Upcoming Earnings Announcements

Legend

LastTradeDate

V Mon.

V Weekl.

IV base

IV act

MaxMove

RV

RVrel

RVearn

RVearnmin

Decay

EA date

Last trading day before the earnings announcement

Average daily volume of monthly options

Average daily volume of weekly options

Base IV (IV in ‘normal times’, adjusted for earnings elevation)

ATM implied volatility as of yesterday at close

Last cycle’s intraday maximum stock move following the announcement

Current RV of this cycle (from options with shortest expiry after earnings)

Current RV relative to historical RV at that point

Historical average RV right before earnings announcement (= implied move)

Minimum value of previous cycles going into earnings

Historical average loss of RV per day (= daily average percentage change of a long ATM straddle position)

Anticipated actual date and time of the earnings announcement
bo – before market open, ac – after market close