?ORATS Earnings Report for 4/10/2018
Definitions:
- A ‘Move’ is the stock price move after the earnings announcement.
- Moves are presented as dollar stock prices but made from historical percent moves.
- The Projected Move is the average of All Moves, Same Quarter Moves, and Past Year Moves
- All Moves is the average of the past 12 quarters Moves
- Same Quarter Moves is the median of same quarter Moves within the last 12 quarters.
- Past Year Moves is the average of the last four quarter Moves.
- Adjusted Straddle Price average of the past 12 quarters:
- adjust the straddle price by removing the expected straddle premium after earnings,
- using expected post earnings IV and post-earnings probability distributions.
- The report includes tickers with stock price > $10 option volume > 4,000 IV < 80.% and earnings in less than 7 days.
- The Projected/Straddle Return is the percentage profit expected from owning a straddle and selling after earnings.