Volatility Analysis
256.78
4.89
(1.94%)
09/11/2026
Amazon.com, Inc. (AMZN)Showing 1 year of volatilty data. To view all data, Upgrade to PRO plan!
Summary
- AMZN is realising 25.7% annualised volatility over the last 21 sessions, the compressed end of its range — higher than 18% of readings over the past 1 year.
- Volatility has fallen from 61.5% to 25.7% over the past month (-58% relative), so the near-term trend in risk is in favour of short-volatility positioning.
- Close-to-close vol (25.7%) runs well above the Parkinson range estimate (19.0%). Because Parkinson only sees the intraday high/low, that gap is overnight jump risk — the move happens between the closing bell and the next open.
- 54% of total variance is delivered overnight (25.8% annualised) against 23.6% during the session — this is a gap-risk name, and an intraday stop will not protect the position.
- On the empirical distribution, a 1-day 95% VaR is -3.10% with an expected shortfall beyond it of -4.12%. Excess kurtosis of 8.4 and 0.80% of days beyond 3σ (a normal distribution would give 0.27%) mean option-pricing models that assume normality will understate the tail.
- Upside volatility (37.0%) exceeds downside volatility (30.5%) — the big moves in this name have been rallies, so headline vol overstates the drawdown risk.
- Absolute returns are autocorrelated at lag 1 (0.208 vs a 0.124 significance band), confirming volatility clustering — quiet days follow quiet days, so today’s reading carries information about tomorrow’s.
- Worst peak-to-trough drawdown over the window was -21.7% (trough 2026-02-13), with an Ulcer Index of 10.41 capturing how long it stayed underwater.
Realized Vol · 21d
25.7%
Compressed
calm18th pctilestressed
Context · 1 year lookback
18%Percentile
-0.74Z-score
30.8%Median vol
-58%1-mo change
142%Vol of vol
35.7%EWMA λ=.94
Historical Volatility Close-to-Close · 21-day rolling · annualised ×√252
Volatility Cone Close-to-Close · 1 year of overlapping windows
Every realized-vol reading the stock has produced at each horizon, as a percentile envelope. The marker is today. A dot riding the top of the cone says vol is stretched for that horizon — which is the comparison that matters, since short windows are naturally noisier than long ones.
| Horizon | Min | 10th | 25th | Median | 75th | 90th | Max | Current | Percentile | Obs |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 Week 5d | 6.3 | 17.2 | 22.8 | 29.5 | 38.6 | 49.7 | 124.7 | 21.5 | 23 | 245 |
| 2 Weeks 10d | 14.2 | 20.7 | 24.0 | 30.0 | 36.4 | 45.5 | 87.3 | 31.2 | 56 | 240 |
| 1 Month 21d | 17.0 | 23.3 | 26.5 | 30.8 | 37.3 | 47.3 | 61.5 | 25.7 | 18 | 229 |
| 2 Months 42d | 23.0 | 26.0 | 30.3 | 31.5 | 36.2 | 46.2 | 49.4 | 46.5 | 93 | 208 |
| 3 Months 63d | 26.1 | 28.7 | 29.2 | 31.7 | 33.1 | 42.9 | 43.5 | 42.4 | 85 | 187 |
| 6 Months 126d | 28.1 | 29.1 | 30.1 | 31.4 | 33.3 | 36.7 | 38.1 | 36.7 | 88 | 124 |
Realized Term Structure
Current realized vol at each horizon against the median for that same horizon. When the short end sits above the long end the curve is inverted — the market is pricing a near-term event, and the spread has historically closed by the short end falling rather than the long end rising.
Estimator Comparison
Five estimators of the same quantity. They disagree in informative ways: Parkinson and Garman-Klass read the intraday range and are blind to overnight gaps; Rogers-Satchell is drift-independent, so it does not inflate on a strong trend; Yang-Zhang combines overnight, open-to-close and Rogers-Satchell and is the one to quote against implied vol.
| Estimator | 1 Month | 3 Months | 6 Months | 1 Year | Reads |
|---|---|---|---|---|---|
| Close-to-Close | 25.7 | 42.4 | 36.7 | 33.9 | total risk, incl. gaps |
| Parkinson | 19.0 | 25.8 | 25.5 | 24.8 | intraday range only |
| Garman-Klass | 18.9 | 26.6 | 26.2 | 25.2 | range + open/close |
| Rogers-Satchell | 18.5 | 27.4 | 26.8 | 25.5 | drift-independent |
| Yang-Zhang | 22.6 | 40.0 | 36.5 | 36.1 | gaps + range + drift |
Conditional Volatility Models
A GARCH(1,1) fit needs at least one year of returns. Widen the date range to enable it.
Tail & Drawdown Risk
VaR and expected shortfall are historical — read straight off the empirical return distribution, with no normality assumption. The parametric figures next to them assume a Gaussian; the difference between the two is the size of the tail your model would have missed.
33.90%Annualised vol
30.50%Downside vol
37.04%Upside vol
-3.10%VaR 95% (hist)
-4.77%VaR 99% (hist)
-4.12%CVaR 95% (ES)
-5.23%CVaR 99% (ES)
-3.51%VaR 95% (normal)
-4.97%VaR 99% (normal)
1.346Skew
8.37Excess kurtosis
4.02%Days beyond 2σ
0.80%Days beyond 3σ
-21.74%Max drawdown
10.41Ulcer Index
11.09%CAGR
0.33Sharpe (rf=0)
0.36Sortino (rf=0)
3σ days occurred 3.0× more often than a normal distribution predicts (0.80% vs 0.27%). Any position sized off a Gaussian assumption is under-reserved for this name.
Overnight vs Intraday
Variance decomposed into the gap between one close and the next open, versus the regular session.
Overnight gap · 25.8% annualisedIntraday session · 23.6% annualised
Volatility Clustering ACF, 249 returns
Autocorrelation of raw returns, absolute returns and squared returns. Raw returns should be near zero (an efficient market); absolute and squared returns should not be — that persistence is the ARCH effect every conditional-vol model exists to capture. Bars outside the ±0.124 band are significant at 95%.
| Lag | Return | |Return| | Return² | Significance (|r|) |
|---|---|---|---|---|
| 1 | 0.127 | 0.208 | 0.140 | |
| 2 | -0.027 | 0.048 | 0.003 | |
| 3 | 0.040 | -0.067 | -0.031 | |
| 4 | -0.022 | -0.092 | -0.035 | |
| 5 | 0.102 | -0.067 | -0.039 | |
| 6 | -0.042 | 0.067 | 0.049 | |
| 7 | -0.169 | 0.047 | -0.008 | |
| 8 | -0.052 | 0.055 | -0.006 | |
| 9 | -0.050 | -0.016 | -0.025 | |
| 10 | -0.016 | -0.026 | -0.033 |
Volatility Change by Month month-over-month % change in 21-day realized vol
Not price returns — this is how much the volatility itself moved each month. Persistent positive months flag a season when risk tends to build in this name.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Min | Max | Avg |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 64.3 | 23.8 | -5.0 | -1.1 | -36.0 | 89.3 | 45.7 | -45.8 | -18.0 | -45.8 | 89.3 | 13.0 | |||
| 2025 | 8.6 | -63.9 | -63.9 | 8.6 | -27.7 | ||||||||||
| Avg change | +64.3 | +23.8 | -5.0 | -1.1 | -36.0 | +89.3 | +45.7 | -45.8 | -18.0 | — | +8.6 | -63.9 | -63.9 | 89.3 | 5.6 |
| % months vol rose | 100 | 100 | 0 | 0 | 0 | 100 | 100 | 0 | 0 | — | 100 | 0 | |||
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