Options Whale · Learning library

Implied move versus actual earnings move

Expectations and outcomes are different data

The implied move is calculated from option prices before an event. The actual move is measured from stock prices after the event using a documented window. Keeping the timestamps separate prevents future information from entering the original decision.

A historical chart should identify each earnings event, display absolute realized moves, and retain the contemporaneous implied move only where it is available. Missing historical options prices cannot be reconstructed by treating today's quotes as past observations.

Read the distribution

A median is useful, but it can hide rare large moves. Inspect the mean, maximum, sample size, and trailing event windows together. A small set of past earnings announcements offers limited evidence and may span changing businesses, market regimes, or corporate actions.

Move richness is a starting point

Options Whale defines move richness as the current implied move divided by the historical median absolute earnings move. A ratio above one says the current proxy exceeds that historical median. It does not establish positive expected returns, a probability of profit, or an executable premium-selling opportunity.

Execution prices, protective strikes, assignment, volatility changes, and tail outcomes affect a strategy independently of this ratio. IV crush alone is insufficient evidence.

Inspect the full record

Read the expected-move method, inspect an earnings research snapshot, and check the publication filters. Historical reconstructions are labeled separately from genuinely published live research.

Source: OCC's Options Industry Council: straddles and spread risk.