AAPL had earnings, and whether you thought it was going up or down there is one thing that seemed off, vol was low into earnings. The AAPL straddle was prcing in a move slightly over 4$. That seemed low to us at option pit. Well...we were right take a look at where the 104/105 strangle went out that expires NOT just this Friday, but on Friday May 27th. The straddle was about 60% too cheap or more.
The comment out of many 'pundits' is that the SPX while selling off, has been quite orderly. I mean, here we are down 100 points in 4 days and the VIX is barely 25%. That said, there is one area of the market that is a bit panicky...aapl investors. Check out the way AAPL vol has completely outpace the trajectory of SPY IV30 over the last couple of days. (AAPL IV30 in red SPY IV30 in blue)
So far this earnings cycle we have seen big wins in tech out of GOOG, NFLX, and no AMZN. Flops have come from AAPL, IBM, and MSFT. Take a look at the pricing of AMZN from today (now up about double the straddle price).
Livevol (r) www.livevol.com