Record 1-Day Drops for VXIBM (Down 40.9%) and VXGOG (Down 36.7%)

This week on January 22rd, the IBM and Google corporations made earnings announcements after the close of regular stock trading.

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

  • 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

In addition, the CBOE Equity VIX® on Apple (VXAPL) has had big one-day drops after earnings announcements – VXAPL fell 25.4% on Thursday, Jan. 24th (and VXAPL had a record one-day fall of 33.1% a year ago on Jan. 25, 2012) www.cboe.com/VXAPL

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

BIGGEST ONE-DAY MOVES

The historical data for the VXIBM and VXGOG indexes goes back to June 2010.

Here are the biggest one-day moves (up or down more than 30%) for these indexes –

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%

ONE-WEEK CHARTS

Here are one-week charts related to VXGOG and VXIBM:

VXGOG on Jan 24.JPG

VXIBM Jan 24.JPG