Monday, August 12th 2019
An Incredible Earnings Season Draws to a Close
ORATS tracks the actual vs implied moves, and the percentage owning the straddle was a winner. This has been a historic earnings season.
With only 12% of firms left to report, this earnings season has had the highest ratio of actual earn move to implied earn move at 104%, compared to the quarterly average of 85%. Last week saw large movers such as Green Dot, Nektar, DXC, Wright Medical, International Flavors, and New Relic, all down at least three times what was expected. Upcoming earnings for this week have muted expectations compared to historical averages.
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.
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.
Upcoming earnings for this week similarly have muted expectations vs historical averages. Have straddle sellers not learned?
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