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Earnings Tools:     Earnings Calendar     |     Upcoming Earnings     |     Earnings History     |     Implied Move     |     Historical Straddles
Historical Straddles
 

To estimate how much price might move at an upcoming earnings event OptionSlam.com uses the ATM straddle cost. We do this based upon the concept that supply and demand of option contracts anticipates the future value of stock price. In a long straddle (buying the ATM put and call) only one side can win. For the trade to be profitable the value of the winning side must exceed the losses of the other. Assuming market supply and demand have priced the options perfectly the implied move then becomes the cost of the straddle leaving the trader to break even less commissions and slippage.
It is uncanny how well this concept of 'forward volatility'. is so accurate over such a majority of instances. Use the OptionSlam Historical Straddles tool to dial in on a set of stocks to analyze. From your list of stocks you can begin to compare current implied move to past quarters implied move. The trader can quickly get a sense whether options are over or under priced as compared to historical events. You might choose to compare current implied move to recent quarters of earnings announcements or an average of many. Or try a comparison of the current upcoming earnings cycle to the same quarter last year. You might also look at the cost of the straddle compared to the historical earnings movements.
For more information regarding this tool and the concepts behind it please go to our help pages. (also see Implied Price Move tool)


 
Month
% %
Note: You need to be an Insider Member to Customize This Tool.

 
The Following statistics are for stocks reporting earnings during the expiration cycle ended May 18, 2013
Symbol EVR Earnings Date Position Before Earnings At Market Open At Market Close
Price Call Put Total Cost Price Call Put Total Return Price Call Put Total Return

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A 2.0 May 14, 2013 AC @$44.00 $43.97 $0.83 $1.13 $1.96 4.46% $44.90 $1.22 $0.15 $1.37 -30.1% $45.68 $1.48 $0.05 $1.53 -21.93%
AAPL 2.1 April 23, 2013 AC @$410.00 $406.13 $16.70 $21.05 $37.74 9.2% $393.54 $7.80 $17.39 $25.19 -33.25% $405.46 $10.19 $13.55 $23.74 -37.09%
AAWW 3.8 May 2, 2013 BO @$37.50 $37.50 $1.45 $1.40 $2.85 7.6% $40.47 $1.70 $0.05 $1.75 -38.59% $40.19 $2.85 $0.15 $3.00 5.26%
ABAX 4.1 April 25, 2013 AC @$45.00 $44.59 $1.84 $2.20 $4.04 8.98% $42.85 $0.20 $1.95 $2.15 -46.78% $41.34 $0.05 $3.50 $3.55 -12.12%
ABC 1.5 April 25, 2013 BO @$55.00 $55.82 $1.85 $1.09 $2.94 5.35% $55.82 $0.75 $1.20 $1.95 -33.67% $53.41 $0.30 $1.85 $2.15 -26.87%
 


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