Earnings Report April 15: Implied Moves vs Historical

Share on Facebook
Share on Google+
Share on LinkedIn

The table below shows upcoming earnings with implied moves according to the options prices. The implied earnings moves are compared to historical averages.

To receive a free daily earnings Newsletter sign up here

Current Overestimated and Underestimated

Implied Earnings Moves Relative to 4-Qtr Historical Average

Info Upcoming Earnings Prior 4 Quarters Stock %Move
Symbol Mkt Cap Date Implied Move Abs. Avg. Move Relative to 4-Qtr Avg.
FHN 4.8 B 16-Apr-2019 BMO ± 4.2% 2.3% +1.9%
UNH 214.7 B 16-Apr-2019 BMO ± 4.7% 3.6% +1.1%
JNJ 364.7 B 16-Apr-2019 BMO ± 3.0% 2.0% +1.0%
OMC 17.1 B 16-Apr-2019 BMO ± 3.6% 4.5% -0.9%
CMA 13.0 B 16-Apr-2019 BMO ± 3.3% 2.7% +0.6%
BAC 296.1 B 16-Apr-2019 BMO ± 3.9% 3.4% +0.4%
BLK 72.1 B 16-Apr-2019 BMO ± 2.7% 2.4% +0.3%
PGR 42.3 B 16-Apr-2019 BMO ± 3.2% 3.2% +0.0%

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.

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.
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.