Tom and Tony see what happens to expectations for moves into earnings compared to non-earnings moves.Study
- AAPL, AMZN, GS, GOOG, IBM
- 2010 to present
- Measured 30-day expected move as given by IV prior to earnings release
- Measured 30-day actual move day after earnings
We find that earnings are more of a zero-sum game than non earnings price moves (which stay within implied moves well over 68% of the time).
However, this is simply a tradeoff for the other benefits earnings trades offer like engagement, instant gratification, instant vol crush, etc.