Our Research
A rigorous assessment of stock price moves after earnings releases.
ORATS provides daily emailed reports of implied vs actual earnings moves, earnings moves results, earnings season summaries, and unusual volume tickers. Here's what we report:
Implied Earnings Moves
Our implied earnings moves are based on adjusted options straddles, where we apply a proprietary technique of isolating and normalizing straddle premiums based on implied volatility calculations. We compare these moves to the average moves over the past twelve quarters.
Earnings Moves Results
We compare the actual move in the stock after the just received earnings announcement for all reporting stocks.
Earnings Season Reports
We show the implied earnings moves, past moves, and actual moves averages broken out by each of the six weeks where companies report.
Unusual Volume Report
We show the top stocks in terms of the ratio of the options volume to the average options volume over the past 20 days. We point out the top three volume options, implied volatilities, and when the open interest increased in that particular option.
Implied Earnings Moves
Our implied earnings moves are based on adjusted options straddles, where we apply a proprietary technique of isolating and normalizing straddle premiums based on implied volatility calculations. We compare these moves to the average moves over the past twelve quarters.
Earnings Moves Results
We compare the actual move in the stock after the just received earnings announcement for all reporting stocks.
Earnings Season Reports
We show the implied earnings moves, past moves, and actual moves averages broken out by each of the six weeks where companies report.
Unusual Volume Report
We show the top stocks in terms of the ratio of the options volume to the average options volume over the past 20 days. We point out the top three volume options, implied volatilities, and when the open interest increased in that particular option.
Adjusted Straddles
Learn how we isolate and normalize straddle prices.
Our proprietary method allows us to accurately compare historical straddle prices to stock moves at earnings, giving us a huge advantage in uncovering the market’s true predicted move.
Sample Reports
Explore and download sample reports.
Implied Earnings Moves
Earnings Moves Results
Earnings Season Reports
Unusual Volume Report
