Cboe Blogs

We are on the cusp of second quarter earnings with three big banks reporting before the open this coming Friday (C, JPM, WFC).  The numbers below represent the last three year's of stock price reactions to earnings.  Finally, the release dates and times have not been confirmed. 

Click here for today's WT Episode then read below for a little more info on today's trade. Today’s What’s Trading episode was a discussion on an earnings trade in Wells Fargo. When evaluating an earnings trade, or any trade for that matter, history is a good place to start.  In this video we examine the benefits using earnings history as a barometer for the likelihood of these options not only being in-the-money but potential being profitable.

One more week until earnings season kicks in.  In the mean time we have three major financials releasing numbers on Friday 13th.  As always the data below is based on the last three years of earnings results unless the ticker is in italics.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  Finally, double check the earnings dates as not all were confirmed.

Earnings season kicks off this week with AA reporting tomorrow Tuesday before the market opens.  As always the data below is based on the last three years of earnings results unless the ticker is in italics.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.

Things start to get interesting as the early reporters give us results for the second quarter beginning next week.  As always the data below is based on the last three years of earnings results.  The columns show the biggest rally, biggest drop, average move, and what the stock did last quarter in reaction to earnings.  

Next week things start to heat up in the earnings world.  AA reports on Monday which some consider the beginning of earnings season.  INTC and some financials finish out the week.  The numbers below represent three years of stock price reaction history to earnings announcements with the biggest gain, biggest drop, average move (non-directional) and stock price reaction last quarter.

In my experience option traders fall into one of two distinct camps: single stocks and index/ETFs.  Despite similar contract specifications and pricing models, the mindset required to trade each product type is notably different.  Single stock traders have earnings releases, takeovers, and other company-specific events to worry about, while index traders tend to pay close attention to macroeconomic headlines and global equity and volatility movements.  On average in our markets about[...]

Q1 earnings started hitting the tape before the open.  JPM up ~$1 on a beat, WFC also reports but earnings didn't hit whisper number.  March Retail Sales up 0.9%, but below 1.1% consensus (X-Auto up 0.4%, +0.7% anticipated).  10-year drops to 1.88%, Crude up ~1%. Last day to trade April VIX, settles tomorrow AM.  Volatility as an asset class: Alcatel-Lucent (ALU) is up $031 to $4.65 in the preopen on Nokia (NOK) confirms it’s in 'advanced discussions' to buy. Overall option[...]

Volatility as an asset class JP Morgan (JPM) is recently up 43c to $62.13 into the expected release of Q1 results on April 14.  April call option implied volatility is at 29, May is at 18, June and September is at 17; compared to its 26-week average of 20. Wells Fargo (WFC) is recently up 28c to $54.60 in the expected release of Q1 results on April 14. April call option implied volatility is at 27, May is at 17, June is at 15; compared to its 26-week average of 17. IShares Barclay 20+ YR Treasury[...]

Volatility as an asset class JPMorgan (JPM) is down $2.54 to $56.29 after reporting Q4 EPS $1.19, consensus $1.31. January call option implied volatility is at 29, February is at 24, April is at 23, June is at 22; compared to its 26-week average of 19. Wells Fargo (WFC) is off 79c to $51.06 after reporting in line Q4 EPS of $1.02.  January call option implied volatility is at 23, February and April is at 20; compared to its 26-week average of 18. General Motors (GM), down 3% after giving 2015[...]

Alcoa reports Monday (1/12) after the close. Despite AA having been removed from the Dow Jones Industrial Average many market observers consider AA’s report to be the beginning of earnings season. Personally I think things get going when all the big financials report which begins Wednesday with JP Morgan Chase (JPM) and Wells Fargo (WFC). The three year history for stocks with short dated options available appear in the table below – I came across an interesting use of short dated[...]