The following table lists upcoming expected earnings moves compared to historical average moves for the last 4 earnings quarters in absolute terms. Option traders will use option straddles to position themselves for an earnings move in either direction as a hedge or a bet on the magnitude of an earnings move. The option straddle implies the markets predicted 1 standard deviation move up or down by expiration.
To receive a free daily earnings Newsletter sign up here
Current Overestimated and Underestimated
Implied Earnings Moves Relative to 4-Qtr Historical Average
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.
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.