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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 earnings announcement 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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IV pattern — pre-earnings behavior
INSIDEREarnings IVIV of the first option chain expiring after earnings (typically 1-7 days post-print). Highest concentration of event uncertainty — this is the chain traders use for earnings plays. Numbers routinely run 100-200% during earnings weeks because near-expiry options amplify event vol. Not directly comparable to broker "IV" indicators, which usually show a longer-dated series.
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Post-earnings chain IVIV of a chain expiring 2-3 weeks after earnings (anchored at ~30 DTE, 14 days before the print). Contains the earnings event but earnings is a smaller fraction of the option's life, so the number stays closer to baseline vol. Useful as a stability reference. Not a rolling 30-day CMIV — see glossary.
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IV Rank (52w)Where the post-earnings chain IV sits within the last 52 weeks. 100 = highest, 0 = lowest. High rank = premium is rich vs history. Low rank = premium is cheap. Uses the post-earnings chain (not the earnings-week chain), because that's the only series that runs continuously across the year for a stable 52-week reference.
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Top strategies
ranked by signal strengthNo signals cross the notebook thresholds for this ticker.
Diagnostics · last — quarters
Last 8 earnings announcements
| Date | Ann. | Pre 7d | Trend | Event | PEAD 5d | PEAD 20d | Fade |
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Rows appear 2 trading days after each earnings announcement. PEAD columns fill in over the following weeks.