Earnings moves expected vs historical. What are the best predictors?
- Historical average earnings moves from the last 12 quarters.
- Historical projected earnings moves from the options straddle prices.
- Expected move this earnings based on options prices.
Using a proprietary method learned from trading earnings stocks since the mid 90s, ORATS extricates that part of the options premium associated with only the day affected by the earnings announcement. It would be easy if there were only ever one day left to expiration, but that is not the real world. Often there are many days to expiration and the trick is to predict what the distribution of earnings moves is, what the implied volatility will fall to, and what the premium is currently in the market. Armed with that knowledge, the market's predicted move for the stock can be uncovered.
ORATS Earnings Report for Upcoming Earnings
The daily Earnings Move report shows all the upcoming firms to announce earnings, the straddle price estimate for the stock price move after earnings in dollars, the past earnings moves, and implied and historical volatility calculations.
The ORATS Earnings Move Results shows the actual moves vs expectations but also where the implied volatility has fallen to vs expectation, forecasts and historical volatility.
Earnings Season Report
Earnings season starts a couple of weeks after quarter-end, at either mid-January, April, July or October, and runs for about 6 weeks. Each week during earnings season, ORATS publishes earnings statistics. ORATS also tracks earnings seasons weekly average results for a rolling three year period to establish comparable results for each week of earnings.
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