Options Whale · Learning library

How the earnings expected move is calculated

The ATM straddle proxy

Options Whale uses the at-the-money call midpoint plus the at-the-money put midpoint in the expiration containing earnings. The dollar result divided by the underlying price gives the percentage move. Midpoint means the average of the bid and ask; it is not an execution guarantee.

The output retains the contract identifiers, selected strike, expiration, and snapshot timestamp. Missing or unusable quotes should produce an unavailable result rather than an invented estimate.

What the boundaries mean

Subtracting the straddle price from spot gives the lower boundary; adding it gives the upper boundary. These are a price-based research proxy. They are not a guaranteed trading range, directional prediction, or calibrated confidence interval. The selected expiration can also contain trading time and risk unrelated to the earnings report.

Compare like with like

Use one point-in-time snapshot and an expiration that contains the report. A before-market and an after-market announcement can affect which expiration is suitable. Wide markets, stale quotes, and uncertain earnings dates weaken the interpretation.

Use the expected-move calculator for manual inputs or stored research inputs. Then compare the result with actual historical earnings moves, keeping the historical sample count and measurement convention visible.

Methodology is part of the result

A straddle-based estimate and a volatility-times-square-root-of-time estimate use different assumptions. The calculator labels the method; research uses the versioned calculation described in methodology.

Source: OCC's Options Industry Council: earnings and ATM straddles.