VXAPL Index Up 97%, as Apple Puts Become More Expensive

October 5, 2012 – The CBOE Equity VIX® on Apple (VXAPL) has risen from an intraday low of 18.81 on August 13, 2012, to a closing value of 37.03 today, a rise of 97%.

An October 4th Bloomberg news article by Cecile Vannucci and Nikolaj Gammeltoft notes that —

“Apple Puts Jump to 10-Month High After IPhone Map Flaws.   Bearish Apple Inc. options are the most expensive in 10 months relative to bullish ones after the world’s biggest company sold fewer iPhones than forecast and apologized for faulty maps software.  Puts that pay should the iPad and MacBook Pro maker lose 10 percent cost 7.9 points more than calls betting on a 10 percent gain, according to one-month options data compiled by Bloomberg. The price relationship known as skew reached 8.04 on Oct. 2, the highest since November. The stock lost 4.1 percent since the iPhone 5 debut on Sept. 21. … “More and more people are hedging,” Oliver Pursche, co- manager of the GMG Defensive Beta Fund and president of Suffern, New York-based Gary Goldberg Financial Services, said yesterday in a phone interview.  …”


Here is a chart showing the daily closing values of the VXAPL Index and the CBOE Volatility Index® (VIX®). The indexes have diverged in the past month, and today’s closing values were 37.03 for VXAPL and 14.33 for the VIX, hwoch is designed to show the implied volatility for the S&P 500 Index (SPX).


For information on more than 20 CBOE volatility indexes (with strategies, charts, and a bibliography), please visit www.cboe.com/volatility

The posts on this blog are opinions, not advice.
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