Find the conditions. Inspect the evidence.
Earnings volatility screener
Ranked research across the covered universe. Every column comes from a stored snapshot — IV is compared with the matching historical earnings checkpoint rather than a generic 52-week percentile.
Covering 500 liquid U.S. tickers. Autocomplete lists supported symbols.
Screener is waiting on reviewed research
The screener filters published snapshots, so it stays empty until research clears review — it does not invent placeholder rows. Calendar coverage is tracked separately: 3 verified events across 3 covered tickers in this environment.
Read the conditions together
A cheap IV reading or a rich implied move alone does not establish a trade. Inspect event-relative volatility, historical move evidence, and the publication filters before interpreting a candidate. Positive deviation means options are richer than the matching historical checkpoint — not that a structure is recommended.
Metric glossary
One-line definitions for the technical fields used across the research
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Metric glossary
One-line definitions for the technical fields used across the research
- Event IV deviation
- Percentage difference between current ATM implied volatility and the historical median ATM IV at the matching days-to-earnings checkpoint. A zero or missing denominator reports unavailable.
- Move richness
- Current implied move divided by the median absolute historical earnings move. Above 1.00× means the event is priced to move more than it typically has.
- ATM IV
- At-the-money implied volatility for the expiration containing the earnings event, taken from the stored end-of-day chain.
- Term structure
- How ATM implied volatility compares across expirations. An “event spike” means the earnings expiration carries an outsized premium versus the next expiration.
- Setup strength
- Ordinal model assessment (Strong, Moderate, Weak) from the versioned scoring model — not a probability that the structure will be profitable.
- Sample quality
- Count rule for reconstructed history: High at 12+ events, Medium at 4–11, Low below 4. Small samples are shown with an explicit warning.
- Skew
- Difference between 25-delta put and call implied volatility, describing how much more expensive downside protection is than upside.
Definitions match the stored feature names. See the methodology for calculation detail and limitations.