Apple is set to report fourth-quarter earnings after the closing bell today. The market implied probability distribution (PD) for options on the underlying with four days remaining to expiration implies an approximate +/- 15% swing in either direction around the current price of $553 with 98% certainty that shares will fall within the range of $480 to $630 a share by expiration Friday. The peak of the curve in the Jan 31 ’14 expiry options suggests shares are more likely to wind up near the current level by expiration.
Chart – PD AAPL Jan 31 '14 Expiry Options
Looking out to the Mar 21 ’14 expiry options, the PD indicates a wider range of approximately +/- 23% around the current price of $553, with a 98% chance that shares fall within the $425 to $685 range by March expiration.
Chart – PD AAPL Mar 21 '14 Expiry Options
