Good Morning!
A couple of giants report after the close, amidst a heavy earnings calendar. On the economic front, we get the NFP jobs number tomorrow morning.
Here’s a preview of Amazon and the options setup, which can be a good sense of the overall set-up into an earnings event. The expected move is about 6%. That compares to the most recent earnings moves of -4%, -8%, -7% and +10%. So today’s expected move is just shy of the mid of the past 4 earnings moves with the most recent earnings having moved less (-4%).
The IV of the weeklies is about 100. That compares to the 30 day IV of about 43. Of course, the weekly options expire tomorrow, so really they should be thought of as an expected move, and less so as vega. That 30 day IV (44), which is a purer representation of vega, is higher than the 30 day realized vol (how the stock has actually moved over the past 30 days) of just 27. Amazon’s realized vol over the past month is quite quiet compared to how its moved over the past year, with its yearly realized vol being 39.
That paints a picture of very high IV compared to the stock’s very recent history, but options priced for earnings that are leaning towards a move slightly less than the stock has moved over the past year on earnings. This comes in an overall lower IV and realized vol environment over the past few months.
An Iron Condor, set at the expected move, and $1 wide on the wings, would need AMZN to stay within about 120.50 and 136.50. The bullish expected move lines up very near to the highs of 2023 in the stock, which happened within the past month. Here’s how that looks on the chart.
Apple’s expected move of 3% compares to earnings moves over the past year of +5%, +3%, +8% and +3%. Again, low IV compared to earnings over the past year, but AAPL’s realized vol over the past month is just 13! Options buyers have not been doing well in those conditions and the low IV into earnings is a reflection of that suffering. 3% is about $6 in either direction.
Here’s some other highlights today:
Today’s Earnings Highlights:
Early Movers:
- Amer Superconductor (AMSC) -21.5%
- Paypal Holdings (PYPL) -7.9%
- Qualcomm Inc (QCOM) -8.9%
- Moderna Inc (MRNA) +2.0%
- Robinhood Markets Inc Cl A (HOOD) -4.7%
Economic Calendar:
- At 10:00 AM (EST) ISM Services PMI (Jul) Estimates: 53, Prior: 53.9
Scanner Highlights:
- Overbought (RSI): OSTK (77), JWN (75), IBM (74), KSS (71)
- Oversold (RSI): HON (31), LUV (40), EBAY (41), TXN (41), MCD (41), SNOW (41), BUD (41)
- High IV: NKLA (+198%), SAVE (+158%), PYPL (+142%), BUD (+142%), PLTR (+140%)
- Unusual Options Volume: RAD (+1928%), TRIP (+798%), AMD (+773%), SHOP (+771%), CAT (+611%), QCOM (+563%), MTCH (+551%), NVDA (+494%), MSTR (+408%), PYPL (+402%), MRNA (+398%)
Full lists here: Options AI Free Tools.
That’s all for now. Have a great day!
The Options AI Team
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