I am definitely looking for plays like these also. FDA decision, Mergers & Acquisitions or anything that can move a stock
That's another format. CRL & GRMN look interesting at first sight. Now I have to look for specific options. I only have the last 4 earnings moves to compute the median (via barchart). I think it's better for option buyer to use the median (vs average). Medians are going to be less or equal than averages. HV is barchart's historical volatility * SQRT(1/365) IV is the nearest expiry IV * SQRT(1/365)
I’ve been out of pocket so forgive me, but one thing I’ve been trying to do is quantify as best as possible this idea down to a formula. In that search, our friend DeepSeek tells us that high beta sectors are the ones that are more likely to have outsized surprises.
Fwiw, i woukdnt listen to one word from Zacks..You see their claims?? Call their money management arm and ask for their returns on managed money..Tell them you have 7 figures to invest
I think that what DS is saying is that stocks with higher volatility do move more on earnings than stocks with lower volatility. Percent wise it is true. Standard deviation wise ? I am not sure this is true. I would agree with the statement that 'the greater the surprise, the larger the standard deviation move.'
The question posed was : How often do stocks have a standard deviation move or greater on earnings as you’d expect, it talked about the majority of the time, stocks missing hyped IV, except in the case of high beta sectors