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Earnings and Sector Implied Volatility

Market Measures

We often look at earnings because of the high implied volatility that comes along with it. Today we will look at if sector ETFs exhibit higher IV when their components have earnings.

Study
  • 2014 - Present
  • Comparing Technology Sector IV on Earnings Dates of Top 10 Holdings and Non-Earnings Days
    • Top 10 holdings: AAPL, MSFT, FB, GOOG, GOOGL, T, V, INTC, VZ, CSCO
Results
  • Unfortunately, there is no boost in sector IV around individual stock earnings.
  • Sectors are too well diversified to be impacted by an individual stock’s binary event, even if that stock is 15% of the sector.

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