Apple’s implied volatility and earnings announcement

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Apple’s implied volatility and earnings announcement

It is obvious from the charts that implied volatility ascends into earnings announcements. It usually drops immediately after. Past week, IV has increased little prematurely. I think it is because of some event expectation.

*
* CBOE VXAPL historic daily data
* http://www.cboe.com/micro/equityvix/introduction.aspx
clear all
cd "/users/mfd/desktop"
insheet using http://www.cboe.com/publish/ScheduledTask/mktdata/datahouse/VXAPLDailyPrices.csv, clear
gen date=date(v1, "MDY", 2050)
format date %td
destring v2, gen(open) force
destring v3, gen(high) force
destring v4, gen(low) force
destring v5, gen(close) force
drop v*
drop if open==.
order date
sort date

fetchyahooquotes AAPL, freq(d) chg(ln) start(01jun2010) field(o c h l v) merge
gen day=_n
tsset day
gen year=year(date)

gen EA=.
replace EA=close_AAPL if date==date("Oct 28, 2013", "MDY", 2050)
replace EA=close_AAPL if date==date("Jul 23, 2013", "MDY", 2050)
replace EA=close_AAPL if date==date("Apr 23, 2013", "MDY", 2050)
replace EA=close_AAPL if date==date("Jan 23, 2013", "MDY", 2050)

gen EA_IV=.
replace EA_IV=close if date==date("Oct 28, 2013", "MDY", 2050)
replace EA_IV=close if date==date("Jul 23, 2013", "MDY", 2050)
replace EA_IV=close if date==date("Apr 23, 2013", "MDY", 2050)
replace EA_IV=close if date==date("Jan 23, 2013", "MDY", 2050)

label variable close_AAPL "AAPL daily close"
label variable EA "Earnings Annoucement"
label variable EA_IV "Earnings Annoucement"
label variable close "Implied Volatility"

twoway (line close_AAPL date) (scatter EA date) if year(date)>2012, scale(0.5) ylabel(#50, angle(horizontal)) xlabel(#50, angle(vertical))
twoway (line close date) (scatter EA_IV date) if year(date)>2012, scale(0.5) ylabel(#50, angle(horizontal)) xlabel(#50, angle(vertical))
*


140105_EA1

140105_EA2