AAPL Post Earnings IV Trends: A Historical Perspective

Articles From: Market Chameleon
Website: Market Chameleon

With Apple Inc. (AAPL) earnings released on February 1st, options traders are keenly focused on the next moves of AAPL options. The post-earnings period is crucial, as it typically involves a repricing of options to reflect the reduced uncertainty following the earnings announcement.

A central question for traders is how quickly and to what extent the implied volatility (IV) will decrease. While the future remains uncertain, historical data can offer valuable insights.

Historical IV Trends Post Earnings

Utilizing MarketChameleon’s tool that meticulously tracks past implied volatility trends post-earnings, we gain a clearer understanding of AAPL’s IV behavior.

AAPL Earnings Implied Volatility Crush Stats

According to the summary table, on average, implied volatility experiences a significant drop from 32.2 just before earnings to 26.4 by the end of the next trading day—a decline of approximately 18%.

This initial drop is notable, as it signifies the market’s adjustment to the newly released earnings information.

Continued Decline in IV


Extending the observation to five days post-earnings, the data reveals that the decline in IV doesn’t halt but rather continues, albeit at a slower pace. On average, IV further decreases to 25.6, marking an additional 3% reduction.

This trend underscores the gradual stabilization of market sentiment and the assimilation of earnings information into AAPL’s stock price and options.

IV Trend Analysis Across Earnings

A closer examination of the IV trends from five days before to five days after earnings over the last five releases unveils a pattern of decreasing IV levels from one earnings announcement to the next.

APPL IV Chart 5 Days Before and 5 Days After Earnings


The five-day post-earnings IV has varied significantly, ranging from 36.1 to 17.2.

Source: Marketchameleon

This wide range not only highlights the inherent risk and variability associated with options trading but also emphasizes the importance of considering historical volatility trends in strategic decision-making.

Conclusion

Historically, AAPL has exhibited a tendency for a continued downward trend in implied volatility following earnings announcements, with an average additional drop of 3% over a five-day period. While historical data cannot guarantee future outcomes, it serves as a foundational tool for traders.

By leveraging these historical IV trends and ranges, traders can better strategize their options trading and manage risk with a more informed approach.

In the dynamic and often unpredictable world of options trading, such insights are invaluable for navigating post-earnings movements in AAPL options.

Originally Posted February 6, 2024 – AAPL Post Earnings IV Trends: A Historical Perspective

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