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Apple Inc Price Volatility Hits An Inflection Point




Apple Inc (NASDAQ:AAPL) Price Volatility Hits An Inflection Point

Date Published:

PREFACE
This is a proprietary realized volatility rating created by Capital Market Laboratories (CMLviz) based on a large number of data interactions for Apple Inc (NASDAQ:AAPL) . We examine the little used gem of daily stock volatility over a 20-day and 30-day trading period, as well as comparisons to the last year and the actual stock returns over the last three- and six-months and the S&P 500 and Nasdaq 100 indices.


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As a heads up, in the "Why This Matters" section at the end of this article on Apple Inc (NASDAQ:AAPL) , we're going to take a step back and show really clearly that there is actually a lot less "luck" in successful option trading than most people are aware of. This idea of an "option trading expert" is vastly over complicated so those with the information advantage can continue to profit at the expense of the rest.

But before that, let's turn back to AAPL. This is a four step process for computing the realized volatility risk. Here we go.

AAPL Recent Price Volatility


Rating
Price volatility using proprietary measures has hit an inflection point level.

Note
Even though Apple Inc is a legitimate large cap, just the fact that it is a technology company makes AAPL susceptible to elevated risk due to issues surrounding unrest in the European Union and patent fights as well as an unending need to drive innovation forward through proper research and development. Here is a rolling annual volatility chart of the biotech index (IBB) versus the Nasdaq 100 and the S&P 500. Note how elevated the technology sector volatility is (the yellow curve) relative to the S&P 500.



Let's take a deep dive into some institutional level volatility measures for Apple Inc (NASDAQ:AAPL) .

Apple Inc Stock Performance
AAPL is up +22.8% over the last three months and up +23.5% over the last six months. The stock price is up +39.8% over the last year. The current stock price is $135.07.

AAPL Step 1: Stock Returns
The one-year stock return does not impact the volatility rating since we are looking at a shorter time horizon. However, the rating does examine the 3-month returns and the absolute difference between the 3-month and 6-month returns.

  The 3-month stock return of +22.8% has a substantial impact on the price volatility rating for AAPL.
  The small difference between the 3-month and 6-month stock returns does not impact the price volatility rating for AAPL.

AAPL Step 2: Daily Price Volatility Level
The HV30® takes the stock's day to day historical volatility over the last 30-days and then annualizes it. The HV20 looks back over just 20-days -- a shorter time period. Here is the breakdown for Apple Inc (NASDAQ:AAPL) and how the day-by-day price historical volatilities have impacted the rating:

  The HV20 of 21.6% is low enough that it has a downward impact on AAPL's volatility rating.


AAPL Step 3: Apple Inc HV20 Compared to Indices
* The HV20 for AAPL is substantially larger than that for both the S&P 500 and the NASDAQ 100 which raises the volatility rating.

* The HV20 for AAPL is substantially larger than that for the Technology ETF (XLK) which raises the volatility rating.

Here is summary data in tabular and chart format.

           AAPL
           HV20    
   S&P 500
HV20
   NASDAQ 100
HV20   
   XLK
HV20   
           21.6%    6.35%    6.03%    6.89%

AAPL Step 4: Daily Volatility Percentiles and Highs

We also examine the annual high of the HV30 in our rating but in this case the 52 week high in HV30 for AAPL is 38.3%, which is not enough to impact the price volatility rating.

Here is summary data in tabular and chart format.

           AAPL
           HV20    
   AAPL
HV30
   AAPL
HV30 High   
           21.6%    18.2%    38.3%

Final Price Volatility Percentile Level: AAPL
The final evolution of the volatility rating for Apple Inc is a comparison of the HV30 value relative to its past, which is neatly summarized in the percentile -- a scoring mechanism that goes from a low of 1 to a high of 100.

Apple Inc Realized Volatility Percentiles