AMZN Options History — September 2023 In September 2023, AMZN traded between $125.66 and $145.01. ATM implied volatility averaged 29.1%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.9% (HV 20d: 26.2%). Max pain ranged from $123.00 to $130.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.63.
Notable Days 2023-09-21 : Highest Volume — 958,556 contracts2023-09-26 : Largest IV spike — 14.1% change2023-09-26 : Highest IV Rank — 40.8%2023-09-26 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $135.42 $125.66 $145.01 $137.75 $127.28 Max Pain $129.65 $123.00 $130.00 $123.00 $130.00 ATM IV 29.1% 24.4% 38.8% 24.5% 38.2% Expected Move 8.0% 6.6% 9.9% 6.6% 8.7% HV 20d 26.2% 18.7% 34.0% 19.4% 32.1% HV 60d 30.3% 28.7% 32.0% 29.0% 31.9% IV Rank 13.2% 0.0% 40.8% 0.0% 39.2% IV Percentile 13.3% 0.0% 42.5% 0.0% 39.3% Term Structure 2.0% -0.1% 4.6% 0.6% 2.0% VWIV 28.0% 23.1% 34.4% 23.1% 30.2% Skew 25d 3.2% 2.0% 5.3% 2.2% 4.8% Skew 10d 6.0% 4.0% 10.4% 4.3% 8.0% Call IV 25d 27.6% 23.4% 37.0% 23.5% 35.1% Put IV 25d 30.7% 25.7% 42.3% 25.7% 39.9% Bid-Ask Spread % 1.80 1.17 2.45 1.17 1.78 Gamma HHI 0.10 0.04 0.54 0.28 0.04 Net GEX 387.5M 5.1M 1.75B 968.7M 143.4M Net DEX -15.67B -26.85B -5.48B -20.00B -7.90B Net VEX -101.9M -104.7M -98.3M -104.7M -103.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.41 0.86 0.45 0.70 Total Volume 659,370.45 355,106 958,556 578,655 685,080 Total OI 6,188,089.65 5,494,296 6,804,811 6,577,136 6,161,499
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 2023-09-01 $137.75 $123.00 24.5% 6.6% 19.4% 0.0% 23.1% 2.2% 0.6% 968.7M -20.00B -104.7M 0.45 1.17 N/A N/A 398,142 180,513 3,601,725 2,975,411 2023-09-05 $137.19 $130.00 25.8% 7.8% 18.8% 3.6% 27.3% 2.5% 0.4% 383.8M -18.75B -103.0M 0.58 2.25 N/A N/A 237,234 137,263 3,408,787 2,902,062 2023-09-06 $135.37 $130.00 26.4% 7.8% 18.7% 5.5% 27.6% 2.6% 0.3% 291.9M -16.80B -103.7M 0.56 1.75 N/A N/A 265,335 148,122 3,447,680 2,932,891 2023-09-07 $137.80 $130.00 25.9% 7.5% 19.5% 3.9% 27.0% 2.8% 0.3% 459.7M -19.51B -102.7M 0.66 1.90 N/A N/A 365,924 241,954 3,472,802 2,949,959 2023-09-08 $137.97 $130.00 25.1% 7.3% 19.5% 1.9% 26.1% 2.6% 0.3% 1.75B -19.87B -101.7M 0.62 2.08 N/A N/A 433,748 268,605 3,523,339 3,020,946 2023-09-11 $143.47 $130.00 25.1% 7.2% 24.0% 1.6% 25.5% 2.6% -0.0% 561.2M -24.98B -98.3M 0.58 2.00 N/A N/A 568,706 327,910 3,419,750 2,944,060 2023-09-12 $141.31 $130.00 25.5% 7.4% 24.4% 2.8% 28.3% 2.5% 0.3% 509.8M -22.83B -100.2M 0.82 2.18 N/A N/A 259,306 212,098 3,533,004 3,053,583 2023-09-13 $144.25 $130.00 25.3% 7.2% 24.4% 2.1% 25.8% 2.5% -0.1% 632.6M -26.23B -99.3M 0.63 1.62 N/A N/A 423,741 265,581 3,541,733 3,079,342 2023-09-14 $145.01 $130.00 24.4% 7.1% 23.6% 0.0% 24.7% 2.3% 0.2% 663.0M -26.85B -99.2M 0.64 2.45 N/A N/A 416,327 268,463 3,586,464 3,156,116 2023-09-15 $140.50 $130.00 25.6% 7.4% 26.0% 3.3% 26.2% 2.0% 0.4% 367.5M -21.18B -101.1M 0.62 1.89 N/A N/A 493,477 306,810 3,617,937 3,186,874 2023-09-18 $139.44 $130.00 25.9% 7.4% 26.3% 4.2% 25.6% 2.9% 4.4% 276.5M -16.32B -100.0M 0.58 1.47 N/A N/A 224,055 131,051 2,955,685 2,538,611 2023-09-19 $137.66 $130.00 26.4% 7.6% 26.7% 5.7% 26.8% 2.8% 4.6% 220.6M -14.83B -100.5M 0.57 1.80 N/A N/A 460,030 260,859 3,005,212 2,578,773 2023-09-20 $135.57 $130.00 27.0% 7.7% 27.2% 7.2% 27.1% 2.8% 4.2% 191.2M -13.15B -101.0M 0.41 1.46 N/A N/A 403,667 164,815 3,116,965 2,631,118 2023-09-21 $129.66 $130.00 30.7% 8.6% 31.4% 17.9% 29.8% 3.5% 3.9% 34.8M -7.99B -102.0M 0.60 1.47 N/A N/A 600,445 358,111 3,190,251 2,646,499 2023-09-22 $129.41 $130.00 31.0% 8.5% 30.6% 18.7% 29.5% 3.5% 4.2% 80.4M -7.92B -103.3M 0.66 1.62 N/A N/A 437,208 289,134 3,328,820 2,698,096 2023-09-25 $130.97 $130.00 34.0% 8.8% 30.8% 27.2% 30.6% 4.0% 4.0% 129.0M -10.02B -103.6M 0.61 1.50 N/A N/A 279,791 169,796 3,083,516 2,625,445 2023-09-26 $125.66 $130.00 38.8% 9.9% 34.0% 40.8% 34.4% 5.3% 2.6% 5.1M -5.48B -102.7M 0.77 1.79 N/A N/A 514,708 395,382 3,123,900 2,664,119 2023-09-27 $126.01 $130.00 38.5% 9.6% 33.5% 40.0% 32.0% 4.9% 3.2% 24.0M -6.09B -104.2M 0.86 1.95 N/A N/A 445,104 382,485 3,232,776 2,756,071 2023-09-28 $126.12 $130.00 37.6% 9.2% 33.5% 37.6% 31.5% 4.5% 3.8% 53.6M -6.67B -104.0M 0.65 1.79 N/A N/A 463,525 302,904 3,296,068 2,773,904 2023-09-29 $127.28 $130.00 38.2% 8.7% 32.1% 39.2% 30.2% 4.8% 2.0% 143.4M -7.90B -103.4M 0.70 1.78 N/A N/A 403,422 281,658 3,359,584 2,801,915
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