ORATS earn move report showed that the straddle for SYMC going into earnings was 50% higher than the historical average over the past 12 quarters.
ORATS has a method for isolating the straddle price that relates only to the earnings announcement. To do this we project an earnings move distribution and the implied volatility change from before earnings to after earnings. Isolating the straddle allows for better comparisons to historical earnings straddles especially when the days to expiration or implied volatility are different.
ORATS also has a signal that has performed well over earnings season. We will publish a summary after the earnings season is over.