I trade weekly and monthly options and often don't grasp how market prices earnings dates, prior to being officially announced. Obviously historical dates are very useful but still until it is confirmed, where does the confidence come from?
For example, AMD IR website doesn't seem to have a confirmed date yet, Q2 earnings was 30 july.
Last 3 years, AMD reported Q3 on 24 Oct, 24 Oct, 20 Oct (2nd last week of Oct) (http://quarterlyearnings.amd.com/financial-information/quarterly-results)
Extrapolating, that falls into Oct 21-25.
Yahoo Finance is estimating 22 Oct https://finance.yahoo.com/calendar/earnings?day=2019-10-11&symbol=AMD Earningswhisper 23 Oct https://www.earningswhispers.com/stocks/amd
The options are saying earnings fall into week of Oct 28-1.
If I were to model options without calibrating to implied earnings, things would have been a disaster and my arse stuffed by gamma. But then, where does the Oct 28-1 earnings confirmation come from? What I see is historically Q2 earnings were announced 1 week earlier, so Q3 also 1 week earlier. This year it is a week late (last week of July vs 2nd last week), so market is expecting last week of Oct (vs 2nd last in previous years). That looks reasonable and fine as the estimate is calibrated to this year earnings dates vs Yahoo! etc using previous years dates. But still, a few days early or late is possible, how can the market be so confident it will indeed be end of Oct without official announcement.
My point is, FY19Q1 reported in the last week (30 apr) when previously in 2nd last (25 apr FY2018-2017), so if the market were pricing using the historical week the Q1 earnings vol must have been messed up by a week. I don't have historical option data to check.
For example, AMD IR website doesn't seem to have a confirmed date yet, Q2 earnings was 30 july.
Last 3 years, AMD reported Q3 on 24 Oct, 24 Oct, 20 Oct (2nd last week of Oct) (http://quarterlyearnings.amd.com/financial-information/quarterly-results)
Extrapolating, that falls into Oct 21-25.
Yahoo Finance is estimating 22 Oct https://finance.yahoo.com/calendar/earnings?day=2019-10-11&symbol=AMD Earningswhisper 23 Oct https://www.earningswhispers.com/stocks/amd
The options are saying earnings fall into week of Oct 28-1.
If I were to model options without calibrating to implied earnings, things would have been a disaster and my arse stuffed by gamma. But then, where does the Oct 28-1 earnings confirmation come from? What I see is historically Q2 earnings were announced 1 week earlier, so Q3 also 1 week earlier. This year it is a week late (last week of July vs 2nd last week), so market is expecting last week of Oct (vs 2nd last in previous years). That looks reasonable and fine as the estimate is calibrated to this year earnings dates vs Yahoo! etc using previous years dates. But still, a few days early or late is possible, how can the market be so confident it will indeed be end of Oct without official announcement.
My point is, FY19Q1 reported in the last week (30 apr) when previously in 2nd last (25 apr FY2018-2017), so if the market were pricing using the historical week the Q1 earnings vol must have been messed up by a week. I don't have historical option data to check.
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