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
Heading into earings tonight, the market was looking for about a 5.50-6.00 move on AAPL earings tonight. We know its somewhere in that range based on how the weekly strangles were priced at the close on earnings monday vs the prior monday. The math is pretty simple with out all the extra mumbo jumbo.
Earnings Monday (today)