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

Open Interest Case Study on Dropbox (DBX)
Aug
11
Earnings, Case Studies, puts, implied volatility, open interest

Open Interest Case Study on Dropbox (DBX)

Read Post
Matt Amberson on the PreMarket Prep Benziga Show
Aug
09
News, Backtesting, Case Studies, options, straddle

Matt Amberson on the PreMarket Prep Benziga Show

It was fun to be on Benzinga's PreMarket Prep show with Joel and Dennis today.

Read Post

We're here, if you need us.

Still curious how we can help you?




LET'S CHAT