Since most 4Q earnings reports are now in the record, attention will soon be shifting to upcoming 1Q reports that begin next month. Instead of waiting until the end of the quarter to update our Volatility Kings? we have a preview of the early reporters, the ones that may still have declining implied volatility from their last report and have yet to start anticipating the next one. These could be of interest to volatility traders looking to open long positions ahead of the next report and close or reverse them just before the release date.
Volatility Kings? Preview
For those interested in volatility strategies, here are our Volatility Kings? soon to begin anticipating their next quarter earnings reports.
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Price?shown in column 4 are closing prices as of Friday March 7, 2014.
Next Rpt?in column 5 is the next expected reporting date. Check these dates as these are only estimates and the companies routinely change their reporting dates.?Time?in column 6 is when during the day to expect the report, where B is before the open, A is after close and D is during market hours.
Estimate?in column 7 is the current consensus earnings estimate that may also change before the report.
Last Q?IV?in column 8 is the implied volatility index mean (IVXM) of the puts and calls reached just before the last quarterly report, but may not necessarily be relevant this quarter.
IV Min Ex?in column?9?shows the implied volatility low after the last earnings report making it easier to compare the pre-report high to the subsequent low. For some, the implied volatility is still declining so there may still be a lower low. Some examples are AMZN, CRUS, FSLR, and NFLX.
Events unrelated to earnings reports can also change implied volatility, such as activist investor involvement in the case of EBAY or for FSLR an upcoming analysts meeting.
IV Now?in column 10 is the implied volatility index mean, (IVXM) as of Friday March 7, 2014.
IV Est/Now?in column 11 is the ratio of the estimated implied volatility to the current implied volatility based primarily on the high reached the previous quarter. Those with higher ratios have a potentially greater opportunity to increase going into their next report date and many have already started increasing in anticipation.