Earnings season is kicking off with many banks reporting next week.

Discussion in 'Wall St. News' started by Matt_ORATS, Jul 9, 2020.

  1. Matt_ORATS

    Matt_ORATS Sponsor

    Wells Fargo's implied move is 1.3% more than its normal move. Goldman is 1.1% more, First Republic 0.9%.

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    ORATS calculates the expected earnings move in stocks based on options prices.

    We calculate the move by adding the at-the-money call and put (the straddle) and subtract the expected value of the straddle after earnings announcement.

    The expected straddle price after expiration is the weighted average of the possible stock prices times the value of the straddle premium at each price. The possible stock prices, the post earnings distribution, are based on observations of thousands of stock price moves at earnings. The value of the straddle is also dependent on the post earnings implied volatility. ORATS has methods to determine what the IV may fall to after expiration.

    Message me if you want this report daily.
     
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