Jan. 17, 2017
Historical average return:
(backtested over 6.3 years)
Historical success probability: 64.6%
Netflix announces Q4 2016 earnings after the closing bell tomorrow, and options traders are expecting a 9.6% move through the end of the week. Over the last two years, the expectations for an earnings move have been in the 10-17% range, so this reading is on the lower end of what has been expected in the past. Since 2010, Netflix has also generally moved more than this 9.6% expectation, leading to positive options backtesting results for buying a straddle going into the announcement.