Amazon Earnings and Implied Volatility

As traders anxiously await Amazon (AMZN) earnings announcement after the close today implied volatility has made both call and puts rather expensive. Uncertainty of earnings along with supply and demand will do that to option prices.

Amazon volatility index VXAZN here at CBOE is 48.75 up 4.11  The February weekly 270 straddle is trading around $25 implying a significant move in AMZN.

Let’s re-visit what happens to AMZN and implied volatility post earnings tomorrow.