Apple Inc (NASDAQ:AAPL) Price Volatility Hits A Plunging LowDate Published: 2017-04-4
Stock Alert - But Not What You Might Think
Before we cover the full analysis we make a quick alert here that Apple Inc (NASDAQ:AAPL) has seen its stock price move at a tumbling low level. We'll go through the details below -- but that's the lede -- the stock has been unusally quiet. If there was a post it note to summarize the stock movement in the last 30-days it would likely read "quiet time... too quiet?" The HV20 is 11.24% verus the HV20 of the S&P 500 at 7.05%.
Another bit to this alert of quiet time, which we cover in the article, is that while the historical volatility may be a tumbling low level, the real question that needs to be answered for option traders is not if the HV20 is low, but rather if the implied volatility that is priced for the next 30-days accuratley reflects what we're about to see in the stock for the next month.
To jump forward and examine if owning or shorting options has been a positive trade in Apple Inc, you can go here: Getting serious about option trading.
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. Here are the exact steps that led us to this rating, and whether it's a risk alert or a holding pattern.
AAPL Recent Price Volatility
Price volatility using proprietary measures has hit a tumbling 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. To that point, we do note that AAPL is showing unusally low volatility in the last month relative to its past. Let's take a deep dive into some institutional level volatility measures for Apple Inc (NASDAQ:AAPL) .
Apple Inc Stock Performance
AAPL is up +24.1% over the last three months and up +27.1% over the last six months. The stock price is up +31.8% over the last year. The current stock price is $143.7.
AAPL Step 1: Stock Returns
↪ The 3-month stock return of +24.1% 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 11.3% is quite low and has a substantial 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.
| S&P 500
| NASDAQ 100
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 28.8%, which is not enough to impact the price volatility rating.
Here is summary data in tabular and chart format.
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.
↪ The HV30 percentile for Apple Inc is 15%, which means the stock has seen very low volatility in its price movement relative to its own past and that has a dampening impact on the price volatility rating.
Apple Inc Realized Volatility Percentiles