Companies are typically more volatile when they report earnings than many other times during the year. By using options pricing, we can estimate where the market is pricing the current move.
Below are five companies that report quarterly earnings after the stock market closes. Based on the straddle price (closest at-the-money strike prices for one call and one put) we can estimate both the dollar move and percentage move currently being anticipated by market participants. Although not always accurate, it can help traders estimate what kind of surprise may be headed their way.
Today's potential movers are F5 Networks, Qulacomm, Zynga, Crox, and Citrix Systems:
FFIV (Implied Move): 72.50 Straddle Price is $4.94, an ~6.8% Move
QCOM (Implied Move): 67.50 Straddle Price is $2.75, an ~4% Move
ZNGA (Implied Move): 3.50 Straddle Price is $0.50, an ~14% Move
CROX (Implied Move): 16 Straddle Price is $1.70, an ~10.75% Move
CTXS (Implied Move): 67.50 Straddle Price is $6, an ~8.88% Move
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