Corporate earnings dates

blueraincap

blueraincap

just wondering, companies don't announce the exact earnings dates until 2-3 weeks before. How do people estimate the earnings dates in pricing the weekly options? I see we can estimate based on historical announcement weeks and i mostly use https://www.nasdaq.com/earnings/earnings-calendar.aspx to check.

For example, for NVDA atm options, seems that market is pricing in earnings in the week of May 13-17. NVDA last year reported in the 2nd week of May, so that Nasdaq site is guessing the week of May 05-10. So again, how do you price earnings volatility before dates are confirmed by the co?
 
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blueraincap said:
just wondering, companies don't announce the exact earnings dates until 2-3 weeks before. How do people estimate the earnings dates in pricing the weekly options? I see we can estimate based on historical announcement weeks and i mostly use https://www.nasdaq.com/earnings/earnings-calendar.aspx to check.

For example, for NVDA atm options, seems that market is pricing in earnings in the week of May 13-17. NVDA last year reported in the 2nd week of May, so that Nasdaq site is guessing the week of May 05-10. So again, how do you price earnings volatility before dates are confirmed by the co?
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LOL I was thinking of something similar last night. I ended up talking with a smart guy who has some experience in the area and his answer was "for liquid stocks it's pretty efficient and the market makers usually get it right." So the option chain that has the highest IV relative to its surrounding expirations will probably be the earnings month. Unless you have some insight/better source than Nasdaq.com, there no need to try and predict the earnings cycle.

For pricing of jumps, the math is in sinclairs book and or Collin bennetts book. There is also a FANTASTIC paper written by 2 Columbia students (I forget the name, just search implied earnings jump Columbia pdf)
 
that doesnt address the point, doesnt it.
so how can the "smart market-makers" be sure that earnings announcements will happen in that week as opposed to the week before or after. When i look at weekly vol, it seems that earnings vol is priced in one particular week which is sometimes different from that Nasdaq site estimate. Companies do have a window to report earnings, how can we be sure 1-2 months in advance which week the announcement will fall into.
 
blueraincap said:
that doesnt address the point, doesnt it.
so how can the "smart market-makers" be sure that earnings announcements will happen in that week as opposed to the week before or after. When i look at weekly vol, it seems that earnings vol is priced in one particular week which is sometimes different from that Nasdaq site estimate. Companies do have a window to report earnings, how can we be sure 1-2 months in advance which week the announcement will fall into.
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Nasdaq.com is delayed. Like REALLY delayed. Which is probably why you are seeing no vol in the MAY 10 cycle. They have already confirmed earnings MAY 15.
In answering your question. People talk, you are dealing with investor relations after all. Plus Market Makers have access to order flow which I am sure is of high significance when predicting the earnings cycle.
 
Every company confirms their earnings at different times. The best place to look I at optionslam or the actual company’s website
 
blueraincap said:
that doesnt address the point, doesnt it.
so how can the "smart market-makers" be sure that earnings announcements will happen in that week as opposed to the week before or after. When i look at weekly vol, it seems that earnings vol is priced in one particular week which is sometimes different from that Nasdaq site estimate. Companies do have a window to report earnings, how can we be sure 1-2 months in advance which week the announcement will fall into.
More...

It doesn't matter. They are the market makers. Whether they are smart or dumb is irrelevant. They are the ones who set the price for the options so if they say the earnings is going to happen in that week, it's in that week's option price that's going to be bid up.
 
of course it does matter. how do i know they must be right when i am paying the high iv for a particular week, when the company itself hasnt confirmed the week. and if earnings date is distributed around the historical week, there should be slight iv priced around that week, which i am not seeing.
 
Have you tried to ask company itself ? I mean it's unusual question but there should be e-mail or some section on their website or some other contact inside to get that info. It it's not so eye catchy one then yes I use option slam
 
Most brokers will give you a pretty exact earnings date well in advance for any stock. It is also usually a pretty good bet to look at the last date and figure it will be exactly 90 days forward (not an exact thing, but usually pretty close). EarningsWhisper.com is also a really good calendar site.
 
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