Amazon Stock Volatility

AMZN -  USA Stock  

USD 3,488  12.45  0.36%

Amazon appears to be very steady, given 499' months investment horizon. Amazon Inc secures Sharpe Ratio (or Efficiency) of 0.36, which signifies that the company had 0.36% of return per unit of standard deviation over the last 499' months. Our philosophy in foreseeing the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Amazon Inc, which you can use to evaluate the future volatility of the firm. Please makes use of Amazon's mean deviation of 0.7864, and Risk Adjusted Performance of 0.1371 to double-check if our risk estimates are consistent with your expectations.

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Amazon Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Amazon daily returns, and it is calculated using variance and standard deviation. We also use Amazon's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Amazon volatility.

30 Days Market Risk

Very steady

Chance of Distress

Very Small

30 Days Economic Sensitivity

Follows the market closely

Amazon Market Sensitivity And Downside Risk

Amazon's beta coefficient measures the volatility of Amazon stock compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Amazon stock's returns against your selected market. In other words, Amazon's beta of 0.8 provides an investor with an approximation of how much risk Amazon stock can potentially add to one of your existing portfolios.
Let's try to break down what Amazon's beta means in this case. As returns on the market increase, Amazon returns are expected to increase less than the market. However, during the bear market, the loss on holding Amazon will be expected to be smaller as well.
499' Months Beta |Analyze Amazon Inc Demand Trend
Check current 90 days Amazon correlation with market (DOW)

Amazon Beta

    
  0.8  
Amazon standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.92  
It is essential to understand the difference between upside risk (as represented by Amazon's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Amazon stock's daily returns or price. Since the actual investment returns on holding a position in Amazon stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Amazon.

Amazon Implied Volatility

    
  23.37  
Amazon's implied volatility exposes the market's sentiment of Amazon Inc stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Amazon's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Amazon stock will not fluctuate a lot when Amazon's options near their expiration.

Amazon Inc Stock Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Developed by Larry Williams, the Weighted Close is the average of Amazon Inc high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only Amazon closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

Amazon Projected Return Density Against Market

Given the investment horizon of 90 days Amazon has a beta of 0.8025 . This suggests as returns on the market go up, Amazon average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Amazon Inc will be expected to be much smaller as well.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Amazon or Consumer Cyclical sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Amazon stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Amazon stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has an alpha of 0.3233, implying that it can generate a 0.32 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Amazon Stock Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Amazon or Consumer Cyclical sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Amazon stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Amazon stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Given the investment horizon of 90 days the coefficient of variation of Amazon is 274.05. The daily returns are distributed with a variance of 0.86 and standard deviation of 0.92. The mean deviation of Amazon Inc is currently at 0.69. For similar time horizon, the selected benchmark (DOW) has volatility of 0.56
α
Alpha over DOW
0.32
β
Beta against DOW0.80
σ
Overall volatility
0.92
Ir
Information ratio 0.34

Amazon Stock Return Volatility

Amazon historical daily return volatility represents how much Amazon stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The company inherits 0.9247% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.5388% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Amazon Volatility

Volatility is a rate at which the price of Amazon or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Amazon may increase or decrease. In other words, similar to Amazon's beta indicator, it measures the risk of Amazon and helps estimate the fluctuations that may happen in a short period of time. So if prices of Amazon fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
Last ReportedProjected for 2021
Market Capitalization1634.2 B1763.2 B
Amazon.com, Inc. engages in the retail sale of consumer products and subscriptions in North America and internationally. Amazon.com, Inc. was founded in 1994 and is headquartered in Seattle, Washington. Amazon operates under Internet Retail classification in the United States and is traded on NASDAQ Exchange. It employs 1271000 people.

Nearest Amazon long CALL Option Payoff at Expiration

Amazon's implied volatility is one of the determining factors in the pricing options written on Amazon Inc. Implied volatility approximates the future value of Amazonusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Amazon Inc over a specific time period.
View All Amazon options
2021-09-17 CALL at $1460.0 is a CALL option contract on Amazon's common stock with a strick price of 1460.0 expiring on 2021-09-17. The contract was last traded on 2021-09-14 at 13:27:45 for $1975.3 and, as of today, has 1 days remaining before the expiration. The option is currently trading at a bid price of $2009.2, and an ask price of $2023.2. The implied volatility as of the 16th of September 2021 is 407.9843.
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      Amazon Price At Expiration 

Amazon Investment Opportunity

Amazon Inc has a volatility of 0.92 and is 1.7 times more volatile than DOW. of all equities and portfolios are less risky than Amazon. Compared to the overall equity markets, volatility of historical daily returns of Amazon Inc is lower than 7 () of all global equities and portfolios over the last 90 days. Use Amazon Inc to enhance returns of your portfolios. The stock experiences a normal upward fluctuation. Check odds of Amazon to be traded at $3662.65 in 90 days. . Let's try to break down what Amazon's beta means in this case. As returns on the market increase, Amazon returns are expected to increase less than the market. However, during the bear market, the loss on holding Amazon will be expected to be smaller as well.

Very weak diversification

The correlation between Amazon Inc and DJI is Very weak diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Amazon Inc and DJI in the same portfolio assuming nothing else is changed.

Amazon Additional Risk Indicators

The analysis of Amazon's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Amazon's investment and either accepting that risk or mitigating it. Along with some common measures of Amazon stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance0.1371
Market Risk Adjusted Performance0.2998
Mean Deviation0.7864
Semi Deviation0.6406
Downside Deviation0.9162
Coefficient Of Variation422.21
Standard Deviation1.02
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Amazon Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Amazon as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Amazon's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Amazon's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Amazon Inc.
Please continue to Trending Equities. Note that the Amazon Inc information on this page should be used as a complementary analysis to other Amazon's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Piotroski F Score module to get Piotroski F Score based on binary analysis strategy of nine different fundamentals.

Complementary Tools for Amazon Stock analysis

When running Amazon Inc price analysis, check to measure Amazon's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Amazon is operating at the current time. Most of Amazon's value examination focuses on studying past and present price action to predict the probability of Amazon's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Amazon's price. Additionally, you may evaluate how the addition of Amazon to your portfolios can decrease your overall portfolio volatility.
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The market value of Amazon Inc is measured differently than its book value, which is the value of Amazon that is recorded on the company's balance sheet. Investors also form their own opinion of Amazon's value that differs from its market value or its book value, called intrinsic value, which is Amazon's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because Amazon's market value can be influenced by many factors that don't directly affect Amazon Inc underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Amazon's value and its price as these two are different measures arrived at by different means. Investors typically determine Amazon value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Amazon's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.