AMZN Options History — February 2021 In February 2021, AMZN traded between $153.33 and $169.16. ATM implied volatility averaged 30.5%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.8% (HV 20d: 27.7%). Max pain ranged from $157.50 to $160.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.69.
Notable Days 2021-02-03 : Highest Volume — 10,726,020 contracts2021-02-03 : Largest IV drop — 16.9% change2021-02-01 : Highest IV Rank — 43.1%2021-02-01 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $163.18 $153.33 $169.16 $166.91 $155.56 Max Pain $159.61 $157.50 $160.00 $157.50 $160.00 ATM IV 30.5% 26.9% 40.4% 40.4% 31.1% Expected Move 8.9% 7.9% 12.3% 12.3% 9.0% HV 20d 27.7% 23.2% 31.0% 30.9% 24.9% HV 60d 24.6% 23.2% 29.1% 29.1% 24.8% IV Rank 18.6% 11.0% 43.1% 43.1% 17.2% IV Percentile 17.4% 5.6% 56.7% 56.7% 18.7% Term Structure 0.4% -0.6% 1.1% -0.5% -0.1% VWIV 31.9% 28.7% 44.1% 44.1% 32.1% Skew 25d 1.9% 0.1% 5.2% 0.4% 4.5% Skew 10d 3.4% 0.0% 11.6% 1.1% 10.8% Call IV 25d 30.2% 26.5% 40.5% 40.5% 29.6% Put IV 25d 32.1% 28.3% 40.9% 40.9% 34.1% Bid-Ask Spread % 17.45 8.63 42.22 26.56 11.84 Gamma HHI 0.03 0.02 0.04 0.03 0.02 Net GEX 418.0M -1.59B 3.01B 1.19B -1.27B Net DEX -23.42B -52.57B 17.02B -42.96B 8.55B Net VEX -287.7M -302.5M -278.7M -302.5M -292.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.52 0.93 0.57 0.93 Total Volume 6,397,515.789 3,324,700 10,726,020 4,544,440 8,269,680 Total OI 16,679,061.053 14,044,180 18,612,840 15,341,000 17,424,640
Daily Data (19 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 2021-02-01 $166.91 $157.50 40.4% 12.3% 30.9% 43.1% 44.1% 0.4% -0.5% 1.19B -42.96B -302.5M 0.57 26.56 N/A N/A 2,899,520 1,644,920 8,321,460 7,019,540 2021-02-02 $169.16 $157.50 37.3% 11.3% 30.3% 35.9% 40.7% 0.1% -0.6% 1.73B -52.57B -299.1M 0.59 35.36 N/A N/A 4,567,640 2,685,220 8,789,500 7,172,060 2021-02-03 $166.42 $157.50 31.0% 8.3% 31.0% 21.4% 30.0% 0.5% 0.6% 1.37B -39.58B -289.1M 0.72 42.22 N/A N/A 6,230,880 4,495,140 9,329,360 7,684,000 2021-02-04 $166.04 $160.00 29.5% 8.9% 29.9% 17.9% 31.9% 0.7% 0.9% 797.1M -35.99B -292.1M 0.65 11.93 N/A N/A 4,149,000 2,695,120 9,829,840 8,291,920 2021-02-05 $167.25 $160.00 27.9% 8.4% 29.8% 14.1% 30.3% 0.3% 1.0% 1.44B -43.20B -286.4M 0.72 16.65 N/A N/A 5,829,120 4,203,000 10,009,120 8,603,720 2021-02-08 $165.89 $160.00 29.1% 8.6% 30.0% 16.2% 31.2% 1.0% 0.8% 1.09B -33.53B -284.9M 0.79 14.60 N/A N/A 2,829,100 2,230,800 8,277,180 7,047,460 2021-02-09 $165.33 $160.00 28.5% 8.5% 28.8% 14.9% 30.4% 1.2% 0.8% 1.20B -31.77B -290.3M 0.71 14.39 N/A N/A 1,944,980 1,379,720 8,985,180 7,699,280 2021-02-10 $163.66 $160.00 28.7% 8.5% 29.1% 15.4% 30.4% 1.8% 0.7% 123.2M -21.56B -287.9M 0.64 15.73 N/A N/A 3,503,240 2,244,540 9,183,660 8,006,400 2021-02-11 $162.75 $160.00 28.3% 8.3% 28.8% 14.3% 29.7% 1.9% 0.7% -622.8M -15.79B -291.3M 0.67 19.26 N/A N/A 2,806,420 1,884,880 9,539,880 8,331,600 2021-02-12 $163.56 $160.00 26.9% 7.9% 28.2% 11.0% 28.7% 1.8% 1.1% 578.3M -21.35B -283.6M 0.77 16.84 N/A N/A 3,775,840 2,911,500 9,772,360 8,564,680 2021-02-16 $163.39 $160.00 28.7% 8.2% 27.8% 15.2% 30.0% 1.6% 0.6% 772.4M -25.64B -279.2M 0.68 15.59 N/A N/A 2,400,880 1,643,080 8,376,920 7,349,520 2021-02-17 $165.48 $160.00 29.2% 8.4% 28.0% 16.4% 30.2% 1.5% 0.6% 1.85B -36.50B -279.4M 0.57 14.93 N/A N/A 4,010,440 2,297,660 8,765,880 7,754,100 2021-02-18 $166.62 $160.00 28.3% 8.1% 23.2% 14.4% 29.3% 1.5% 0.7% 3.01B -43.34B -278.7M 0.52 16.19 N/A N/A 4,519,420 2,349,180 9,270,380 8,018,760 2021-02-19 $162.73 $160.00 28.3% 8.1% 24.3% 13.6% 28.8% 2.4% 0.6% -1.00B -17.90B -279.7M 0.73 18.11 N/A N/A 5,623,400 4,116,500 9,567,680 8,307,580 2021-02-22 $159.08 $160.00 30.2% 8.6% 25.5% 15.0% 31.0% 2.9% 0.5% -782.8M -3.80B -280.9M 0.82 8.63 N/A N/A 2,772,220 2,274,960 7,275,800 6,768,380 2021-02-23 $159.79 $160.00 29.9% 8.5% 25.6% 14.2% 30.6% 3.1% -0.2% -780.6M -6.53B -291.1M 0.66 12.40 N/A N/A 3,193,160 2,101,720 7,772,160 7,446,300 2021-02-24 $157.39 $160.00 30.5% 8.7% 25.6% 15.7% 31.3% 3.3% -0.1% -1.18B 1.47B -290.2M 0.65 9.31 N/A N/A 2,360,120 1,526,900 8,116,740 7,705,240 2021-02-25 $153.33 $160.00 35.2% 10.3% 24.4% 27.0% 35.9% 5.2% -0.6% -1.59B 17.02B -287.4M 0.78 11.10 N/A N/A 4,026,740 3,156,160 8,496,340 8,027,540 2021-02-26 $155.56 $160.00 31.1% 9.0% 24.9% 17.2% 32.1% 4.5% -0.1% -1.27B 8.55B -292.8M 0.93 11.84 N/A N/A 4,290,420 3,979,260 8,972,640 8,452,000
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