VXAPL, VXIBM, VXGOG: 1-Day Falls of More Than 33%

This week earnings announcements were made after the close of regular stock trading by some key tech companies — IBM and Google on Jan. 22nd, and Apple on Jan. 23rd.

Implied volatility indexes related to these stocks experienced big one-day drops the following days –

  • CBOE Equity VIX® on IBM (VXIBM) had a record one-day drop of 40.9% on Jan. 23rd     www.cboe.com/VXIBM;
  • CBOE Equity VIX® on Google (VXGOG) had a record one-day fall of 36.7% on Jan. 23rd   www.cboe.com/VXGOG
  • CBOE Equity VIX® on Apple (VXAPL) fell 25.4% on Thursday, Jan. 24th  www.cboe.com/VXAPL

ONE-WEEK CHARTS

Here are one-week charts related to the 3 volatility indexes:

BIGGEST ONE-DAY MOVES

The historical data for the VXAPL, VXIBM, and VXGOG indexes goes back to June 2010.  Here are the biggest one-day moves (up or down) for these three indexes –

VXAPL Index  www.cboe.com/VXAPL

  • 25-Jan-2012                        -33.1%
  • 25-Jul-2012                         -26.2%
  • 19-Oct-2010                        -25.7%
  • 24-Jan-2013                        -25.4%
  • 8-Aug-2011                         25.7%
  • 4-Aug-2011                         29.6%
  • 16-Mar-2011                      30.0%
  • 14-Mar-2012                      31.5%
  • 18-Aug-2011                       39.7%

VXIBM Index  www.cboe.com/VXIBM

  • 23-Jan-2013                        -40.9%
  • 4-Aug-2011                         33.0%
  • 18-Aug-2011                       41.6%

VXGOG Index   www.cboe.com/VXGOG

  • 23-Jan-2013                        -36.7%
  • 14-Oct-2011                        -31.1%
  • 18-Aug-2011                       30.1%

CONCLUSION

One could ask – as a general principle, is there more uncertainty, higher implied volatility and higher prices for options in the period just prior to an earnings announcement (vs. the period just after an earnings announcement)?  Big changes in implied volatility can have a big impact on various options strategies and the amount of options premium paid or received.  For more information about options strategies and more than 20 volatility indexes, please visit www.cboe.com/volatility

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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