Your guide to this week's earnings (2/2/16)
02 Feb 2016This is a big week for earnings, and we wanted to save you all a ton of time by putting together options market expectations and average historical earnings price moves in one place.
A couple things caught our eye while putting the table below together:
- After all Chipotle has been through, the market is only pricing in just another average quarter
- GoPro implied vols are so high that sold straddles offer the rare 1:1 max risk / max reward ratio on a backtested basis
| Expected Move | Average Move | 6m Change | |
| Tues. | |||
| Chipotle | 8.3% | 8.2% | -28.4% |
| Yahoo | 6.7% | 5.0% | -11.5% |
| Gilead | 5.9% | 4.1% | -22.7% |
| Wed. | |||
| GoPro | 16.0% | 11.6% | -61.6% |
| Merck | 3.1% | 2.6% | -4.1% |
| Comcast | 3.2% | 3.2% | -10.2% |
| GM | 4.8% | 4.1% | -15.6% | Thurs. | </tr>
| Conoco | 5.9% | 1.8% | -27.1% |
| Oxy | 4.0% | 2.7% | -7.1% |
