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Sign Up For The Premium Earnings Report

Posted by ORATS Team on 4/10/18 5:41 PM

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The Premium Earnings report comes out weekly with SIGNALS for the stocks that meet the filters and indicating an expected outperform or underperform on the expected move implied by the Adjusted Straddle Price.

You can download the results from last season's earnings HERE.

You can download a sample report from this season's earnings HERE.

The ORATS Earnings Report Premium version utilizes sophisticated measures to identify stocks set to move more or less than predicted by the straddle price.

The premium version selection criteria were updated midway through the last earnings season. The results are partially on stocks where we knew the outcome and partially on stocks where the results were not yet out. The results were consistent after the criteria were set.

As seen in the results output from the download above, there were 50 buy signals and 62 sell signals out of 764 total stocks covered in the ORATS filters. In other words, 15% of the stocks had signals.

Buy signals were correct 48% of the time with a net return of 0.7%. Sell signals were correct 74% of the time with a net return of 1.8%. The net return is the actual move minus the Adjusted Straddle Price divided by the stock price. For example, AAL had an actual move after earnings announcement of $1.74 and Adjusted Straddle Price of $2.56. The sell signal produced a correct signal in the amount of $0.82 divided by the stock price of $54.79 or 1.5%.

Note that we capped large moves at 5% to avoid having the outliers influencing the results too greatly. For example, ABBV had a buy signal that was correct and the 11% net outperform Move-Straddle% was reduced to 5% to determine the overall buy average return.

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ORATS Team

Written by ORATS Team

ORATS is a premier options analytics vendor committed to uncovering untapped alpha-generating solutions. ORATS utilizes an advanced, proprietary volatility analysis to produce implied, forecast, and historical volatilities that have been proven to be more accurate market summarizations than those obtained from most commonly available sources.

Topics: Earnings

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