.5% 13.5% 43.8% 66.0% 47.5% 0.2% -0.8% 2.11B -82.75B -265.6M 0.51 16.83 N/A N/A 6,245,340 3,161,440 9,384,400 7,460,680 2020-10-13 $173.15 $160.00 48.7% 13.7% 43.7% 66.3% 47.9% 1.0% -0.5% 2.19B -81.22B -269.0M 0.47 17.31 N/A N/A 3,632,320 1,722,480 9,597,960 7,794,660 2020-10-14 $168.68 $160.00 51.7% 14.3% 44.6% 72.5% 50.0% 0.3% -1.9% 1.72B -65.03B -276.1M 0.53 12.63 N/A N/A 4,273,700 2,261,560 9,850,440 8,064,160 2020-10-15 $167.41 $160.00 52.8% 14.7% 42.5% 74.7% 51.5% 0.4% -1.7% 1.76B -61.01B -279.9M 0.58 11.94 N/A N/A 4,144,760 2,384,600 10,275,860 8,386,580 2020-10-16 $165.03 $160.00 53.1% 14.8% 42.3% 75.3% 51.7% 0.7% -2.2% 1.07B -51.19B -283.1M 0.67 11.16 N/A N/A 5,844,520 3,940,700 10,772,720 8,647,880 2020-10-19 $160.12 $160.00 54.5% 15.4% 44.1% 78.3% 54.0% 1.5% -2.8% 647.3M -32.66B -284.2M 0.80 10.05 N/A N/A 3,078,760 2,456,120 8,400,460 6,762,160 2020-10-20 $161.37 $160.00 54.0% 15.4% 38.2% 77.3% 54.0% 1.2% -2.8% 727.2M -36.00B -292.6M 0.59 11.56 N/A N/A 2,873,880 1,704,000 8,911,540 7,319,240 2020-10-21 $159.42 $160.00 52.9% 15.2% 35.6% 75.0% 52.8% 1.2% -2.5% 552.4M -30.02B -290.3M 0.61 11.17 N/A N/A 3,137,940 1,904,740 9,245,360 7,554,180 2020-10-22 $158.78 $160.00 50.5% 14.6% 35.6% 70.0% 50.9% 0.6% -2.4% 410.9M -28.88B -288.0M 0.75 14.63 N/A N/A 3,209,840 2,393,300 9,649,940 7,799,860 2020-10-23 $159.45 $160.00 49.6% 14.5% 35.1% 68.3% 50.4% 0.5% -2.4% 516.5M -32.98B -291.1M 0.86 16.42 N/A N/A 3,330,320 2,849,280 10,105,880 8,101,940 2020-10-26 $159.85 $160.00 52.9% 15.9% 33.8% 75.1% 55.6% 0.7% -1.1% 739.4M -38.03B -294.1M 0.56 15.09 N/A N/A 2,671,240 1,500,740 8,535,740 7,145,860 2020-10-27 $164.32 $160.00 50.3% 15.1% 34.9% 69.7% 52.6% 0.5% -0.9% 1.19B -50.83B -299.2M 0.60 17.78 N/A N/A 1,958,880 1,175,440 9,194,680 7,624,360 2020-10-28 $159.02 $160.00 53.2% 16.1% 37.0% 75.6% 56.2% 1.3% -0.9% 734.7M -35.10B -299.1M 0.62 16.32 N/A N/A 1,981,840 1,236,000 9,369,600 7,793,120 2020-10-29 $161.51 $160.00 49.3% 15.0% 36.7% 67.6% 52.4% 1.3% -0.8% 997.1M -42.48B -294.8M 0.62 19.33 N/A N/A 3,274,400 2,038,160 9,577,460 8,025,240 2020-10-30 $151.56 $160.00 47.3% 14.2% 42.3% 63.4% 49.0% 3.5% -0.5% -992.0M -5.10B -274.4M 1.04 16.68 N/A N/A 4,995,020 5,198,460 10,204,220 8,612,300
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