Apple WWDC Price Prediction Options Project

About this project

AAPL WWDC 2026 — Event-Day Volatility Arbitrage A quantitative options strategy built around Apple's annual WWDC keynote (June 8, 2026). The core idea is implied vs realised volatility arbitrage — options markets have historically overpriced AAPL's expected 1-day move on keynote day, creating a structural edge for volatility sellers. By collecting 11 years of WWDC event-day returns (2015–2025), comparing them against the ATM straddle implied move, and backtesting a short straddle strategy, we quantify that edge and size it using the Kelly Criterion. Quant concepts used: implied volatility, realised volatility, volatility risk premium, ATM straddle pricing (call + put ÷ spot), 1-day IV derivation (annual IV ÷ √252), Shapiro-Wilk normality testing, skewness and kurtosis analysis, Kelly Criterion position sizing (½ Kelly for safety), short straddle and iron condor payoff mechanics, Sharpe ratio, and max drawdown. Libraries: yfinance (data), pandas + numpy (analysis), scipy.stats (distribution testing), matplotlib + matplotlib.animation (static and animated charts), pillow + ffmpeg (GIF and MP4 export).