Tuesday, July 20, 2010

The Big AAPL

Going into earnings this evening, AAPL options are exhibiting the typical IV-HV difference where implied vol is notably higher than historical vol. Using our crafty vol charts provided courtesy of Livevol Pro, you'll notice the IV-HV differential is virtually in-line with where it was in past earnings announcements. So, nothing out of the ordinary to report here.

From a charting standpoint, AAPL has found a home in the 240 - 270 range over the past four months. Traders believing the tech powerhouse is likely to remain in this channel and desiring to play the post earnings volatility crush may consider selling an Aug iron condor. How about selling a 280-290 call spread and a 220-210 put spread for $240 credit? Consider the risk graph displayed below:
[Source: MachTrader]

Over at the Livevol Blog, they highlighted some worthwhile data points regarding AAPL earnings, including the fact that it's paid off to have a general bullish bias into earnings. Interestingly enough, selling straddles one strike OTM right before earnings, then closing them the day after has proved quite effective in exploiting the typical bullish move coupled with the volatility crush.

For related posts, readers can check out:
Earnings... the Wrench in the Theta Clock
Strangles versus Iron Condors
Saved by the Wings

Disclosure: Livevol Pro is an advertiser on Tyler's Trading


Investment research directory said...

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Apple has seen its very best days