Some intresting stats

Discussion in 'Options' started by IV_Trader, Dec 21, 2005.

  1. I'm tracking % change on the day of quarterly report for almost every liquid (price>10 and daily volume > 150k) optional stock.
    For the last four years ( 13 quarters , 20000 results) , the average % change was ... absolute zero.
    Average price before report = 32.3
    Average price after report =32.2
    Even when broken to the lesser statistical unit like a single quarter , price change was within plus/minus 1% and this including Oct 01 (bear market) , Apr 03 (bull) and any quarter for the last two years (neutral)
  2. Have you looked at a histogram of the % change. An "average" makes me a bit suspicious to be honest. It would be one for the efficient market folks though.
  3. I agree, that chart may look like a camel's back.
  4. ludmil


    what's your point?earnings release is not important?
  5. ig0r


    That the volatility premium placed on options as an earnings release approaches is unwarranted/mispriced.
  6. ludmil


    if the dispersion looks like a camelback the premium is unwarented only regarding indexes
  7. If of all stocks reporting earnings say half dropped x% percent (left hump) and half jumped x% (right hump) then the average price change % will be zero in conformity with IV trader's research.

    Should his conclusion (avg. zero % change) lure one into short gamma (like a short straddle) then the only uncertainty will be which leg will kick you, left or right.

    I wasn't thinking about implvola. I am no earnings play expert, so feel free to correct me.

    Indeed a histogram (or a standard deviation) would provide some additional insight.
  8. Those stats are not IV related , just a simple average of percent change.
    BTW , some pre/after report IV stats/ratios are very accurate too.
  9. What exactly do you mean by "very accurate" ?
  10. for example , I track ABS-price-change/IV ratio and this number is not changes a lot from quarter to quarter in the last 4 years, while VIX went down from 45 to current levels.
    #10     Dec 29, 2005