AMZN Options History — December 2021 In December 2021, AMZN traded between $166.37 and $176.10. ATM implied volatility averaged 28.2%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.3% (HV 20d: 26.9%). Max pain ranged from $162.50 to $172.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2021-12-10 : Highest Volume — 10,164,620 contracts2021-12-03 : Largest IV spike — 17.8% change2021-12-03 : Highest IV Rank — 59.7%2021-12-03 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $170.67 $166.37 $176.10 $173.14 $167.21 Max Pain $164.13 $162.50 $172.00 $171.75 $164.00 ATM IV 28.2% 25.0% 35.1% 30.6% 27.4% Expected Move 8.0% 6.7% 10.9% 9.2% 6.7% HV 20d 26.9% 24.2% 30.3% 28.9% 24.4% HV 60d 25.8% 24.7% 26.6% 24.7% 25.2% IV Rank 35.1% 23.7% 59.7% 43.8% 32.2% IV Percentile 53.8% 31.3% 90.9% 73.8% 50.0% Term Structure 1.1% -0.7% 4.5% 0.1% 4.3% VWIV 28.7% 23.9% 38.5% 32.7% 23.9% Skew 25d 3.4% 1.6% 7.3% 3.1% 1.8% Skew 10d 7.5% 3.5% 14.7% 6.2% 3.7% Call IV 25d 27.1% 24.3% 32.4% 29.7% 25.6% Put IV 25d 30.5% 26.2% 39.7% 32.9% 27.4% Bid-Ask Spread % 22.51 11.12 32.83 12.09 22.93 Gamma HHI 0.03 0.02 0.07 0.02 0.04 Net GEX 11.0M -2.81B 1.87B -1.02B -2.16B Net DEX -9.86B -30.62B 19.87B -6.73B 3.93B Net VEX -385.3M -409.1M -359.3M -409.1M -359.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.41 0.92 0.71 0.79 Total Volume 6,102,129.091 3,839,500 10,164,620 6,321,860 7,396,760 Total OI 20,392,770.909 18,194,160 22,290,340 20,173,500 21,415,000
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 2021-12-01 $173.14 $171.75 30.6% 9.2% 28.9% 43.8% 32.7% 3.1% 0.1% -1.02B -6.73B -409.1M 0.71 12.09 N/A N/A 3,698,640 2,623,220 9,444,700 10,728,800 2021-12-02 $172.46 $172.00 29.8% 9.0% 27.7% 40.9% 31.9% 3.7% 0.2% -1.07B -3.41B -407.3M 0.84 12.16 N/A N/A 3,408,980 2,877,260 9,839,380 10,934,220 2021-12-03 $167.48 $172.00 35.1% 10.9% 27.8% 59.7% 38.5% 7.3% -0.3% -2.81B 19.87B -408.3M 0.92 11.12 N/A N/A 4,160,040 3,834,940 10,176,460 11,240,280 2021-12-06 $171.12 $162.50 31.2% 9.0% 28.7% 45.8% 32.0% 5.7% 0.3% -235.7M -7.69B -404.2M 0.63 13.56 N/A N/A 3,078,540 1,933,760 9,012,740 10,215,500 2021-12-07 $175.91 $162.50 27.1% 7.8% 30.3% 31.2% 28.9% 4.1% 0.5% 934.4M -29.63B -394.1M 0.62 18.58 N/A N/A 3,918,680 2,411,220 9,286,180 10,551,100 2021-12-08 $176.10 $162.50 26.2% 7.7% 29.2% 28.2% 27.9% 3.6% 0.6% 1.32B -30.62B -398.6M 0.66 17.83 N/A N/A 2,613,620 1,712,420 9,757,880 10,904,360 2021-12-09 $174.54 $162.50 27.1% 7.9% 27.2% 31.4% 28.3% 3.8% 0.6% 565.9M -19.79B -397.2M 0.64 18.93 N/A N/A 3,334,880 2,125,180 9,988,580 11,180,040 2021-12-10 $171.75 $162.50 25.9% 7.5% 27.8% 27.0% 27.0% 3.5% 0.4% 678.7M -4.80B -385.8M 0.74 21.27 N/A N/A 5,846,580 4,318,040 10,281,140 11,415,940 2021-12-13 $170.14 $162.50 27.1% 7.7% 27.4% 31.4% 27.6% 3.8% -0.2% -178.2M -7.41B -384.6M 0.81 20.34 N/A N/A 2,117,140 1,722,360 9,447,700 10,235,600 2021-12-14 $168.68 $162.50 28.2% 8.0% 27.3% 35.3% 28.8% 4.0% -0.5% -660.2M -1.26B -381.1M 0.67 22.04 N/A N/A 2,526,840 1,681,620 9,731,120 10,640,180 2021-12-15 $172.08 $162.50 27.9% 7.8% 28.5% 34.0% 28.4% 3.4% -0.7% 737.4M -19.96B -390.0M 0.63 32.83 N/A N/A 3,490,420 2,192,040 10,060,620 10,844,840 2021-12-16 $168.60 $162.50 30.1% 8.5% 29.2% 41.9% 29.8% 4.1% -0.5% -246.8M -3.87B -387.9M 0.72 30.60 N/A N/A 3,595,200 2,599,660 10,454,220 11,150,800 2021-12-17 $169.21 $162.50 29.6% 8.4% 25.0% 40.1% 30.0% 4.3% -0.7% -10.2M -6.44B -389.6M 0.66 28.66 N/A N/A 4,899,560 3,233,100 10,822,840 11,467,500 2021-12-20 $166.37 $163.25 31.1% 8.8% 25.4% 45.5% 31.8% 4.4% 0.6% -218.4M 938.9M -379.2M 0.76 22.64 N/A N/A 2,304,000 1,739,540 8,819,600 9,408,320 2021-12-21 $169.71 $162.50 27.2% 7.8% 25.7% 31.8% 28.0% 3.0% 1.1% 744.8M -12.38B -382.6M 0.56 29.21 N/A N/A 4,308,580 2,421,540 9,278,260 9,974,060 2021-12-22 $170.24 $162.50 25.9% 7.4% 25.8% 27.2% 26.9% 2.4% 1.4% 1.01B -16.72B -377.6M 0.58 31.10 N/A N/A 4,040,520 2,339,880 9,715,720 10,277,940 2021-12-23 $171.40 $162.50 25.0% 7.1% 26.0% 23.7% 25.4% 1.8% 1.6% 1.87B -23.66B -373.6M 0.51 31.36 N/A N/A 4,529,520 2,309,600 10,109,440 10,647,500 2021-12-27 $169.43 $163.75 27.5% 7.6% 25.7% 32.6% 27.4% 2.2% 3.7% 231.5M -10.83B -365.1M 0.42 31.21 N/A N/A 4,145,880 1,751,720 8,754,540 9,439,620 2021-12-28 $170.91 $163.75 26.6% 7.2% 25.2% 29.7% 26.5% 1.7% 3.9% 870.9M -18.15B -367.3M 0.41 29.19 N/A N/A 4,582,020 1,869,800 9,599,320 10,047,800 2021-12-29 $169.42 $163.75 26.5% 7.1% 24.6% 29.1% 25.5% 1.6% 4.0% 244.6M -10.92B -369.6M 0.55 20.57 N/A N/A 2,857,280 1,577,200 10,104,700 10,377,280 2021-12-30 $168.82 $164.00 26.7% 6.8% 24.2% 29.7% 24.5% 1.6% 4.5% -343.5M -7.38B -365.4M 0.51 17.02 N/A N/A 4,061,700 2,057,360 10,255,740 10,603,400 2021-12-31 $167.21 $164.00 27.4% 6.7% 24.4% 32.2% 23.9% 1.8% 4.3% -2.16B 3.93B -359.3M 0.79 22.93 N/A N/A 4,134,620 3,262,140 10,534,600 10,880,400
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