Market Measures

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Trading Longer Term Earnings

Market Measures

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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.

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