The table below displays upcoming earnings expected moves compared to the stocks actual 4 quarter average moves in absolute terms. The expected moves are calculated from options prices near term expiration that covers the earnings dates.
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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.
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