With our tools, you can identify the best candidates for earnings volatility strategies - research past earnings moves, calibrate positions to match your risk-reward, or scan for positions that meet your criteria across all upcoming earnings plays.
A good first point for identifying long volatility candidates is to compare the current implied move with past moves, starting with the average move and standard deviation
You can begin this analysis directly from the home screen calendar
To find such stocks:
| For Long Volatility | For Short Volatility |
|---|---|
| • Toggle the undervalued section, to keep only stocks where the current implied move is lower than the past average move (over 10 years). | |
| • Sort the table by highest Standard Deviation. | • Toggle the overvalued section, to keep only stocks where the current implied move is higher than the past average move (over 10 years). |
| • Sort the table by lowest Standard Deviation. |
For long volatility, we want favorable market pricing relative to past average moves, which is what the undervalued section filters for, and vice versa for short volatility an the overvalued section.
Standard deviation measures the dispersion of past earnings movements, so sorting by it highlights stocks with the widest range of historical price changes.
You can also explore the all section, where you'll find all upcoming earnings for the current week with liquid options, sort by standard deviation and compare the implied move with the average move.
Notice how PANW appears favorable for long volatility, even though the implied move of +/- 9.5% is slightly higher than the past average of +/- 8.6%, but with a high standard deviation of +/- 6.2%.