Thursday, April 24, 2014

Apple (AAPL): Earnings Review: How the Option Market Blew It... And We Knew a Week Ahead of Time.

AAPL is trading $567.30, up 8.1% off of earnings with IV30™ down 32.5%. The Symbol Summary is included below.

Provided by Livevol

Two days ago I posted this article:


Apple (AAPL) - Earnings Preview: An Astonishing and Unprecedented Phenomenon is Happening Right Now.

This was the takeaway, as the title pretty much declares:
"[T]he risk as reflected by the option market for this earnings release is lower than any prior earnings release in the last two-years. This is a stunning phenomenon to me. But it goes even further...

Even if we include all days in the last year (not just earnings days), the IV30™ (the thirty-day moving average of implied volatility) is in the 27th percentile on an annual basis. In other words, even if this wasn't an earnings date, we would say that the risk in AAPL shares as reflected by the option market is in about the bottom quartile. But this is an earnings event! Stunning..."

The option market priced a stock price range of [$508, $552]. As we can see, the stock is well through that range. Let's turn to the Options Tab as of right now.

Provided by Livevol

As of the first post the $530 strike straddle was worth $21.  Today that straddle is worth $37.50.

This is trade analysis, not a recommendation.

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