HELP - Earnings Volatility Filter

Description

Some stocks can move violently after their Earnings Announcement and others not so much. Each stock develops its own personality that way. OptionSlam's EVR is a unique weighted formula to rate stocks historical volatility immediately following their Earnings announcement. EVRs range from zero to ten with ten being the most volatile. This page provides an opportunity for the trader to identify a list of stocks that move within a prescribed volatility range immediately following an earnings announcement. Use this tool to dial in on a set of stocks whose EVR fits with your personal trading style.

How to Access

STOCK INFO>VOLATILITY FILTER

Search criteria fields

Market

Minimum Average Daily Volume




Tracking Past Movements After Earnings Announcement

Max One Day Move

Max Move Through Expiration




Tracking Past Movements Based on Options Expiration Cycles

Max Move Through Expiration

Final Move Through Expiration

Column Headings

• SYMBOL

  This is the stock symbol also known as the ‘Ticker’ or ‘Ticker Symbol’.

• EVR

  This is the current Earnings Volatility Rating of the stock. OptionSlam has developed the EVR rating system which measures each stocks reaction to its earnings announcement. Stocks rated with a lower EVR such as less than 2.0 tend to not move a great deal after an earnings announcement. While a stock with an EVR over 5.0 for example tends to be more volatile after an earnings announcement with relatively large price swings. Please read here for more information about the EVR.

• MARKET

  The exchange or ‘market’ at which this stock trades. OptionSlam follows stocks that trade on the three major markets in the United States: New York Stock Exchange (NYSE), Nasdaq, American Stock Exchange (AMEX).

• RECENT CLOSE

  Updated daily, this is the most recent trading sessions’ closing price.

• AVERAGE VOLUME

  The number of shares traded per day averaged over the most recent three months.

• MAX MOVE WITHIN ONE TRADING DAY

  The day after the company releases their earnings announcement we record its price movements on a percentage basis relative to the Pre– Earnings Announcement close. This column summarizes the four most recent earnings and the maximum price movement within that one trading day

• MAX MOVE WITHIN EXPIRATION CYCLE

  At OptionSlam.com we track each stocks price swings through every Option Expiration Cycle. The value is represented as a percentage of that months opening price to its high or low within that same expiration cycle, whichever is greater.