So with the news of the Nasdaq cutting Apple’s (NASDAQ: AAPL) weight in the Nasdaq 100 index from over 20% to over 12%, AAPL has taken a little hit this morning. Given that it’s on top of recent relative weakness, one always has to wonder whether options trading markets anticipated the news a bit.
It does not appear that way to my naked eye.
Implied volatility (IV) on AAPL has ticked up a bit lately, as you can see on this chart that covers the past 3 months.
All we’re talking though is a lift from 27 to 30 IV in a week. At the same time, AAPL stock dropped from 355 to 340. That nudge up in options pricing is … dare I say it … entirely normal.
Also, we would expect any “frontrunning” to manifest itself in excess put volume. That’s not really the case here. The AAPL APR Weekly 345 Calls traded over 21,000 contracts yesterday, vs. 4571 in the AAPL APR Weekly 345 Puts. The AAPL Apr Weekly 350 Calls changed hands 11,677 times. On the flip side, 8133 Weekly 340 puts traded, as did 11,313 of the 335 puts and 8477 of the 330 puts.
Pretty similar picture in regular April expiration options. Lots of puts traded, but AAPL April 350 Calls saw the biggest volume on the board
So the best (worst) you can say is that near money call interest exceeded near money put interest. And remember, AAPL stock had a tough day, so we anticipate more put interest than call interest.
Now AAPL routinely prints options by the bushel, so a bunny with a good nose could cover his tracks pretty well. So no way to prove that didn’t happen in a small way. But there’s no evidence anyone really got wind of this news and front ran some speculative plays with it.
Follow Adam Warner on Twitter @agwarner.