Thursday, November 10, 2011

Apple (AAPL) - Vol Up, Stock Down. Is Apple OK?

AAPL is trading $384.06, down 2.8% with IV30™ up 13.3%. The LIVEVOL® Pro Summary is below.


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Apple Inc. (Apple) designs, manufactures and markets a range of personal computers, mobile communication and media devices, and portable digital music players, and sells a range of related software, services, peripherals, networking solutions, and third-party digital content and applications.

I found AAPL using the custom scan that searches for names where IV30™ is up at least 10% on the day. AAPL is one of just two (KMI is the other). There are still rumors of slipping iPhone 4GS growth / sales. There is also news about the iPad:

Apple(AAPL), meanwhile, fell 2.4% to $385.70 as a new report said the arrival of Amazon's(AMZN) Kindle Fire could depress sales of the iPad. According to the survey conducted by ChangeWave, 26% of potential Fire buyers may delay the purchase of a new iPad.
Source: Electronic Arts, Apple: Tech Winners & Losers, written by Olivia Oran

Well there you go... iPhone and iPad troubles... maybe...

The custom scan details are below with a snapshot if you want to build it yourself in Livevol® Pro.

Custom Scan Details
Stock Price GTE 10
Average Option Volume GTE 1,200
Days After Earnings GTE 5 and LTE 60
IV30™ Percent Change GTE 10%
IV30™ GTE 10

The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.

The AAPL Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).

I've highlighted a couple spots. First, on the stock chart in early Oct we can see the stock drop and massive vol gain. That move was essentially market driven -- SPX was falling, VIX was climbing.

The second piece I highlighted is the vol trend as of today (and the last few days). We can see the implied has bounced off of the long-term historical realized vol (HV180) and shot back above the short-term historical realized vol to the mid 30's. It's that vol gain today that has AAPL appearing on the scan. The vols today are:

IV30™: 35.29
HV20: 32.67
HV180: 26.92

The Skew Tab snap (below) illustrates the vols by strike by month.

We can see the ATM vol for all three expirations shown are right on top of each pother, while the wings (OTM calls and puts) and priced to higher vol to the front. Basically, normal...

Finally, let's turn to the Options Tab for completeness.

Rather than discuss possible trades, I'll just write this: There seem to be fears that AAPL is in trouble, 'n stuff 'n stuff. Well, they might be, but right now the stock is still well above the low hit in early Oct, the vol is well below the peak of that same time and the skew isn't showing any weird shapes or reflecting any substantive one-sided (read: downside) risk. Basically, for today, AAPL looks fine -- just some icky retail news about competitors.  Having said that, without Mr. Steve Jobs around to combat the competition, maybe this isn't just a one day "thing."  Maybe Apple isn't gonna be ok... Or, maybe it will be "ok," and that's the problem since it used to be "amazing."

This is trade analysis, not a recommendation.

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1 comment:

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