Comparing At-the-money Options Straddle Premiums for Dow Jones Stocks
Top 5 Straddle Premiums for July 20, 2018 Options Expiration
Intl Business Machine (NYSE:IBM) tops the list with the at-the-money options premium at 4.2%, which is what the stock would have to move for the straddle to break-even at expiration. IBM is set to report earnings on July 18, 2018 After Market Close. Historically, IBM had an absolute average move of +/- 4.7% over the last 12 earnings quarters. See IBM earnings history https://marketchameleon.com/Overview/IBM/Earnings/Earnings-Dates
American Express Company (NYSE:AXP) is expected to move +/- 4.1% according to the at-the-money options in July 20, 208 expiration. AXP will report second quarter earnings on July 18, 2018 AMC. The stocks absolute returns which measures the magnitude of the moves over the last 12 quarters averaged +/- 4%. See AXP earnings history https://marketchameleon.com/Overview/AXP/Earnings/Earnings-Dates
Microsoft (NYSE:MSFT) at-the-money straddle implies a move of +/- 4%. MSFT is scheduled to report earnings on July 19, 2018 AMC. The stocks one day earnings move has averaged +/- 4% over the previous 12 quarters .
Caterpillar Inc. (NYSE:CAT) July 20, 2018 at-the-money options straddle is implying a +/- 3.7% move with earnings due after expiration on July 30, 2018. Caterpillar will go ex-dividend on July 19, 2018 for .86 cents which is a 10% increase from prior dividend.
Travelers Companies Inc. (NYSE:TRV) ATM options straddle premium is implying a +/- 3.6% move by July 20, 2018 expiration. Travelers is expected to release second quarter results on July 19, 2018 before market opens. The previous 12 quarters TRV absolute move averaged +/- 2.6%. See TRV earnings history https://marketchameleon.com/Overview/TRV/Earnings/Earnings-Dates