: Apple stock options priced for a $7 move after earnings, slightly more than the average over the past 3 years

A stock options strategy known as a straddle is priced for Apple Inc.’s stock AAPL to move $7.02 in either direction on Friday after the technology behemoth reports fiscal second-quarter results, according to data provided by Matt Amberson, principal at Option Research & Technology Services. That’s a little more than the average, one-day post-earnings move of $6.68 over the past 12 quarters, Amberson said. A straddle is a volatility play, not directional, that involves the simultaneous purchase of bullish call option and bearish put options with the same at-the-money strike prices, or current prices, and the same expiration dates. Apple reports quarterly results after Thursday’s close. For a buyer of the straddle to make money, Apple’s stock would have to more more than $7.02, or 4.2%, in either direction on Friday. The straddle’s pricing is based on 30-day implied volatility for Apple’s stock of 30.3%, which compares historical volatility over the past 90 days of 26.1%, and the CBOE Volatility Index VIX at 20.03. The VIX tracks the S&P 500’s 30-day implied volatility.

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