Chart of the Day: Apple Sees Highest Volatility Ahead of Earnings in Its History

By RiskReversal.com  APR 19, 2013 2:50 PM

The only time implied volatility was higher was due to macro concerns in the fall of 2011.

 


As the Apple (NASDAQ:AAPL) debate gets more ferocious ahead of Q1 earnings next week, the options market is getting more and more jittery.  Today’s chart shows that 30-day implied volatility in AAPL is now near 2-year highs:


Two-year chart of AAPL 30 day IV, Courtesy of LiveVolPro

It has rallied ahead of earnings, but this is actually the highest it has been ahead of earnings at any point.  The only time implied volatility was higher was due to macro concerns in the fall of 2011, when the VIX (INDEXCBOE:VIX) got all the way to 48.

Naturally, this has occurred as realized volume has also moved higher, but 30-day realized volume in AAPL is only around 30, around the midpoint of its 2-year historical volume.  So option traders are placing a lot of emphasis on next week’s earnings report, and expecting a bigger move than usual.

Of course, with the stock at $400, a $30 move is bigger in percentage terms than a $30 move when the stock was at $600.  But part of it is certainly because the stock is down more than 20% in 2013, and this is the first update from the company on trends so far this year.  Regardless, capitulation from around these levels would set up a good long entry point for this once universally-loved, now universally-hated stock.

This item by Enis Taner was originally published on RiskReversal.com.

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