AMZN iron condor, priced on the real chain

Four legs, one idea: you are selling the market's estimate of how far AMZN can travel. The short strikes ($250 / $300) define the range you're renting out; the long wings ($245 / $305) cap what a violent move can cost you.

Both spreads cannot lose. AMZN finishes on one side of the market, so at most one vertical goes in the money — which is why max loss is the width of ONE spread minus the credit, $370, not double it. Max profit is the $130 credit, earned by doing nothing.

Breakevens land at $248.7 and $301.3. Outside that band the position loses; between it, it wins. That band is 19.4% wide relative to spot, against 33% implied vol over 27 days.

Return on risk is $130 against $370 — roughly 35% if it works. You need a high hit rate to justify that ratio, which is exactly what the 71% probability is telling you.

The risk shape is a plateau with two cliffs. Anywhere between $248.7 and $301.3 you make money; past the long wings you lose a fixed $370. Between short and long strike the P/L slides linearly — that is where most condors are actually managed, not at expiry.

Assignment risk is real on the short legs, especially the calls near ex-dividend, and especially in the last week. Being assigned on one leg of a four-leg structure leaves you with a stock position and a broken condor over a weekend.

Early assignment is an operational risk rather than a market one: it arrives on a weekend, converts a defined structure into a stock position, and requires cash you may have allocated elsewhere.

The absence of a dividend removes the single most common reason an American short call gets exercised early, which makes Amazon materially easier to manage than a payer at the same delta — you can carry an ITM short call to expiry and reason about it purely on extrinsic value. That administrative edge is worth more to a systematic writer than a point or two of extra IV elsewhere.

AMZN's Aug 28 strikes are $5 apart near the money (1.84% of spot). On a ladder that wide, "pick the 0.30 delta strike" resolves to whichever rung happens to be closest — sometimes not close at all. 16k contracts of open interest on Aug 28 is workable around the money and thin in the wings — width costs more here than the ladder suggests. 23 strikes on that expiry — 50% of the board — carry prints that agree with their own implied volatility and hold up across the ladder, and those are the strikes priced here. Deep at every strike; the far-dated back month a calendar needs is liquid enough to leg if you must.

Skew is inverted: the 25-delta CALL implies 1.3% more vol than the put. That is the market pricing upside risk above downside risk — a squeeze, a takeover rumour, or a crowded short. Selling calls into an inverted skew pays better than usual and is riskier than usual for exactly the same reason. The term structure is flat inside 1.5% between the two captured expiries, so there is no calendar edge to harvest and no event visibly priced into one month over the other.

At 33% ATM implied vol, the Aug 28 options are pricing a one-standard-deviation move of $24.05 over 27 days — roughly −8.9% to +8.9%, or $247.53 to $295.63. A short-premium structure here is a bet that 8.9% over 27 days is more than AMZN will actually use. That is the thesis, stated honestly.

The mistake this name punishes hardest: Buying the holiday-quarter straddle because the narrative is loud. That print's implied move is usually the year's largest and usually adequate.