Saxo Bank released an analysis on October 28th stating that Apple will release its earnings report after the US stock market closes on November 2nd, and the options market expects the stock price to fluctuate by approximately 4.3% at that time. Based on the closing price of $347.10 on October 27th, at-the-money call and put options expiring on November 4th with a strike price of $347.50 total approximately $14.98, corresponding to a stock price of approximately $332-$362. In comparison, Apple's stock price has fluctuated by an average of about 2% the day after its past eight earnings reports, with six of those instances showing a decline, the largest drop being 7.4% in July of this year. The implied volatility for options expiring on November 13th has further increased to 5.2%. This means that the market has already priced in a high premium for earnings risk; if the actual volatility is less than expected, even if the stock price direction is correctly predicted, buying options may still result in a loss; only if the stock price movement is sufficient to cover the premium can the option buyer profit. Note: Option quotes are from the US stock market close on October 27th. 4.3% represents the implied volatility reflected in the option price, not the range of inevitable stock price fluctuations.
