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Co-Founder of VolatilityAnalytics.com, a proprietary volatility strategies firm. Using creative historical volatility analysis, we are able to provide actionable strategies for hedging, trading volatility, and finding value in today's turbulent markets. Our proprietary strategies utilize... More
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  • Apple Volatility Falls To Historical Average

    Apple shares did little today, but the Apple VIX made a significant move, and that was to the downside. VXAPL, the ticker for Apple VIX, fell 10.2% to 32.71.

    http://www.bloomberg.com/quote/VXAPL:IND/chart

    During the last several weeks as the sell-off in Apple shares picked up steam, the CBOE's index of Apple volatility rose from 25 in early September, to over 44 in late October as the puts on Apple were bid high and skew developed in puts versus calls. The only higher measure was 48 in April, when Apple topped and began a $640 to $530 correction that lasted about six weeks.

    Since VXAPL was created by the CBOE as a measure of Apple volatility structured similar to the VIX formula, the historical average is 32.52, almost precisely today's close. In 2012, VXAPL has averaged 31.82. By either measure, it is apparent that Apple volatility has mean reverted.

    This may indicate the steep sell-off in AAPL is nearly through. The CBOE has filed with the SEC for options on the Apple VIX, similar to options on the VIX, as well as for several other stocks and ETF's, like ones holding gold and oil.

    Follow our posts and trades on VolatilityAnalytics.com and on Twitter and Stocktwits at VolatilityWiz.

    Disclosure: I am long AAPL. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it. I have no business relationship with any company whose stock is mentioned in this article.

    Additional disclosure: I am long AAPL LEAP calls.

    Nov 13 11:20 AM | Link | Comment!
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