With only 12% of firms left to report, we can start making statements about the overall earnings season that started mid-July and continues to the end of this month.

It has been an incredible earnings season especially the big moves in stocks after announcing versus the expected moves as implied from the straddle prices. This earnings season has had the highest ratio of the actual earn move to implied earn move, 104% and the only year over 100%. The average of each quarterly earnings season ratio is 85%.

The table below shows this quarter's stats and the table below shows the average stats back three years.

null

 

Week 3, the week before last, was the highest on record at 120%. Last week, Week 4 was high versus the average at 98% actual/implied earn move.

Last weeks large movers to implied movers were led by Green Dot, down 42% over 5 times the move that was expected, Nektar, DXC, Wright Medical, International Flavors, and New Relic, all down at least three times what was expected. Insulet Corporation and YPF posted stock gains in a large way compared to what was implied.

 

null

 

Upcoming earnings for this week similarly have muted expectations vs historical averages. Have straddle sellers not learned?

null

More reading here:

https://blog.orats.com/the-wildest-earnings-week-on-record

Sign up and get these reports in your inbox: https://info.orats.com/earnings

 

 

 

related posts

Is Selling Options Still Worth The Risk? IPS Strategic Capital Cites ORATS Backtesting Data
Oct
08
Volatility, Backtesting, straddle, spx

Is Selling Options Still Worth The Risk? IPS Strategic Capital Cites ORATS Backtesting Data

"Selling premium is alive and well and money continues to pour into these strategies, which...

Read Post
Finding The At-The-Money Strike Given Ticker and Trade Date
Sep
17
Data, options quotes, data api, straddle

Finding The At-The-Money Strike Given Ticker and Trade Date

We had a question today, "Can I get the nearest ATM strike for a given ticker and tradeDate?"

Read Post

We're here, if you need us.

Still curious how we can help you?




LET'S CHAT