Earnings Report April 17: Historical vs Implied Moves


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The table below shows stocks expecting to release earnings and the implied moves derived from options prices. The implied moves are compared to historical 4 qtr average moves in absolute terms.

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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.
SKX 5.5 B 18-Apr-2019 BMO ± 12.5% 19.3% -6.7%
DHR 89.8 B 18-Apr-2019 BMO ± 4.6% 2.4% +2.2%
ETFC 12.7 B 17-Apr-2019 AMC ± 4.0% 2.3% +1.7%
PM 134.0 B 18-Apr-2019 BMO ± 3.9% 5.6% -1.7%
ALLY 12.1 B 18-Apr-2019 BMO ± 4.4% 3.2% +1.2%
KMI 43.7 B 17-Apr-2019 AMC ± 2.3% 1.2% +1.0%
AXP 95.6 B 18-Apr-2019 BMO ± 2.9% 3.8% -0.9%
PPG 28.4 B 18-Apr-2019 BMO ± 3.1% 2.3% +0.8%
STI 28.4 B 18-Apr-2019 BMO ± 3.2% 2.4% +0.8%
TEAM 26.9 B 17-Apr-2019 AMC ± 9.2% 8.4% +0.8%
HON 120.6 B 18-Apr-2019 BMO ± 2.6% 1.8% +0.8%
URI 10.2 B 17-Apr-2019 AMC ± 6.5% 7.2% -0.7%
BBT 38.2 B 18-Apr-2019 BMO ± 2.0% 2.7% -0.7%
BX 43.0 B 18-Apr-2019 BMO ± 2.3% 1.6% +0.7%
CCI 51.7 B 17-Apr-2019 AMC ± 2.1% 1.5% +0.6%
LVS 53.4 B 17-Apr-2019 AMC ± 3.6% 3.0% +0.6%
SLB 65.6 B 18-Apr-2019 BMO ± 3.2% 2.7% +0.5%
KEY 17.6 B 18-Apr-2019 BMO ± 3.1% 2.8% +0.3%
CFG 16.3 B 18-Apr-2019 BMO ± 2.9% 2.5% +0.3%
SYF 23.8 B 18-Apr-2019 BMO ± 4.1% 4.3% -0.2%
UNP 123.8 B 18-Apr-2019 BMO ± 2.5% 2.5% +0.0%
AA 5.2 B 17-Apr-2019 AMC ± 5.7% 5.7% +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.

 

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