To assess the price move expected by the market, here we use the ATM straddle/strangle pricing model.
We track ATM straddle cost for both monthly options and weekly options before and after earnings. Click here for reports on weekly options.
On this page we focus on ATM straddle cost of monthly options for stocks with upcoming earnings event.
Presuming the rules of supply and demand provide for an efficient marketplace, we as certain the expected price move will be approximately equal to the cost of the current straddle.
Each day until the earnings date we apply our formula to determine the implied price move in advance.
We don't know which way price is going to move after earnings but with this information we have a market based calculation of how far it is expected to move in one direction or the other.
The IM (implied move) is a crucial piece of the puzzle when developing trade strategy and positioning.
Implied Move: ATM Monthly Straddle Tracking Before Earnings
Symbol
EVR
Recent Close
Avg Volume
Earning Date
Max One Day Move
Implied Move Calculation
Position
Option Cost
Implied Move
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