Earnings Report May 6: Implied Moves vs Historical Moves


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The stocks listed below are expecting to report earnings. The implied earnings moves, interpolated from options prices, are compared to historical moves.

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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.
HIIQ 409.1 M 06-May-2019 AMC ± 24.2% 9.4% +14.8%
DNR 925.5 M 07-May-2019 BMO ± 13.8% 2.4% +11.4%
LCI 335.5 M 06-May-2019 AMC ± 22.0% 12.7% +9.3%
TXMD 1.1 B 06-May-2019 AMC ± 14.1% 7.0% +7.1%
ARRY 5.1 B 07-May-2019 BMO ± 10.3% 4.6% +5.7%
DF 139.0 M 07-May-2019 BMO ± 22.1% 17.0% +5.1%
KL   07-May-2019 BMO ± 7.3% 2.3% +5.1%
RCII 1.3 B 06-May-2019 AMC ± 8.3% 3.4% +5.0%
GWPH   06-May-2019 AMC ± 9.0% 4.6% +4.4%
HTZ 1.6 B 06-May-2019 AMC ± 12.2% 16.6% -4.4%
GSKY 2.8 B 07-May-2019 BMO ± 14.0% 18.1% -4.2%
LBTYA 19.8 B 06-May-2019 AMC ± 5.9% 1.9% +4.0%
LBTYK 19.3 B 06-May-2019 AMC ± 6.1% 2.7% +3.5%
BHF 4.9 B 06-May-2019 AMC ± 8.0% 4.7% +3.3%
RNG 9.7 B 06-May-2019 AMC ± 8.0% 4.9% +3.1%
MLCO   07-May-2019 BMO ± 7.4% 4.3% +3.1%
HSIC 9.6 B 07-May-2019 BMO ± 6.8% 3.8% +2.9%
CPE 1.7 B 06-May-2019 AMC ± 9.4% 6.5% +2.9%
TRGP 9.3 B 07-May-2019 BMO ± 5.6% 3.1% +2.5%
LITE 4.9 B 07-May-2019 BMO ± 7.6% 5.3% +2.2%
RACE 25.2 B 07-May-2019 BMO ± 5.0% 7.2% -2.2%
MNK 1.3 B 07-May-2019 BMO ± 12.9% 10.9% +1.9%
REGN 36.8 B 07-May-2019 BMO ± 4.9% 3.1% +1.8%
SKT 1.7 B 06-May-2019 AMC ± 5.5% 3.8% +1.7%
MYL 14.4 B 07-May-2019 BMO ± 7.5% 9.2% -1.7%
MOS 10.3 B 06-May-2019 AMC ± 4.7% 6.3% -1.6%
CLVS 1.0 B 07-May-2019 BMO ± 14.5% 12.9% +1.6%
AGN 48.5 B 07-May-2019 BMO ± 4.0% 5.4% -1.5%
PXD 26.3 B 06-May-2019 AMC ± 4.9% 3.4% +1.5%
MNKD 286.6 M 07-May-2019 BMO ± 12.4% 11.5% +0.9%
EMR 43.7 B 07-May-2019 BMO ± 3.2% 2.4% +0.9%
CROX 2.1 B 07-May-2019 BMO ± 11.0% 11.8% -0.8%
AIG 41.0 B 06-May-2019 AMC ± 4.8% 5.4% -0.6%
BUD   07-May-2019 BMO ± 4.2% 4.8% -0.6%
SEDG 2.1 B 06-May-2019 AMC ± 10.4% 10.0% +0.4%
GLUU 1.6 B 06-May-2019 AMC ± 12.6% 12.2% +0.4%
JEC 10.7 B 07-May-2019 BMO ± 7.1% 7.5% -0.4%
ADNT 2.3 B 07-May-2019 BMO ± 14.0% 14.2% -0.2%
WBT 2.4 B 07-May-2019 BMO ± 10.9% 10.7% +0.2%
AKRX 357.9 M 07-May-2019 BMO ± 10.1% 10.3% -0.2%
SEAS 2.2 B 07-May-2019 BMO ± 8.9% 9.1% -0.1%

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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