Options traders are currently pricing in less turbulence for a set of companies reporting earnings this week than these stocks have typically experienced in the wake of prior quarterly reports.
The divergence is most pronounced for Stitch Fix Inc., where the options market implies a move of 3.0% around the upcoming report. That contrasts with the stock’s average absolute movement of 19.7% over the last eight quarters, yielding a gap of 16.7 percentage points. Stitch Fix is scheduled to announce results after the market closes.
Core & Main Inc. presents a smaller but still notable discrepancy. Over the previous eight quarters the company’s shares have averaged an absolute change of 10.0% in the post-earnings period, while options currently suggest an expected move of 7.4% - a 2.6 percentage point difference. Core & Main will report its results before the market opens.
Oxford Industries Inc. reflects a 2.3 percentage point gap. The company’s shares have moved an average of 10.9% in absolute terms across the last eight quarters, whereas the options market is implying an 8.6% move. Oxford Industries is due to report after the close.
Oracle is the final company in the group, with a 1.4 percentage point spread between historical and options-implied moves. The stock’s average absolute move over the last eight quarters is 13.0%, compared with an options-implied move of 11.6%. Oracle is scheduled to report after market close.
Below are the core takeaways and items market participants may want to note ahead of these earnings releases.
- Timing of reports matters - Two of the companies will report after the market close and one will report before the open, which can influence the immediate trading window and how price moves are realized.
- Options-implied moves are lower - For each company named, the options market is pricing in a smaller absolute move than the average experienced over the prior eight quarters.
- Magnitude varies - The gap between historical post-earnings moves and options-implied moves ranges from 1.4 percentage points to 16.7 percentage points across the four firms.
This reporting calendar and the differences between implied and historical moves provide a snapshot of how derivatives traders are positioning ahead of earnings. The data reflect only the measures reported here and do not extend beyond the four companies referenced.