Earnings season starts two weeks after quarter-end, at either mid-January, April, July or October, and runs for six weeks. Currently, we are wrapping up week three of the October earnings season. ORATS watches the implied earnings move in a stock versus the actual move. Options prices imply an ‘earn move’, either up or down, in the price of a stock that can be quantified. Comparing the implied moves to the actual moves shows how options owners are faring and can point to patterns as we progress through earnings season.

To date with 50% of companies we track reporting, this third week in October earnings season has been very different the previous two.

Putting some numbers up for comparison:

October’s week 1 saw only 26% of companies post earnings moves greater than expected. Week 2 had only 30%. This week 3 had 38% winners.

The magnitudes of the earnings moves have been much greater than the last two weeks as well. Whereas the actual move vs the implied move during this week was 103% (a profit for owners) weeks 1 and saw returns of only 63% and 82%.

Historically, this week 3 and especially next week 4 has been much kinder to options holders with win rates at 44% and 46%, and actual moves divided by implied moves of 103% and 108%. Weeks 1 and 2 have been historically weak, and that is what we saw this season.

If history is any judge, next week should be a wild one for companies reporting earnings.

Arm yourself with this information emailed to you every trading day. Sign up and get the Earnings Season Report, Earnings Report, Earnings Results Report and Unusual Activity report everyday in your inbox for only $100 per month paid quarterly.

related posts

Get Ready For A Wild Week Of Earnings

Get Ready For A Wild Week Of Earnings

Week 4 of earnings season starts today. ORATS tracks the historical weekly price moves of firms...

Read Post
Earnings, straddle

Reuters Article On Options Signals With Matt Amberson

April Joyner's Reuters article "Options markets send cautiously bullish signal on U.S. stock rally"...

Read Post

We're here, if you need us.

Still curious how we can help you?