Not completely over yet, but so far, a very interesting result... I have a universe of about 200 stocks. For years, the Implied Straddle to ABS after report move was very steady (universe aggregates): Implied Straddle = 7.6% After Report 1-day binary move = 7.2 THIS qtr: Implied Straddle = 7.6% After Report 1-day binary move = 5.2 (!!!) So why the stocks are not moving as usual after announcement? I can't think of any other reasons but lack of guidance for many companies. Clearly, going short into report was a big winning strategy.
There has been a lot of lowering price targets and a general sense that the economy and consumer are slowing down.
I don’t know how you calculate the implied move but could you be mispricing the implied move because of macro factors (like spx vrp). you would think lack of guidance would increase vol but maybe that’s overall vol and not specifically earnings day vol.
I did track earnings IV last season. What I would do is check the ticker's IV just before earnings / sqrt(365) and I would track the absolute %move for the day. The median of absolute realized volatility was slightly lower (0.9) than the median of implied volatility but that's normal. The median was more accurate than the average. That's why I asked.
true, but NOT in the season. Vols (SPX, etc) hit the pick on 4/8, and then crashed almost every day. By the time my candidates started to report around third week of April, their implied were in line wrt historical levels. Is it actual after report move that was so unusually weak this time (no guidance, imo)
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