AMZN Options History — May 2021 In May 2021, AMZN traded between $158.07 and $168.94. ATM implied volatility averaged 24.9%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.1% (HV 20d: 21.8%). Max pain ranged from $160.00 to $164.25. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.77.
Notable Days 2021-05-07 : Highest Volume — 8,470,740 contracts2021-05-14 : Largest IV drop — 13.3% change2021-05-12 : Highest IV Rank — 15.5%2021-05-12 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $162.35 $158.07 $168.94 $168.94 $161.15 Max Pain $160.59 $160.00 $164.25 $163.50 $160.00 ATM IV 24.9% 20.9% 29.8% 24.8% 20.9% Expected Move 7.2% 5.7% 8.8% 7.2% 5.7% HV 20d 21.8% 20.5% 22.6% 20.5% 20.9% HV 60d 23.9% 22.4% 24.7% 23.5% 22.4% IV Rank 4.0% 0.0% 15.5% 1.9% 0.0% IV Percentile 3.8% 0.0% 25.4% 0.8% 0.0% Term Structure 0.3% 0.0% 1.0% 0.2% 0.5% VWIV 25.7% 20.9% 31.7% 25.7% 20.9% Skew 25d 3.9% 2.1% 6.0% 2.1% 2.7% Skew 10d 9.2% 4.4% 14.1% 4.4% 8.0% Call IV 25d 23.7% 20.0% 28.3% 24.2% 20.0% Put IV 25d 27.6% 22.7% 34.3% 26.4% 22.7% Bid-Ask Spread % 23.01 14.67 26.85 20.19 26.14 Gamma HHI 0.03 0.02 0.16 0.03 0.03 Net GEX -232.5M -3.60B 782.7M 349.1M -960.9M Net DEX -11.42B -28.66B 6.03B -28.66B -10.88B Net VEX -344.2M -354.0M -319.3M -319.3M -340.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.61 0.95 0.79 0.77 Total Volume 5,728,495 3,414,260 8,470,740 7,258,560 5,729,880 Total OI 17,541,404 15,120,800 19,310,820 15,120,800 17,915,820
Daily Data (20 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 2021-05-03 $168.94 $163.50 24.8% 7.2% 20.5% 1.9% 25.7% 2.1% 0.2% 349.1M -28.66B -319.3M 0.79 20.19 N/A N/A 4,053,620 3,204,940 8,016,040 7,104,760 2021-05-04 $164.82 $164.00 27.1% 8.0% 22.6% 7.9% 28.4% 3.3% 0.0% -562.5M -11.24B -348.2M 0.79 23.27 N/A N/A 3,858,100 3,036,180 8,867,940 7,930,640 2021-05-05 $164.02 $164.25 25.7% 7.4% 21.8% 4.1% 26.2% 3.0% 0.0% -371.9M -10.01B -348.5M 0.85 14.67 N/A N/A 3,174,560 2,712,520 9,479,860 8,343,900 2021-05-06 $164.66 $160.00 25.1% 7.4% 21.7% 2.6% 26.2% 3.3% 0.4% -509.9M -12.29B -354.0M 0.71 21.86 N/A N/A 3,957,540 2,823,180 9,829,660 8,749,920 2021-05-07 $164.67 $160.00 23.8% 7.0% 20.7% 0.0% 25.1% 2.8% 0.5% 210.9M -12.51B -343.6M 0.81 23.74 N/A N/A 4,670,680 3,800,060 10,064,860 8,972,840 2021-05-10 $160.47 $160.00 25.9% 7.6% 22.3% 5.4% 26.7% 4.2% 0.5% -466.1M -2.79B -338.0M 0.82 21.23 N/A N/A 3,105,560 2,557,160 8,422,500 7,770,160 2021-05-11 $160.92 $160.00 27.1% 7.8% 22.2% 8.4% 27.6% 4.9% 0.2% -310.2M -5.69B -346.7M 0.71 19.30 N/A N/A 3,397,280 2,413,120 8,961,200 8,301,380 2021-05-12 $158.07 $160.00 29.8% 8.8% 21.9% 15.5% 31.7% 6.0% 1.0% -773.1M 6.03B -349.6M 0.95 21.32 N/A N/A 2,886,100 2,735,480 9,323,340 8,613,500 2021-05-13 $158.45 $160.00 27.8% 8.0% 21.1% 10.4% 28.9% 5.6% 0.2% -827.4M 4.58B -347.1M 0.78 21.22 N/A N/A 2,840,520 2,218,860 9,695,720 9,011,160 2021-05-14 $160.91 $160.00 24.1% 7.0% 21.9% 0.7% 25.2% 4.2% 0.4% 476.1M -8.87B -342.3M 0.81 25.66 N/A N/A 4,230,660 3,419,280 9,893,040 9,181,840 2021-05-17 $163.29 $160.00 26.0% 7.5% 22.6% 5.6% 27.1% 4.4% 0.2% 543.5M -19.16B -345.7M 0.61 22.65 N/A N/A 3,134,540 1,912,640 8,527,040 8,036,940 2021-05-18 $162.39 $160.00 25.9% 7.4% 22.6% 5.4% 26.4% 4.0% 0.2% 429.1M -15.72B -346.1M 0.66 26.08 N/A N/A 2,788,820 1,849,960 9,047,060 8,432,180 2021-05-19 $160.91 $160.00 26.8% 7.7% 22.6% 7.7% 27.2% 4.9% 0.1% -317.3M -7.08B -350.4M 0.83 24.81 N/A N/A 2,704,900 2,236,000 9,327,880 8,777,900 2021-05-20 $162.50 $160.00 24.2% 6.9% 22.6% 0.9% 24.7% 4.1% 0.5% 82.1M -15.72B -343.6M 0.74 26.85 N/A N/A 2,605,160 1,940,400 9,610,340 9,221,280 2021-05-21 $160.16 $160.00 24.3% 6.9% 22.4% 1.3% 24.6% 4.4% 0.4% -3.60B -3.35B -345.1M 0.81 24.47 N/A N/A 4,389,620 3,535,080 9,924,540 9,386,280 2021-05-24 $162.54 $160.00 22.3% 6.3% 21.7% 0.0% 22.9% 3.3% 0.3% 570.5M -18.77B -336.6M 0.72 25.89 N/A N/A 1,986,480 1,427,780 7,968,780 7,678,660 2021-05-25 $163.11 $160.00 23.0% 6.5% 21.8% 1.9% 24.3% 3.4% 0.3% 751.2M -20.58B -347.0M 0.89 22.62 N/A N/A 2,314,480 2,070,880 8,315,200 7,892,120 2021-05-26 $163.11 $160.00 22.7% 6.3% 21.0% 1.0% 23.0% 3.7% 0.6% 782.7M -20.68B -347.9M 0.73 21.82 N/A N/A 2,649,860 1,945,780 8,591,040 8,267,640 2021-05-27 $161.89 $160.00 21.8% 6.0% 21.0% 0.0% 21.6% 3.2% 0.5% -143.3M -14.97B -344.8M 0.68 26.30 N/A N/A 2,528,140 1,724,100 8,860,020 8,513,100 2021-05-28 $161.15 $160.00 20.9% 5.7% 20.9% 0.0% 20.9% 2.7% 0.5% -960.9M -10.88B -340.5M 0.77 26.14 N/A N/A 3,232,240 2,497,640 9,144,200 8,771,620
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