8 S&P 500 stocks have reported their most recent earnings in the last two weeks. 63% of those stocks reporting had positive price reactions, while 38% were negative. The average return for all stocks was +1.0%.6 of the stocks reporting beat their EPS estimates for this quarter, while 2 fell short.
Earnings typically has a big effect on the opening gap, which is the percentage change from the close before earnings to the opening price immediately after. 3 of the stocks reporting had positive opening gaps, for an average jump of +3.5%. Only 1 had a negative opening gap, and its drop was -5.0%.
Option Straddle Returns
We measure option straddle
returns, as buying a straddle is a way to bet on a big volatility move (in either direction) around earnings. Over this period, 75%
of the stocks had straddles that gained value, while 25%
Upcoming Next 2 Weeks
220 S&P 500 stocks are currently scheduled to report earnings in the next two weeks. 196 of those stocks have options priced with implied moves greater than the average of the last four quarters, while 24 are implying lesser moves.
Stock and option trading involves risk may not be suitable for all investors. Examples contained within this newsletter are simulated and may have limitations. Average returns and occurrences are calculated from snapshots of market mid-point prices and were not actually executed, so they do not reflect actual trades, fees, or execution costs. This newsletter is for informational purposes only, and is not intended to be a recommendation to buy or sell any security. Neither MarketChameleon nor any other party makes warranties regarding results from its usage. Past performance does not guarantee future results. Please consult a financial advisor before executing any trades.
Note: selling options can result in losses of greater than 100%. Average returns from selling options is calculated based on net change in value against the initial theoretical option value. Prior to buying or selling an option, you should read the Options Clearing Corporation's Characteristics and Risks of Options