“Apple Inc is not expected to show a big post-earnings swing when it reports fiscal third-quarter results after the closing bell on Tuesday, but this could also mean investors are under-hedged in case the company delivers a shock,” Angela Moon and Doris Frankel report for Reuters.
“The options market is pricing in a potential move up or down of 4 to near 5 percent in Apple’s stock price following the results,” Moon and Frankel report. “This is in line with a historic average move of about 4.3 to 4.4 percent over the past four quarters.”
Moon and Frankel report, “The implied volatility for the next 30 days for Apple stands at 29.4 percent, according to options analytics firm Livevol. That number compared with the same measure from the past seven earnings cycles is very low, said Ophir Gottlieb, managing director of Livevol Inc. ‘This tells us that investors are not expecting large movements and they would be under-hedged if Apple earnings deviated significantly from what is expected,’ Place said.”
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