AMZN Options History — September 2021 In September 2021, AMZN traded between $164.74 and $176.11. ATM implied volatility averaged 22.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.9% (HV 20d: 17.9%). Max pain ranged from $162.50 to $167.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.71.
Notable Days 2021-09-17 : Highest Volume — 10,325,920 contracts2021-09-20 : Largest IV spike — 34.1% change2021-09-30 : Highest IV Rank — 35.0%2021-09-20 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $171.35 $164.74 $176.11 $173.97 $164.74 Max Pain $164.42 $162.50 $167.00 $167.00 $165.00 ATM IV 22.8% 19.4% 31.0% 19.4% 31.0% Expected Move 6.2% 5.2% 8.0% 5.2% 7.5% HV 20d 17.9% 14.8% 21.1% 16.9% 19.6% HV 60d 25.5% 23.9% 26.2% 25.8% 23.9% IV Rank 12.6% 3.0% 35.0% 3.3% 35.0% IV Percentile 18.5% 1.6% 61.9% 1.6% 61.9% Term Structure 1.3% -0.5% 5.6% 0.9% -0.5% VWIV 22.5% 19.5% 28.3% 19.5% 26.7% Skew 25d 4.2% 1.3% 7.6% 1.3% 7.6% Skew 10d 9.5% 3.3% 16.5% 3.3% 13.7% Call IV 25d 21.5% 18.2% 28.5% 19.4% 28.5% Put IV 25d 25.6% 20.6% 36.2% 20.7% 36.2% Bid-Ask Spread % 21.54 9.37 29.32 9.37 21.42 Gamma HHI 0.04 0.02 0.06 0.05 0.03 Net GEX 1.20B -1.74B 3.27B 3.25B -1.74B Net DEX -27.09B -54.60B 11.03B -54.04B 11.03B Net VEX -438.8M -461.9M -425.2M -461.9M -429.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.47 1.08 0.59 0.81 Total Volume 6,941,265.714 4,310,560 10,325,920 9,827,320 5,769,940 Total OI 20,479,819.048 17,859,360 22,379,280 21,210,400 21,602,640
Daily Data (21 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 2021-09-01 $173.97 $167.00 19.4% 5.2% 16.9% 3.3% 19.5% 1.3% 0.9% 3.25B -54.04B -461.9M 0.59 9.37 N/A N/A 6,169,940 3,657,380 10,740,520 10,469,880 2021-09-02 $173.01 $162.50 19.9% 5.9% 17.1% 4.6% 21.7% 1.4% 0.4% 3.27B -47.22B -461.0M 0.91 22.76 N/A N/A 3,791,820 3,455,940 11,013,220 10,701,600 2021-09-03 $173.24 $162.50 19.4% 5.8% 16.5% 3.2% 20.5% 1.5% 0.5% 1.56B -42.12B -456.9M 0.71 22.71 N/A N/A 4,890,420 3,478,240 11,238,040 11,141,240 2021-09-07 $175.78 $162.50 20.5% 6.0% 17.1% 6.3% 22.0% 1.4% 0.5% 2.07B -50.59B -443.7M 0.58 20.94 N/A N/A 3,678,540 2,134,140 9,760,220 9,866,300 2021-09-08 $176.11 $162.50 21.0% 6.2% 16.8% 7.6% 21.9% 1.9% 0.5% 2.83B -54.60B -448.5M 0.51 21.81 N/A N/A 4,336,440 2,224,820 10,199,220 10,208,860 2021-09-09 $174.61 $162.50 21.0% 6.1% 16.6% 7.6% 21.8% 2.0% 0.3% 2.06B -44.00B -448.8M 0.59 23.30 N/A N/A 4,614,940 2,728,120 10,622,420 10,560,940 2021-09-10 $173.34 $164.00 20.8% 6.0% 16.9% 7.0% 22.0% 2.5% 0.3% 435.5M -34.63B -443.1M 0.83 25.26 N/A N/A 4,893,960 4,042,580 11,021,580 10,818,300 2021-09-13 $172.46 $164.50 21.4% 6.2% 16.8% 8.7% 22.5% 3.5% 0.6% 1.01B -30.53B -437.7M 0.97 24.34 N/A N/A 2,311,560 2,250,260 9,879,460 9,866,520 2021-09-14 $172.43 $164.75 20.8% 6.0% 16.8% 7.0% 22.2% 3.6% 0.7% 583.2M -28.59B -437.3M 0.82 22.67 N/A N/A 2,369,260 1,941,300 10,057,340 10,296,240 2021-09-15 $174.12 $165.00 19.4% 5.6% 15.4% 3.0% 20.1% 3.4% 0.8% 1.84B -39.47B -433.6M 0.63 25.12 N/A N/A 4,680,000 2,939,420 10,327,900 10,593,500 2021-09-16 $174.06 $165.00 19.6% 5.6% 15.0% 3.8% 20.9% 3.9% 0.9% 2.15B -39.19B -434.1M 0.55 22.97 N/A N/A 4,754,120 2,623,640 10,641,780 10,908,800 2021-09-17 $173.05 $165.00 20.9% 5.9% 14.8% 7.2% 20.7% 4.0% 0.8% 1.42B -33.89B -438.2M 0.73 20.39 N/A N/A 5,985,400 4,340,520 11,076,760 11,261,560 2021-09-20 $166.58 $165.00 28.0% 8.0% 21.1% 26.8% 28.3% 7.2% 2.7% 4.7M -3.31B -435.8M 1.08 21.20 N/A N/A 3,200,140 3,447,380 8,730,720 9,128,640 2021-09-21 $167.39 $165.00 25.4% 7.1% 19.5% 19.6% 25.8% 7.1% 3.2% -239.4M -2.59B -432.0M 0.82 23.28 N/A N/A 3,050,620 2,491,240 8,988,540 9,500,640 2021-09-22 $169.27 $165.00 22.3% 6.1% 19.4% 11.3% 22.3% 6.1% 4.6% 553.0M -12.78B -432.7M 0.73 22.47 N/A N/A 2,972,440 2,173,120 9,566,040 10,186,520 2021-09-23 $171.19 $165.00 21.1% 5.5% 19.7% 7.9% 20.2% 4.7% 5.3% 2.28B -25.36B -432.0M 0.61 14.42 N/A N/A 4,337,040 2,626,060 10,035,540 10,505,500 2021-09-24 $171.13 $165.00 21.6% 5.4% 19.7% 9.3% 19.7% 4.4% 5.6% 2.08B -25.95B -430.1M 0.67 20.74 N/A N/A 5,015,040 3,346,600 10,244,000 10,791,900 2021-09-27 $170.49 $165.00 25.2% 5.7% 19.6% 19.0% 20.8% 5.6% 0.0% 635.2M -18.62B -425.7M 0.47 15.51 N/A N/A 4,670,720 2,214,760 8,868,620 9,514,080 2021-09-28 $165.87 $165.00 30.3% 7.6% 20.2% 33.1% 26.5% 7.1% -0.4% -215.3M 1.65B -425.2M 0.63 29.32 N/A N/A 4,314,960 2,715,520 9,169,820 9,793,360 2021-09-29 $165.46 $165.00 30.4% 7.4% 19.9% 33.5% 25.5% 7.5% -0.4% -621.0M 5.91B -425.8M 0.69 22.34 N/A N/A 3,042,180 2,086,060 9,790,320 10,387,120 2021-09-30 $164.74 $165.00 31.0% 7.5% 19.6% 35.0% 26.7% 7.6% -0.5% -1.74B 11.03B -429.9M 0.81 21.42 N/A N/A 3,183,100 2,586,840 10,544,100 11,058,540
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