%Call OI has no predictive power %Call Vol isn't significant %Call Skew isn't significant %Move vs % Median Moves StDev Move (Outcome) vs HV isn't significant StDev Move (Outcome) vs IV isn't significant Stdev Move (Outcome) vs IV/HV isn't significant Stdev Move (Outcome) vs Median Abs Earnings Moves kinda neg correlated Same for Median Abs Earnings Moves / IV That's it ...
Most Significant Relationship are these This is (median abs earnings moves) / IV Not much data tough. The logic here is the smaller the past moves and the higher the IV the more likely to catch a multiple standard deviation move (IV wise). Which is the exact opposite of what I thought There are about 60 names reporting overnight. I’ll try to keep track of them as well.
Not surprised. GRAB is all over fintweet. At the bottom CVNA was all over r/WSB GRAB P/C vol is currently 0.5 Might give it a call Ye bought 5 GRAB FEB21 '25 6$ Call @ 0.2 Now pray for a +30% move lol
Running out of luck GRAB down 10% Less than IV (13%) that’s what bother me. I also have 1 SWTX call. Hope to make some losses back with it.
Out of 62 earnings, the average StDev move is 1.16. I can't find any meaningful relationships. I think I am going to stop here I think the best way to hit multiple StDev moves (IV wise) is to profit from longer trends.