How the priced move is read
One standard deviation of the stock's log move over the report session, read off the option chain: the forward variance between two expirations that settle at consecutive closes around the report session where the chain lists them, otherwise the at-the-money implied variance to the first expiration after the report.
A risk-neutral price of movement read off option prices: what the options market charges for a one standard deviation move, not a forecast of how far the stock will move. Option prices carry a variance risk premium, so this figure reads larger than realized moves on average.
The at-the-money straddle price is the figure many sites call the expected move. It is about 0.8 of one standard deviation.
COMMON QUESTIONS
- What is an earnings expected move?
- It is the size of move the options market charges for over the report. Here it is one standard deviation of the stock’s log move, read off the option chain, in percent and in dollars. Under a normal model about 68 percent of outcomes land inside one standard deviation. It is a price, not a prediction.
- How is it calculated?
- Where the chain lists two expirations that settle at consecutive closes around the report session, the move is the forward variance between them: one session with the report inside it. Most stocks list weekly expirations only, so the move is usually read off the first expiration after the report, and that figure includes the ordinary sessions before that expiration as well. Each row says which method it used.
- Why does the straddle price differ from the move?
- The at-the-money straddle price is what many sites call the expected move. It approximates the average absolute move, which is about 0.8 of one standard deviation, so it reads smaller. Both are shown, labelled.
- Where do the report dates come from?
- From each company's own announcement: its investor relations release or an SEC filing. A report is listed only once the company has announced the date and whether it reports before the open or after the close, and each symbol page links to that announcement. Projected dates from calendars are left out.