Tomi Kilgore, MarketWatch's deputy investing and corporate news editor @TomiKilgore, quoted ORATS Matt Amberson in his recent article on GameStop's implied earnings move.
GameStop (GME) had an implied earnings move of $21.01 or about 12.1% vs a historical average move of $25.78. The actual move in the stock was only -6.5% when the observation was made mid-day today.
ORATS publishes earn move reports daily. The straddle earnings move takes the straddle price, extracts the probable residual value of the straddle after earnings, and publishes that part of the straddle that shows the expected move after the earnings announcement.
Earn Move Report
Earn Move Results