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