AMZN Options History — March 2021 In March 2021, AMZN traded between $148.68 and $157.58. ATM implied volatility averaged 29.0%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.2% (HV 20d: 25.8%). Max pain ranged from $152.50 to $160.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2021-03-05 : Highest Volume — 9,145,660 contracts2021-03-18 : Largest IV spike — 15.0% change2021-03-08 : Highest IV Rank — 23.0%2021-03-08 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $153.66 $148.68 $157.58 $157.25 $154.81 Max Pain $154.78 $152.50 $160.00 $160.00 $152.50 ATM IV 29.0% 25.8% 33.5% 27.7% 29.2% Expected Move 8.1% 6.5% 9.6% 7.8% 6.5% HV 20d 25.8% 20.5% 29.4% 25.1% 25.7% HV 60d 26.1% 24.7% 27.5% 24.7% 26.3% IV Rank 12.3% 4.5% 23.0% 8.8% 13.6% IV Percentile 12.6% 0.8% 32.5% 4.0% 16.3% Term Structure 1.2% -0.9% 4.9% 0.3% 0.1% VWIV 28.7% 24.1% 33.5% 29.0% 24.1% Skew 25d 4.2% 3.2% 6.6% 3.6% 3.3% Skew 10d 10.0% 7.5% 16.7% 9.1% 7.6% Call IV 25d 27.6% 24.7% 31.5% 26.6% 28.1% Put IV 25d 31.7% 28.2% 37.6% 30.2% 31.4% Bid-Ask Spread % 18.00 6.72 31.15 9.93 31.15 Gamma HHI 0.02 0.02 0.05 0.02 0.03 Net GEX 48.2M -1.35B 1.29B -329.6M 1.03B Net DEX -1.91B -22.32B 21.88B -5.18B -14.38B Net VEX -279.2M -289.2M -269.1M -283.7M -277.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.61 0.88 0.76 0.79 Total Volume 4,949,855.652 2,753,680 9,145,660 3,883,240 4,440,500 Total OI 15,788,444.348 13,672,580 17,586,760 15,017,700 15,160,900
Daily Data (23 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 2021-03-01 $157.25 $160.00 27.7% 7.8% 25.1% 8.8% 29.0% 3.6% 0.3% -329.6M -5.18B -283.7M 0.76 9.93 N/A N/A 2,204,140 1,679,100 7,731,420 7,286,280 2021-03-02 $155.40 $160.00 27.7% 7.9% 20.5% 8.8% 28.4% 3.8% 0.0% -649.0M 2.02B -279.7M 0.82 13.52 N/A N/A 1,870,460 1,535,500 8,046,840 7,491,700 2021-03-03 $150.98 $160.00 31.8% 9.4% 21.3% 18.8% 32.8% 5.5% -0.9% -1.35B 19.52B -269.1M 0.85 19.35 N/A N/A 3,219,700 2,723,140 8,271,340 7,790,440 2021-03-04 $149.43 $155.00 33.2% 9.3% 21.0% 22.1% 32.5% 6.6% -0.8% -1.20B 21.88B -272.1M 0.88 7.31 N/A N/A 3,874,920 3,426,020 8,711,960 8,074,060 2021-03-05 $149.92 $155.00 31.1% 8.9% 21.2% 17.1% 31.1% 5.5% -0.4% -1.06B 18.67B -273.9M 0.75 8.89 N/A N/A 5,221,140 3,924,520 9,113,120 8,237,480 2021-03-08 $148.68 $155.00 33.5% 9.6% 20.7% 23.0% 33.5% 5.4% 0.1% -386.5M 13.36B -271.7M 0.67 6.72 N/A N/A 2,598,120 1,752,120 8,124,680 7,257,720 2021-03-09 $153.85 $155.00 29.8% 8.6% 25.1% 13.9% 30.7% 4.6% 0.3% 267.6M -2.94B -288.0M 0.62 8.06 N/A N/A 2,717,540 1,672,700 8,593,020 7,625,300 2021-03-10 $153.08 $155.00 29.4% 8.6% 25.1% 13.1% 30.0% 4.6% 0.4% 142.4M 774.8M -284.7M 0.65 9.45 N/A N/A 2,327,960 1,505,880 8,819,100 7,755,020 2021-03-11 $155.81 $155.00 27.7% 8.1% 26.1% 8.8% 28.6% 4.2% 0.5% 758.7M -9.76B -289.2M 0.61 12.05 N/A N/A 2,911,560 1,769,500 9,012,640 7,958,140 2021-03-12 $154.58 $155.00 28.7% 8.4% 26.1% 11.3% 29.5% 3.9% 0.7% 815.0M -4.52B -286.7M 0.70 12.12 N/A N/A 3,514,440 2,471,820 9,342,380 8,102,500 2021-03-15 $153.47 $155.00 28.9% 8.3% 26.0% 11.8% 29.5% 3.9% 0.8% -77.3M -688.7M -277.3M 0.70 13.61 N/A N/A 1,903,140 1,328,560 8,126,880 7,162,680 2021-03-16 $154.67 $155.00 27.2% 7.8% 26.3% 7.7% 28.0% 3.6% 0.8% 346.6M -6.40B -278.9M 0.73 17.52 N/A N/A 2,458,980 1,788,260 8,550,780 7,442,900 2021-03-17 $157.58 $155.00 27.1% 7.8% 26.9% 7.5% 28.3% 3.2% 0.9% 1.05B -18.50B -284.6M 0.64 18.29 N/A N/A 2,963,660 1,889,260 8,779,160 7,690,020 2021-03-18 $151.72 $155.00 31.1% 8.9% 29.4% 17.6% 31.2% 4.6% 0.5% -290.3M 6.45B -282.3M 0.67 15.35 N/A N/A 3,477,060 2,339,040 9,085,500 7,863,320 2021-03-19 $152.90 $155.00 27.5% 7.8% 28.8% 9.0% 27.5% 4.1% 1.0% -279.0M 2.00B -277.7M 0.69 18.46 N/A N/A 4,228,280 2,930,620 9,447,820 8,138,940 2021-03-22 $156.10 $152.50 25.8% 7.2% 29.0% 4.5% 26.1% 3.7% 4.7% 827.5M -16.90B -280.9M 0.65 28.43 N/A N/A 1,995,560 1,289,820 7,293,660 6,378,920 2021-03-23 $157.35 $152.50 25.9% 7.2% 29.1% 4.8% 26.1% 3.4% 4.7% 1.29B -22.32B -282.8M 0.68 23.55 N/A N/A 3,088,400 2,114,980 7,644,140 6,547,340 2021-03-24 $154.89 $152.50 26.8% 7.6% 29.2% 7.3% 26.9% 3.7% 4.7% 353.1M -10.52B -279.6M 0.67 28.00 N/A N/A 2,642,000 1,772,300 7,862,340 6,840,840 2021-03-25 $152.98 $152.50 28.2% 7.7% 28.0% 10.8% 27.3% 3.7% 4.7% -270.9M -2.05B -276.7M 0.76 26.19 N/A N/A 2,963,700 2,246,340 8,110,040 7,137,960 2021-03-26 $151.76 $152.50 28.7% 7.6% 27.6% 12.2% 26.7% 3.8% 4.9% -682.1M 2.09B -270.2M 0.83 27.95 N/A N/A 3,714,020 3,080,480 8,353,800 7,346,700 2021-03-29 $153.87 $152.50 29.9% 7.3% 27.8% 15.3% 26.3% 3.8% -0.4% 437.9M -9.31B -278.9M 0.71 27.88 N/A N/A 2,061,560 1,456,200 7,432,280 6,688,500 2021-03-30 $153.04 $152.50 30.0% 7.1% 27.5% 15.7% 25.6% 3.7% -0.2% 360.1M -7.19B -276.2M 0.81 30.26 N/A N/A 1,525,540 1,228,140 7,774,260 6,929,400 2021-03-31 $154.81 $152.50 29.2% 6.5% 25.7% 13.6% 24.1% 3.3% 0.1% 1.03B -14.38B -277.3M 0.79 31.15 N/A N/A 2,484,600 1,955,900 7,936,780 7,224,120
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