Apple Inc Realized Volatility Hits An Extreme Low

Apple Inc Realized Volatility Hits An Extreme Low

Apple Inc (NASDAQ:AAPL) Realized Volatility Hits An Extreme Low

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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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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 Realized Volatility

Realized volatility using proprietary measures has hit a plunging low level.

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.

While stocks with AAPL's profile see a short-term quiet period, this is also one of those times when a shake out volatility move could be on the horizon. Let's take a deep dive into some institutional level volatility measures for Apple Inc (NASDAQ:AAPL) .

Apple Inc Stock Performance
AAPL is up +27.2% over the last three months and up +29.8% over the last six months. The stock price is up +35.7% over the last year. The current stock price is $139.78.

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 +27.2% has a substantial impact on the realized volatility rating for AAPL.
  The small difference between the 3-month and 6-month stock returns does not impact the realized volatility rating for AAPL.

AAPL Step 2: Daily Realized 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 realized historical volatilities have impacted the rating:

  The HV20 of 9.7% is especially low and has a large downward impact on AAPL's volatility rating.

AAPL Step 3: Apple Inc HV20 Compared to Indices
* The HV20 for AAPL is greater than that for both the S&P 500 and the NASDAQ 100 which has a small impact on the volatility rating.

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

Here is summary data in tabular and chart format.

   S&P 500
   NASDAQ 100
           9.7%    6.86%    5.73%    6.55%

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 35.7%, which is not enough to impact the realized volatility rating.

Here is summary data in tabular and chart format.

HV30 High   
           9.7%    18.7%    35.7%

Final Realized 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