Chart of the Day – $AAPL’s Ripened Vol

by Enis April 19, 2013 12:09 pm • Commentary

As the 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:

2 year Chart of AAPL 30 day IV, Courtesy of LiveVolPro
2 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 vol was higher was due to macro concerns in the fall of 2011, when the VIX got all the way to 48.

Naturally, this has occurred as realized vol has also moved higher, but 30 day realized vol in AAPL is only around 30, around the midpoint of its 2 year historical vol.  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, as Dan mentioned yesterday, capitulation from around these levels would set up a good long entry point for this once universally-loved, now universally-hated stock.