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Implied vs realized move
Implied move (ATM straddle)What the options market is currently pricing in for the earnings move. We pull the ATM straddle for the first expiration after the print and divide by spot. Roughly what a straddle buyer is "paying" for the move.
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Median realized (last 8)The middle of the last 8 absolute earnings-day moves. What actually happened, ignoring outliers. Compare against implied — if realized > implied, options were historically underpriced.
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Volatility edgeMedian realized minus implied, in percentage points. Positive = options look cheap vs history → LongStraddle candidate. Negative = options look rich → ShortStraddle candidate. |edge| < 1pp means no signal.
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Top strategies
ranked by signal strengthNo signals cross the notebook thresholds for this ticker.
Diagnostics · last — quarters
Last 8 earnings prints
| Date | Ann. | Pre 7d | Trend | Event | PEAD 5d | PEAD 20d | Fade |
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