Gravitation Returns As Apple Falls, Drags Everything With It

Tyler Durden's picture

Four of the last five days have seen AAPL stock price swing +/- 3 sigma with today's drop approaching the largest drop in six months as rumors of iPhone sales weakness spread virally. Realized volatility is exploding on many different measures and AAPL implied volatility back to November highs. Of course as tensions mounts and the stock breaks Monday's closing VWAP, so margin calls on options expiring tomorrow are flopping over into various other markets as S&P 500 e-mini futures drop back below their 50DMA and VIX jumps up over 19.5% once again. Gold has pulled back in line with the USD and while the S&P 500 flip-flopped between bullishly synced with the USD and bearishly synced with Treasuries, for now equities in general are trying to catch up to longer-term Treasury weakness.

The cyan, yellow, and dark blue lines are the closing VWAPs of the last few days and as is clear we see heavy volume around these levels. The break just now of the closing VWAP from Monday's low print day was accompanied heavy volume once again...

With huge sigma moves over the last few days that will likely wreak havoc with anyone's risk-return optimizer...

As realized vol has exploded...

And broad asset class movements have been very interesting...

But the Equity-Treasury divergence intraday is actualy a convergence to Treasury's implied weakness from the last week...

Charts: Bloomberg