How big is the earnings move?
See how a stock has reacted to every earnings report, what the options market is pricing for the next one, and whether the move is usually bigger or smaller than expected.
Earnings Move in 30 seconds
Before a company reports, the options market puts a price on how far the stock could move. This page lines that price up against how far the stock has really moved after past reports.
Typical move
The middle-sized move after this company's past reports, up or down. If the typical move is 6%, half of past reports moved the stock less than 6% and half moved it more.
Options expect
What traders are paying for right now: roughly how big a move, either way, the options market is pricing in for the next report. Report only strips out ordinary day-to-day movement so it compares fairly with past reactions.
Compare the two
Typical move bigger than options expect: past reports have usually moved the stock more than the market is pricing now. Smaller: past reactions have usually been calmer than the current price suggests.
Read the chart
Each bar is one past report: green up, red down, taller means a bigger move. The dashed lines mark plus and minus the typical move (blue) and what options expect now (amber), so you can see how often past moves cleared them.
What every number on this page means
- Move
- The first close after the report against the last close before it, adjusted for splits.
- Opening gap
- How far the first trade after the report was from the previous close.
- Day range
- The high and low of the reaction day, against the same starting close.
- 5 days
- Where the stock closed four sessions after the reaction day.
- EPS vs estimate
- Reported earnings per share against the average analyst estimate: a beat or a miss.
- Before open / After close
- When the results came out, taken from the SEC filing time. "est." means it was inferred.
- Moved more than options expect now
- How many past reports produced a move bigger than today's options price.
Good to know. A big expected move is not a prediction of direction, and past reactions do not predict the next one. Options prices change by the minute during the session. Nothing here is advice to buy or sell.
How this is calculated
- Report dates and times. Taken from each company's earnings filings with the SEC (Form 8-K, Item 2.02), where the filing time shows whether results came out before the open or after the close. Public earnings calendars fill in older dates and EPS figures. When sources disagree, the earliest date is used, because that is when the news was out. A time marked "est." is the company's usual slot or was worked out from the price gap.
- The move. For a report after the close, the next session's close against the report day's close. For a report before the open or during the day, that day's close against the previous close. Prices are adjusted for splits. The gap is the first price of the reaction day, the range is its high and low, and 5 days is the close four sessions later, all against the same starting close.
- What options expect. The price of the at-the-money straddle (one call plus one put) on the first expiry after the report, divided by the share price. That is roughly the average size of move the options market is paying for by that expiry. Bid and ask midpoints are used when the market is open; outside market hours the last trade prices are used and marked as such.
- The earnings-only part. When there is also an expiry before the report, the normal day-to-day movement priced into that shorter expiry is taken out, leaving the part of the price that belongs to the report itself. It is used when both expiries have live bid and ask prices. Otherwise, if the expiry is within about five weeks, the stock's own day-to-day volatility over the last 60 sessions (leaving out earnings days) is taken out for the extra days instead, and the figure is marked "est.". Further out, the full figure is shown with a note, and it is not compared with past moves.
- Typical move. The median size of the move, ignoring direction, over the reports selected. The median is used so that one extreme report does not distort it.
- Beat or miss. Reported EPS against the average analyst estimate before the report, as published by the data sources. Companies define EPS differently, so this is a guide, not an audit.
For education only. Past reactions do not predict the next one, and the options figure is a market price, not a forecast. Nothing here is a recommendation to buy, sell or hold anything, or to trade options. Data comes from SEC EDGAR and third-party market data providers and may be delayed or incomplete. See the Terms and Disclaimer.