Business

Stock options traders are ready for the 20% post-earnings move, but that’s less than usual


Options traders are poised for a big move in Snap Inc stock.
SNAP,
-1.11%

on the day after the social media company reported third-quarter results, but it was actually less than the median post-earnings move. Snap is expected income statement after Thursday’s closing bell. An options strategy known as a Straddle, is a pure volatility game consisting of buying up (call) and down (put) with the same strikes for the month, with expiration on Wednesday. Six, now valued for one-day earnings, rose about 19.7% in both directions on Friday, according to FactSet data. Based on current prices, that means the stock will have to close above $13.00 or below $8.72 on Friday for the stock buyers to make money. Meanwhile, the average one-day post-earnings volatility has been 23.7% (average 25.2%) over the past 10 quarters, according to FactSet data. Since Snap went public in March 2017, the stock has seen the most recent 20% gains in either direction, nine of which have occurred a day after earnings. Shares, down 0.1% in afternoon trading, have fallen 30.0% over the past three months while the S&P 500
SPX,
-0.70%

slipped 7.1%.

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