The table below displays stocks with upcoming earnings announcements and expected earnings moves derived from option prices. The implied earnings moves are compared to historical 4 quarter absolute average moves as a historical reference.
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Current Overestimated and Underestimated
Implied Earnings Moves Relative to 4-Qtr Historical Average
||Prior 4 Quarters Stock %Move
||Abs. Avg. Move
||Relative to 4-Qtr Avg.
The implied earnings move is interpolated from the market prices of options that have the nearest term expiration within the earnings date. The implied move is derived using the at-the-money implied volatility and is indicative of the expected magnitude of the stock price movement (which can be in either direction). For example, a 10% implied earnings move means the market expects the stock price to go up or down 10% after earnings. The implied move is compared to the actual absolute average move of the stock price from the previous 4 earnings announcements to determine if the current implied move is overestimating or underestimating the upcoming earnings move. This list only contains stocks that have at least an average daily option volume of 1000.
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The information is provided for informational purposes only and should not be construed as investment advice. All stock price information is provided and transmitted as received from independent third-party data sources. The Information should only be used as a starting point for doing additional independent research in order to allow you to form your own opinion regarding investments and trading strategies. The Company does not guarantee the accuracy, completeness or timeliness of the Information.