An earnings announcement is an official public announcement by a company of its financial results for a reporting period. Earnings are reported quarterly in the US and can have a significant impact on stock prices. Earnings announcements are closely watched by investors, analysts and traders, and the pricing of options is often dramatically impacted during the period of an earnings announcement.
In the days and weeks leading up to an earnings announcement, the Implied Volatility of options for a stock will typically increase as demand for options increases. This is because many investors and traders will seek to take positions in the options market ahead of the earnings announcement, in expectation of a potential volatility event.
The increase in demand for options ahead of earnings can be measured by looking at the "options market implied move". The implied move is a metric that represents the market's expectation of how much the stock price will move around the time of the earnings announcement, based on options pricing. The implied move is typically expressed as a percentage. For example, if the options market implied move is 5%, it means that option prices are suggesting that the stock price could move up or down by approximately 5% around the time of the earnings announcement.
Traders will often compare the current implied move to historical moves around previous earnings to help gauge whether the current implied move is high or low relative to the past. On Market Chameleon, you can view both the current options market implied move and the history of moves around past earnings, for each stock with listed options.
Traders often time their options strategies to take advantage of the typically higher options pricing ahead of earnings, or to take advantage of the dramatic drop in options Implied Volatility that can occur once the earnings "uncertainty event" has passed (this is often referred to as an "IV crush" following earnings).