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Apple's Post-Earnings Volatility Premium Plunges (Again)

Tyler Durden's picture


For the first time in over two months, Apple's implied volatility is now trading back below its realized volatility as its share price explodes 10% higher and overall implied volatility falls back to a more normalized level of the last six months. It seems, just as in the few months leading up to January's earnings report, that option-hedgers were very actively bidding up protection only to see it crushed on the miraculous realization of exponential growth. Will we repeat the same path in the next three months as implied volatility is once again at 3-month lows relative to realized vol?


Implied vol (black upper pane) has plunged back in line with realized vol (orange upper pane) and reflects a more 'normalized' level of implied vol overall (black dotted lines) of the last six months. The lower pane shows the implied vol premium to realized vol and the upward drift into January earnings and once again into last night's earnings as protection is bid at an increasingly anxious pace.

The implied vol premium relative to realized vol is at its lowest in 3 months - will that tempt hedgers back in?


Chart: Bloomberg


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Wed, 04/25/2012 - 10:47 | Link to Comment xela2200
xela2200's picture

Apple again? Did we run out of news?

Wed, 04/25/2012 - 10:49 | Link to Comment vmromk
vmromk's picture

This was Apple's peak, it is all down hill from here.

Anyone notice how they guided 20% lower.

Shorting this bloated POS.

Wed, 04/25/2012 - 11:11 | Link to Comment junkyardjack
Wed, 04/25/2012 - 10:51 | Link to Comment Cognitive Dissonance
Cognitive Dissonance's picture

I love roller coasters. Especially the old wooden ones. Nothing beats that clickity clack sound just before it flies off the tracks.


Wed, 04/25/2012 - 11:04 | Link to Comment SheepDog-One
SheepDog-One's picture

Theres gotta be an iApp for that.

Wed, 04/25/2012 - 10:51 | Link to Comment SHEEPFUKKER

How can the largest market cap company in the world jump 10% on an earnings report? Or be up 50% in 4 months for that matter...

Wed, 04/25/2012 - 10:53 | Link to Comment SheepDog-One
SheepDog-One's picture

Yea so since last nite, Apple is suddenly worth like $50 billion dollars more? Where did all THAT money come from? 

Wed, 04/25/2012 - 14:48 | Link to Comment RopeADope
RopeADope's picture

That money no doubt came from investment in corporate debt instruments of Chinese companies that sell or manufacture Apple products, thereby increasing units reported sold and decreasing reported cost of production of units sold on the financial statements due to strategic leveraging of the Apple cash hoard.

The larger the cash hoard Apple has the more influence they are able to exert on their municipal and corporate partners to get the reporting and deals they want. Only a small portion of their cash is invested in sovereign debt instruments as there is little to no leverage that can be realized in that area.

Wed, 04/25/2012 - 10:53 | Link to Comment I am a Man I am...
I am a Man I am Forty's picture

Because it went from 636 to 555 before earnings release.  And because growth is up nearly 100% from last year.  Any other questions?

Wed, 04/25/2012 - 10:51 | Link to Comment SheepDog-One
SheepDog-One's picture

LOL oh sure everyones always got 'the next 3 months' all baked in...yea sure.

Wed, 04/25/2012 - 10:51 | Link to Comment I am a Man I am...
I am a Man I am Forty's picture

All this analysis and can't get the big picture right.

Wed, 04/25/2012 - 10:54 | Link to Comment SheepDog-One
SheepDog-One's picture

What does 'the big picture' look like....a huge pile of bullshit?

Wed, 04/25/2012 - 11:09 | Link to Comment junkyardjack
junkyardjack's picture

To the moon, Alice

Wed, 04/25/2012 - 10:54 | Link to Comment AbelCatalyst
AbelCatalyst's picture

So, the only good news was AAPL, and every market in the world takes off?? And, the news was not even that good!!  They revised their forward looking projections down!!!  If this is not a sign on the times i don't know what is.  It is so far beyond normal, fundamental markets...  

Thanks Ben Greenspan!!  Up, up, and away until someone realizes there is such a thing as gravity...  ugh!!

Wed, 04/25/2012 - 10:57 | Link to Comment Aunty Christ
Aunty Christ's picture

These $50-$100B market swings for the world's largest toy company is alarming. Apple need sto reinvent themselves every 3-4 years and hope like hell that the sheeple continue to buy their products.

Wed, 04/25/2012 - 11:26 | Link to Comment carbonmutant
carbonmutant's picture

How many more quarters can AAPL sell 35 million iphones?

Android is currently the leading smartphone OS by 2 to1.

Wed, 04/25/2012 - 11:26 | Link to Comment Matt
Matt's picture

well, how many billions of people do not have an iPhone yet? plus, if you break yours after six months, buy a new one, then six months later the next model comes out, ad infinum, you only need 70 million users to have 35 million sales per quarter.

Wed, 04/25/2012 - 12:38 | Link to Comment CvlDobd
CvlDobd's picture

If ZH was around in the 50's I could envision a post such as this.

"how many more quarters can Ford sell so many Fairlanes? Short this piece of shit to zero!"

Wed, 04/25/2012 - 11:58 | Link to Comment 710x
710x's picture

It seems like broader economic problems don't impact the valuation of some stocks.

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