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.
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.
This earnings season, use the Option Scanner to quickly filter thousands of trades and find the best one for your strategy.
The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade.