You hear people say "The options imply that XYZ is going to move 10% tomorrow when earnings are released." How do they calculate this? I do remember hearing something along the lines that they take the ATM prices to calculate it. Let's use AA for its earnings tomorrow: (All prices as of Tuesday after market close) Stock Price: $9.41 ATM Call Price: $.39 ATM Put Price: $.97 You add these together: .39+.97=1.36 You divide it by the current stock price: 1.36/9.41=.145 This gives you the possible movement of : 14.5% Is this right? I could be completely wrong. Let me know.