OK AMZN traders, hopefully you were on the right side of volatility. Yesterday, both calls and puts were on the expensive side in advance of the earnings release. Do you remember the February weekly ATM 270 straddle was trading about $25 bucks? Well today it closed at about $6.55 Volatility got CRUSHED!!! Amazon Volatility Index VXAZN here at CBOE closed 31.23 down $18.70
At one point this morning we almost got the significant $25 dollar move up to $284.20 which volatility was implying. Later only to have the stock pull back through today’s session. So straddle buyers almost got to their breakeven-point which was not the ultimate plan. Straddle sellers profited nicely with a big drop in implied volatility. Remember, volatility only affects time premium and we sure saw time value collapse in both calls and puts.
Premium sellers in AMZN…your table is ready!