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Earnings

Thursday, April 16th 2020

Reuters Article On Options Signals With Matt Amberson

Earnings announcements should move the market and the most volatile weeks are three, four and five of earnings season. Implied earnings moves come from options straddle prices.

Summary

According to a Reuters article featuring Matt Amberson from ORATS, the first-quarter earnings season could increase market turbulence, especially when smaller, more volatile companies report results. The ORATS Earnings Season report shows that the most profitable weeks for options owners on the move after earnings announcement are weeks three, four, and five of the 6-week earnings season. Implied earnings moves come from options straddle prices, and most companies' implied earnings moves are elevated versus past earnings actual moves, which should add fuel to the volatility fire experienced by the market recently.

April Joyner's Reuters article "Options markets send cautiously bullish signal on U.S. stock rally" featuring Matt Amberson from ORATS came out today. Matt Amberson is quoted:

The perspective on upcoming volatility from earnings is based on the ORATS Earnings Season report. The profitability of options owners on the move after earnings announcement, when the earnings moves are greater than expected, is greatest in weeks three, four and five of the 6-week earnings season.

Already, the earnings moves are greater than the options market elevated expectations for week-one companies, with actual moves coming in at 114% of implied.

Most companies' implied earnings moves, that are derived from the options straddle prices, are elevated versus past earnings actual moves. Below, for example, 5 of 7 companies that report today have straddle implied moves greater than past. Abbot (ABT) implied move of $3.65 is almost double its past move average of $1.92.

 

The earnings moves from these and many more companies to come should add fuel to the volatility fire experienced by the market recently.

 

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The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see our disclaimer.
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