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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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IV pattern — pre-earnings behavior
INSIDER30-day IVConstant-maturity implied volatility for a 30-day horizon. This is the platform-standard IV reference — matches what your trading platform's IV indicator shows. Best for cross-checking against other tools.
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Earnings IVIV of the closest option expiry after the next earnings print. This captures the event-specific volatility premium and is unique to our tool. Typically higher than 30-day IV during earnings weeks — that's the whole signal.
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IV Rank (52w)Where the 30-day IV sits within the last 52 weeks. 100 = highest, 0 = lowest. High rank = premium is rich vs history. Low rank = premium is cheap. Percentile shown below the rank tells you what fraction of the last year traded at lower IV.
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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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