Earnings Report July 31: Overestimated vs Underestimated Moves


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The following stocks have upcoming earnings release. The implied earnings move is calculated from the options prices and compared to the historical 4 qtr average moves. Traders use options to create strategies around 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.
GLYC 396.8 M 01-Aug-2019 BMO ± 33.7% 3.0% +30.7%
ESV 1.6 B 01-Aug-2019 BMO ± 20.1% 3.3% +16.8%
AR 1.4 B 31-Jul-2019 AMC ± 12.5% 2.5% +10.0%
TWLO 17.3 B 31-Jul-2019 AMC ± 8.8% 16.9% -8.1%
PENN 2.3 B 01-Aug-2019 BMO ± 10.0% 2.9% +7.1%
PBF 3.4 B 01-Aug-2019 BMO ± 8.9% 2.2% +6.7%
CLVS 588.4 M 01-Aug-2019 BMO ± 16.8% 11.2% +5.6%
ZNGA 6.5 B 31-Jul-2019 AMC ± 9.3% 4.2% +5.2%
TDOC 5.0 B 31-Jul-2019 AMC ± 9.8% 4.6% +5.1%
MAC 4.7 B 01-Aug-2019 BMO ± 6.7% 2.3% +4.4%
SUM 2.1 B 01-Aug-2019 BMO ± 10.7% 6.4% +4.4%
DLPH 1.7 B 01-Aug-2019 BMO ± 12.1% 7.8% +4.2%
AYX 7.4 B 31-Jul-2019 AMC ± 11.4% 7.3% +4.1%
ABMD 12.6 B 01-Aug-2019 BMO ± 11.1% 7.3% +3.8%
WRK 9.5 B 01-Aug-2019 BMO ± 6.1% 2.5% +3.6%
AKRX 462.1 M 01-Aug-2019 BMO ± 6.7% 10.0% -3.4%
SFM 2.0 B 01-Aug-2019 BMO ± 8.6% 5.4% +3.2%
KGC 4.9 B 31-Jul-2019 AMC ± 5.0% 1.9% +3.1%
EXC 44.7 B 01-Aug-2019 BMO ± 3.7% 0.8% +3.0%
CNQ 27.8 B 01-Aug-2019 BMO ± 5.5% 2.6% +2.9%
CXO 19.6 B 31-Jul-2019 AMC ± 6.9% 4.0% +2.9%
HBI 5.7 B 01-Aug-2019 BMO ± 9.8% 12.5% -2.7%
KTOS 2.6 B 31-Jul-2019 AMC ± 10.4% 7.9% +2.5%
IRM 8.6 B 01-Aug-2019 BMO ± 6.1% 3.7% +2.4%
MPLX 23.7 B 01-Aug-2019 BMO ± 4.8% 2.4% +2.4%
LRCX 31.7 B 31-Jul-2019 AMC ± 5.1% 7.3% -2.1%
MCK 27.3 B 31-Jul-2019 AMC ± 4.6% 2.6% +2.0%
APA 9.0 B 31-Jul-2019 AMC ± 5.0% 3.1% +2.0%
WDC 16.5 B 31-Jul-2019 AMC ± 6.7% 8.7% -1.9%
AVP 1.8 B 01-Aug-2019 BMO ± 5.9% 7.8% -1.8%
VRTX 84.5 B 31-Jul-2019 AMC ± 3.4% 1.7% +1.7%
NGD 748.9 M 01-Aug-2019 BMO ± 16.1% 14.3% +1.7%
PRU 41.9 B 31-Jul-2019 AMC ± 4.4% 2.7% +1.7%
IGT 2.8 B 01-Aug-2019 BMO ± 11.1% 9.5% +1.6%
CLX 21.0 B 01-Aug-2019 BMO ± 3.9% 5.5% -1.6%
OLN 3.4 B 31-Jul-2019 AMC ± 4.6% 3.1% +1.5%
BLL 24.3 B 01-Aug-2019 BMO ± 4.9% 3.4% +1.4%
MMP 15.0 B 01-Aug-2019 BMO ± 3.0% 1.5% +1.4%
YETI 2.9 B 01-Aug-2019 BMO ± 12.7% 14.1% -1.4%
DXCM 14.2 B 31-Jul-2019 AMC ± 10.5% 11.8% -1.3%
CRUS 2.9 B 31-Jul-2019 AMC ± 5.9% 4.7% +1.2%
CI 65.4 B 01-Aug-2019 BMO ± 3.6% 2.4% +1.2%
ICE 49.5 B 01-Aug-2019 BMO ± 3.7% 2.5% +1.2%
CROX 1.7 B 01-Aug-2019 BMO ± 12.5% 11.3% +1.2%
OXY 39.3 B 31-Jul-2019 AMC ± 3.8% 2.7% +1.2%
YUM 34.7 B 01-Aug-2019 BMO ± 3.2% 2.1% +1.1%
WLL 1.6 B 31-Jul-2019 AMC ± 8.5% 9.5% -1.0%
K 20.1 B 01-Aug-2019 BMO ± 5.6% 4.6% +1.0%
ACAD 3.6 B 31-Jul-2019 AMC ± 7.3% 6.4% +1.0%
W 12.1 B 01-Aug-2019 BMO ± 13.0% 13.8% -0.8%
FIT 1.1 B 31-Jul-2019 AMC ± 13.0% 13.8% -0.8%
EXEL 6.4 B 31-Jul-2019 AMC ± 8.7% 7.9% +0.8%
NLY 13.5 B 31-Jul-2019 AMC ± 1.9% 1.2% +0.7%
GM 57.3 B 01-Aug-2019 BMO ± 3.8% 4.5% -0.7%
CTSH 37.6 B 31-Jul-2019 AMC ± 5.8% 6.5% -0.7%
QCOM 90.9 B 31-Jul-2019 AMC ± 4.9% 4.3% +0.6%
WELL 32.4 B 31-Jul-2019 AMC ± 3.5% 3.1% +0.5%
HFC 8.6 B 01-Aug-2019 BMO ± 4.4% 4.8% -0.4%
ABC 18.6 B 01-Aug-2019 BMO ± 4.6% 4.2% +0.3%
VZ 234.2 B 01-Aug-2019 BMO ± 2.5% 2.7% -0.3%
ADM 22.9 B 01-Aug-2019 BMO ± 3.1% 2.8% +0.3%
CF 11.0 B 31-Jul-2019 AMC ± 4.6% 4.8% -0.2%
TIVO 958.5 M 31-Jul-2019 AMC ± 10.7% 10.9% -0.2%
SHOP 25.3 B 01-Aug-2019 BMO ± 7.2% 7.0% +0.2%
WMB 30.3 B 31-Jul-2019 AMC ± 2.8% 2.8% -0.1%
MPC 38.4 B 01-Aug-2019 BMO ± 5.0% 5.0% +0.0%
MET 47.9 B 31-Jul-2019 AMC ± 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.

 

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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.