Earnings Report July 29: Historical vs Expected Moves


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The following stocks are expected to release earnings. The implied moves are calculated from option prices and compared to the historical 4 qtr earnings moves for reference. Traders typically use options to capitalize on expected earnings volatility.

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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.
BYND   29-Jul-2019 AMC ± 17.9% 39.3% -21.5%
GEO 2.0 B 30-Jul-2019 BMO ± 11.1% 2.2% +8.8%
I 3.0 B 30-Jul-2019 BMO ± 13.9% 6.0% +7.9%
SLCA 773.0 M 30-Jul-2019 BMO ± 14.0% 6.3% +7.7%
ITUB 154.4 B 29-Jul-2019 AMC ± 7.7% 2.1% +5.6%
NBR 798.9 M 29-Jul-2019 AMC ± 11.0% 5.5% +5.4%
INCY 17.2 B 30-Jul-2019 BMO ± 7.0% 3.2% +3.9%
WAB 6.9 B 30-Jul-2019 BMO ± 8.3% 4.9% +3.3%
HUN 4.8 B 30-Jul-2019 BMO ± 7.5% 4.1% +3.3%
CNX 1.3 B 30-Jul-2019 BMO ± 11.8% 8.5% +3.3%
AER 7.3 B 30-Jul-2019 BMO ± 5.0% 1.8% +3.2%
AKS 784.5 M 29-Jul-2019 AMC ± 10.5% 7.4% +3.1%
RMBS 1.4 B 29-Jul-2019 AMC ± 7.5% 4.5% +3.0%
SIRI 28.7 B 30-Jul-2019 BMO ± 7.1% 4.4% +2.7%
CHGG 5.2 B 29-Jul-2019 AMC ± 12.7% 10.3% +2.4%
RL 8.7 B 30-Jul-2019 BMO ± 7.0% 4.8% +2.1%
GRUB 6.8 B 30-Jul-2019 BMO ± 12.5% 10.5% +2.0%
ZBRA 10.2 B 30-Jul-2019 BMO ± 11.3% 9.3% +2.0%
ILMN 87.0 B 29-Jul-2019 AMC ± 4.6% 6.5% -1.9%
NRZ 6.5 B 30-Jul-2019 BMO ± 3.8% 1.9% +1.9%
CMI 27.5 B 30-Jul-2019 BMO ± 3.8% 2.0% +1.8%
DHI 16.6 B 30-Jul-2019 BMO ± 5.1% 6.8% -1.7%
GLW 26.6 B 30-Jul-2019 BMO ± 5.8% 7.5% -1.7%
WCG 14.5 B 30-Jul-2019 BMO ± 4.6% 3.2% +1.5%
COP 66.4 B 30-Jul-2019 BMO ± 3.3% 1.9% +1.4%
RIG 3.4 B 29-Jul-2019 AMC ± 6.5% 5.2% +1.3%
HCA 49.7 B 30-Jul-2019 BMO ± 3.9% 5.1% -1.2%
MLM 14.0 B 30-Jul-2019 BMO ± 6.0% 5.0% +1.0%
ETN 34.5 B 30-Jul-2019 BMO ± 3.7% 2.8% +0.9%
MRK 210.2 B 30-Jul-2019 BMO ± 2.6% 1.7% +0.9%
XRX 7.9 B 30-Jul-2019 BMO ± 6.0% 5.1% +0.9%
UA 10.8 B 30-Jul-2019 BMO ± 10.1% 9.2% +0.9%
ARCC 7.8 B 30-Jul-2019 BMO ± 2.2% 3.1% -0.8%
PG 287.8 B 30-Jul-2019 BMO ± 3.5% 4.3% -0.8%
MDR 1.9 B 29-Jul-2019 AMC ± 16.2% 15.5% +0.7%
NOV 8.4 B 29-Jul-2019 AMC ± 5.2% 5.8% -0.6%
DISH 18.5 B 29-Jul-2019 AMC ± 7.7% 7.2% +0.5%
UAA 12.2 B 30-Jul-2019 BMO ± 10.2% 10.7% -0.5%
MA 288.1 B 30-Jul-2019 BMO ± 3.2% 2.8% +0.3%
NXPI 33.6 B 29-Jul-2019 AMC ± 6.6% 6.9% -0.3%
MO 93.3 B 30-Jul-2019 BMO ± 3.7% 3.4% +0.3%
LLY 105.1 B 30-Jul-2019 BMO ± 3.2% 3.0% +0.2%
NTR   29-Jul-2019 AMC ± 3.6% 3.8% -0.2%

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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