Some intresting stats

[IV_Trader]

I'm tracking % change on the day of quarterly report for almost every liquid (price>10 and daily volume > 150k) optional stock.
For the last four years ( 13 quarters , 20000 results) , the average % change was ... absolute zero.
Average price before report = 32.3
Average price after report =32.2
Even when broken to the lesser statistical unit like a single quarter , price change was within plus/minus 1% and this including Oct 01 (bear market) , Apr 03 (bull) and any quarter for the last two years (neutral)

 

[ssternlight]

Quote from IV_Trader:

I'm tracking % change on the day of quarterly report for almost every liquid (price>10 and daily volume > 150k) optional stock.
For the last four years ( 13 quarters , 20000 results) , the average % change was ... absolute zero.
Average price before report = 32.3
Average price after report =32.2
Even when broken to the lesser statistical unit like a single quarter , price change was within plus/minus 1% and this including Oct 01 (bear market) , Apr 03 (bull) and any quarter for the last two years (neutral)

Have you looked at a histogram of the % change. An "average" makes me a bit suspicious to be honest. It would be one for the efficient market folks though.

 

[nonprophet]

Quote from ssternlight:

Have you looked at a histogram of the % change. An "average" makes me a bit suspicious to be honest.

I agree, that chart may look like a camel's back.

 

[ludmil]

Quote from nonprophet:

I agree, that chart may look like a camel's back.

what's your point?earnings release is not important?

 

[ig0r]

Quote from ludmil:

what's your point?earnings release is not important?

That the volatility premium placed on options as an earnings release approaches is unwarranted/mispriced.

 

[ludmil]

Quote from ig0r:

That the volatility premium placed on options as an earnings release approaches is unwarranted/mispriced.

if the dispersion looks like a camelback the premium is unwarented only regarding indexes

 

[nonprophet]

Quote from ludmil:

what's your point?earnings release is not important?

If of all stocks reporting earnings say half dropped x% percent (left hump) and half jumped x% (right hump) then the average price change % will be zero in conformity with IV trader's research.

Should his conclusion (avg. zero % change) lure one into short gamma (like a short straddle) then the only uncertainty will be which leg will kick you, left or right.

I wasn't thinking about implvola. I am no earnings play expert, so feel free to correct me.

Indeed a histogram (or a standard deviation) would provide some additional insight.

 

[IV_Trader]

Quote from nonprophet:

If of all stocks reporting earnings say half dropped x% percent (left hump) and half jumped x% (right hump) then the average price change % will be zero in conformity with IV trader's research.

Should his conclusion (avg. zero % change) lure one into short gamma (like a short straddle) then the only uncertainty will be which leg will kick you, left or right.

I wasn't thinking about implvola. I am no earnings play expert, so feel free to correct me.

Indeed a histogram (or a standard deviation) would provide some additional insight.

Those stats are not IV related , just a simple average of percent change.
BTW , some pre/after report IV stats/ratios are very accurate too.

 

[nonprophet]

Quote from IV_Trader:

Those stats are not IV related , just a simple average of percent change.
BTW , some pre/after report IV stats/ratios are very accurate too.

What exactly do you mean by "very accurate" ?

 

[IV_Trader]

Quote from nonprophet:

What exactly do you mean by "very accurate" ?

for example , I track ABS-price-change/IV ratio and this number is not changes a lot from quarter to quarter in the last 4 years, while VIX went down from 45 to current levels.