(Bloomberg) -- Options show that Apple Inc., the largest U.S. public company by market , is not immune from volatility surrounding its fourth quarter earnings report scheduled for Thursday afternoon. The current at-the-money straddle is expecting a move of about 5.2 percent in the shares versus an average of 3.8 percent over the last eight quarterly reports.
Apple was the best-performing stock among the megacap FAANG names through the October swoon, only dropping 3.1 percent while the simple average return of the other four stocks was a loss of 14 percent.
Only eight percent of total open interest is scheduled to expire on Friday with calls outweighing puts by about 15 percent. With the stock trading around $219, the most widely held contracts split between the $220 calls and the $200 puts. Implied volatility has jumped to about 105, more than 4 times its 90-day average of 25, suggesting that shares of the iPhone maker will have a wider move than seen over the past two years.
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