AMZN Options History — December 2020 In December 2020, AMZN traded between $155.05 and $166.17. ATM implied volatility averaged 32.4%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 10.7% (HV 20d: 21.7%). Max pain ranged from $138.00 to $155.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.58.
Notable Days 2020-12-28 : Highest Volume — 12,301,360 contracts2020-12-28 : Largest IV spike — 16.0% change2020-12-09 : Highest IV Rank — 35.4%2020-12-09 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $159.82 $155.05 $166.17 $160.50 $162.18 Max Pain $147.50 $138.00 $155.00 $155.00 $152.25 ATM IV 32.4% 29.7% 35.5% 30.9% 34.8% Expected Move 9.0% 7.8% 9.7% 9.1% 7.8% HV 20d 21.7% 16.0% 35.3% 35.3% 22.2% HV 60d 36.1% 33.2% 40.5% 40.5% 33.2% IV Rank 31.0% 20.5% 35.4% 29.7% 30.3% IV Percentile 36.5% 23.8% 47.2% 33.3% 43.7% Term Structure 1.9% -0.1% 6.3% 1.8% 2.7% VWIV 32.6% 28.5% 35.3% 32.7% 28.5% Skew 25d -0.5% -1.4% 0.4% -0.6% -0.4% Skew 10d -1.2% -3.2% 1.1% -1.7% -0.4% Call IV 25d 33.4% 30.1% 37.9% 31.8% 35.2% Put IV 25d 32.9% 29.7% 37.4% 31.2% 34.8% Bid-Ask Spread % 29.83 21.47 43.19 22.31 43.19 Gamma HHI 0.03 0.02 0.05 0.03 0.05 Net GEX 1.87B 326.0M 4.10B 1.71B 2.37B Net DEX -47.85B -78.41B -28.05B -49.19B -46.50B Net VEX -304.5M -318.6M -285.1M -285.1M -305.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.44 0.73 0.46 0.69 Total Volume 6,519,721.818 3,436,120 12,301,360 6,885,840 8,111,900 Total OI 20,514,888.182 17,977,900 22,681,560 17,977,900 22,460,000
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 2020-12-01 $160.50 $155.00 30.9% 9.1% 35.3% 29.7% 32.7% -0.6% 1.8% 1.71B -49.19B -285.1M 0.46 22.31 N/A N/A 4,715,920 2,169,920 9,696,020 8,281,880 2020-12-02 $160.10 $155.00 31.3% 9.2% 34.4% 30.7% 33.2% -0.9% 1.7% 1.82B -48.13B -289.8M 0.53 21.47 N/A N/A 2,735,840 1,444,280 10,186,460 8,474,640 2020-12-03 $159.53 $138.00 30.9% 9.3% 28.6% 29.7% 33.1% -0.9% 1.8% 1.83B -45.82B -289.8M 0.53 27.88 N/A N/A 3,335,480 1,760,640 10,699,720 8,747,880 2020-12-04 $157.99 $140.00 30.2% 9.1% 26.9% 28.4% 32.6% -0.7% 2.0% 935.4M -36.42B -289.1M 0.67 23.55 N/A N/A 3,964,520 2,672,260 11,087,700 9,051,540 2020-12-07 $157.58 $140.00 31.4% 9.2% 26.9% 30.7% 33.6% -0.9% 0.5% 1.22B -36.99B -286.9M 0.49 26.43 N/A N/A 2,299,320 1,136,800 10,171,840 8,214,220 2020-12-08 $159.03 $140.00 32.1% 9.4% 22.5% 32.2% 33.9% -1.4% 0.4% 1.80B -45.30B -298.6M 0.47 29.98 N/A N/A 3,746,300 1,768,100 10,834,820 8,607,160 2020-12-09 $155.05 $143.00 33.6% 9.7% 19.1% 35.4% 35.3% -1.2% 0.0% 681.0M -28.05B -307.4M 0.58 26.29 N/A N/A 3,350,720 1,935,020 11,793,400 8,931,340 2020-12-10 $155.61 $144.00 32.9% 9.5% 16.3% 33.9% 34.6% -0.9% 0.2% 528.7M -30.82B -310.5M 0.58 25.44 N/A N/A 3,126,420 1,817,260 12,287,260 9,284,160 2020-12-11 $155.51 $145.00 33.0% 9.6% 16.0% 34.1% 34.4% 0.1% 0.7% 344.0M -29.73B -309.6M 0.71 28.07 N/A N/A 4,310,220 3,063,480 12,670,620 9,440,240 2020-12-14 $158.03 $145.00 32.9% 9.5% 16.8% 33.9% 34.0% -0.2% 0.2% 1.91B -45.16B -310.2M 0.57 26.79 N/A N/A 3,477,360 1,997,320 11,483,740 8,620,280 2020-12-15 $158.08 $148.00 32.7% 9.4% 16.8% 33.6% 33.9% -0.7% -0.0% 2.04B -45.02B -311.9M 0.54 27.81 N/A N/A 3,075,100 1,649,960 11,940,080 8,857,120 2020-12-16 $162.17 $149.00 33.1% 9.5% 19.0% 34.3% 34.1% -0.5% -0.1% 3.26B -66.24B -318.6M 0.46 29.31 N/A N/A 5,622,780 2,570,960 12,254,480 9,273,780 2020-12-17 $161.31 $149.00 31.4% 9.0% 18.7% 30.9% 32.4% -0.5% 0.2% 3.02B -60.22B -313.8M 0.58 30.09 N/A N/A 4,010,660 2,327,060 12,564,160 9,486,740 2020-12-18 $159.67 $150.00 32.6% 9.4% 19.2% 33.1% 33.6% 0.4% 0.1% 1.25B -46.52B -316.4M 0.67 27.93 N/A N/A 5,700,580 3,813,660 12,812,560 9,869,000 2020-12-21 $159.76 $150.00 32.1% 9.1% 19.1% 31.9% 33.1% 0.1% 5.6% 2.09B -47.78B -312.1M 0.61 28.35 N/A N/A 3,241,960 1,982,040 10,974,180 8,135,980 2020-12-22 $160.26 $150.00 31.4% 8.9% 19.1% 30.5% 32.4% 0.1% 5.7% 2.14B -49.65B -311.4M 0.57 28.37 N/A N/A 3,285,060 1,886,900 11,367,740 8,671,400 2020-12-23 $159.69 $150.00 29.7% 8.3% 19.1% 26.5% 30.4% 0.1% 6.1% 1.95B -45.24B -308.4M 0.64 32.45 N/A N/A 3,140,760 2,008,100 11,820,280 9,079,000 2020-12-24 $158.59 $150.00 30.6% 8.3% 17.5% 20.5% 30.2% 0.2% 6.3% 326.0M -37.23B -306.1M 0.73 33.32 N/A N/A 2,935,720 2,138,960 12,203,660 9,217,440 2020-12-28 $164.48 $150.00 35.5% 8.7% 21.9% 31.8% 31.6% -0.5% 1.6% 3.13B -67.68B -304.0M 0.44 38.58 N/A N/A 8,548,880 3,752,480 11,025,920 8,394,000 2020-12-29 $166.17 $150.00 35.0% 8.3% 21.6% 30.5% 29.9% -0.4% 2.0% 4.10B -78.41B -307.0M 0.48 38.51 N/A N/A 7,539,680 3,627,520 11,756,480 8,852,360 2020-12-30 $164.69 $151.75 34.5% 7.9% 21.4% 29.5% 29.1% -0.5% 2.8% 2.67B -66.62B -306.9M 0.72 40.22 N/A N/A 4,446,820 3,189,160 12,003,160 9,743,100 2020-12-31 $162.18 $152.25 34.8% 7.8% 22.2% 30.3% 28.5% -0.4% 2.7% 2.37B -46.50B -305.3M 0.69 43.19 N/A N/A 4,792,220 3,319,680 12,429,900 10,030,100
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