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Apple, Amazon and Alphabet earnings are coming. This is what the stock options market is preparing for.


The options market braced for larger-than-usual moves in shares of the trio of trillion-dollar companies, a day after they reported quarterly earnings results.

That’s because the implied volatility, or volatility, of a stock over a given period of time, of the shares of Apple Inc.
APL,
+2.74%
,
Alphabet Inc.
GOOGL,
+5.99%

and Amazon.com Inc.
AMZN,
+6.62%

Still bullish, even as implied volatility for the S&P 500
SPX,
+0.97%

fell to a 13-month low.

The three tech giants are expected to report earnings from their quarters through December after the closing bell on Thursday.

Read the earnings preview for Apple, Alphabet and Amazon.

For Apple, an options strategy known as a “straddle” was recently priced for a one-day post-earnings move of $5.79, or 3.9% at current prices, according to data Data provided by Matt Amberson, principal at Optional Research & Technology Services. . That’s a bigger increase than the average move of $5.76, or 3.8%, over the past 12 quarters.

The stock is up more than 3.9% a day after earnings four times over the past 12 quarters and most recently after final quarterly reportaccording to FactSet data.

A “straddle” is a pure volatility game involving the simultaneous buying of bullish (call) and bearish (put) options, with the same strike price in cash or target. spend at current price and same expiration date. Buyers of straddles make money if the stock moves, in either direction, more than the expected range implies. Read more about straddles.

The expected range is determined by the implied volatility of the stock and the time until the option expires. For Apple, the implied volatility over the last 30 days was 29.7%. That compares to the Cboe Volatility Index
VIX,
+5.65%
,
known as the VIX, fell to 17.58% in Thursday morning trading, the lowest level seen since mid-January 2022.

The VIX represents the expected 30-day volatility of the S&P 500. It is often referred to as The stock market’s “fear gauge” because volatility tends to increase when the stock market is down and decrease when the market is up.

Based on current prices, a buyer of Apple stock that expires on Friday will start making money if the stock rises above $156.04 or falls below $144.46 on Friday.

For Alphabet, the parent company of Google, the recent 30-day implied volatility was 36% and the stock’s implied volatility after earnings on Friday amounted to $5.77. dollars, or 5.4%, higher than the 12-quarter average of $5.43, ORATS’ Amberson said. According to FactSet, the stock has moved more than that level five times in the day following the past 12 quarterly reports, including after the last two.

And for Amazon, the 30-day implied volatility is 49.6% and the one-day post-earnings share price implied spread amounts to $8.82, or 7.9%. , above the 12-quarter average of $7.07, Amberson said. The stock has been more volatile than that, FactSet says, after three of the past 12 quarterly reports, with all three showing double-digit percentage moves.

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