Re:Apple slips below $600 in first trading day after exec sh...
by JumpCrisscross on Wednesday October 31, 2012 @01:26PM
(#4724025)
The S&P 500, at time of writing, is down 0.26%. AAPL has a coefficient of expected co-movement with the market (ß) of 1.22. Thus, the expected co-movement of AAPL to the market is -0.32%. AAPL is down 1.8%. The remainder would be attributable, given no more information, to non-systemic factors.
AAPL currently has an implied volatility of 28.93%. The odds, quick-and-dirty Gaussian [1], of today's return happening by chance is less than 1%.
>"Apple's movement over the past three months has been an exaggerated version of the NASDAQ or the Dow"
Over the past three months (60 trading days) the historic ß has been 1.26. This would make the systemic portion of today's return -0.33%. Curiously, the historic ß for the past year (250 trading days) has been 0.94.
[1] Using a non-Gaussian alpha-stable or asymmetric generalised hyperbolic distro still implies this being a significant event not attributable to market noise (though there is some shadiness happening in the markets today with system's coming online after a non-standard detachment, e.g. KNX declaring self-help)
AAPL currently has an implied volatility of 28.93%. The odds, quick-and-dirty Gaussian [1], of today's return happening by chance is less than 1%.
>"Apple's movement over the past three months has been an exaggerated version of the NASDAQ or the Dow"
Over the past three months (60 trading days) the historic ß has been 1.26. This would make the systemic portion of today's return -0.33%. Curiously, the historic ß for the past year (250 trading days) has been 0.94.
[1] Using a non-Gaussian alpha-stable or asymmetric generalised hyperbolic distro still implies this being a significant event not attributable to market noise (though there is some shadiness happening in the markets today with system's coming online after a non-standard detachment, e.g. KNX declaring self-help)