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Optionslam.com EVR: Earnings Volatility Rating
To quantify how volatile a stock behaves after its earnings announcement we assign each stock an EARNINGS VOLATILITY RATING (EVR).
EVR ratings range from zero through ten with ten being the highest or most volatile.
EVR is a weighted average which accurately assesses how sensitive an individual stock is to its earnings announcement.
The key measurement of volatility which is used is the ‘max one day’ movement.
Max Move is the largest price change in absolute terms from pre-ER close during the first trading day post ER.
The formula takes into consideration the data from the most recent three years of quarterly earnings announcements.
Out of those twelve quarterly earnings reports our formula gives more weight to the most recent quarters and sequentially less weight to quarters’ further back in time, thereby producing a weighted average we call the EVR.
* Important Note: An EVR with an asterisk (*) designates a stock that has a special situation which requires an EVR formula modification.
Since the EVR formula goes back twelve Earnings, Events those stocks with less history must use a modified EVR formula.
The modified EVR* formula calculates the average of actual earnings results and fills in the missing earlier quarters with that average at the appropriate weighting given its location in the time scale.
Hence one should expect that EVR* calculations are less credible than regular EVR.
Rating Update frequency:
EVR is updated for each stock after each earnings announcement. We have also kept historical EVR for each of the past earnings.
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