Earnings Season Report: Recap of Q3 2019

Earnings season starts two weeks after quarter-end, at either mid-January, April, July or October, and runs for six weeks. Currently, we are ending week six, the final big week, of the October earnings season.

ORATS watches the implied earnings move in a stock and compares that to the actual move after earnings are announced.

Options prices imply an ‘earn move’, either up or down, in the price of a stock that can be quantified. Comparing the implied moves to the actual moves shows how options owners are faring and can point to patterns as we progress through earnings season.

With 96% of companies we track reporting, it is time to wrap up the earnings season for the third quarter 2019.

Compared to History

This season saw 38% of stocks move more than the options market expected. That 38% is about in line with the historical average of 39% winners.

The ratio of earnings moves to expected moves from the options market was 98% (2% over history).

This season’s report:

Season of 10/11/2019

The historical average season’s report over the past 12 quarters:

Historical average week

The takeaways from this season are these:

  • The first and last weeks were dismal for options owners.
  • The average earn moves for all stocks were well above the average.
  • The implied earn moves were well above average

For traders, as we commented before it happened, week 4 was the most profitable for options owners this season as it was historically.

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The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.

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Matt Amberson

Matt Amberson, Principal and Founder of Option Research & Technology Services. ORATS was born out of a need by traders to get access to more accurate and realistic option research. Matt started ORATS to support his options market making firm where he would hire statistically minded individuals, put them on the floor, and develop research to aid in trading options. He is heavily involved with product design and quantitative research. ORATS offers data and backtesting on a subscription basis at www.orats.com. Matt has a Master’s degree from Kellogg School of Business.

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