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The week ahead, expected moves, earnings, elevated vol and what's next.
2 min read

The week ahead, expected moves, earnings, elevated vol and what's next.

The week ahead, expected moves, earnings, elevated vol and what's next.

Stocks are higher again today following a bounce on Friday. With that comes a slight contraction of expected moves from last week. This will be interesting to watch as trader focus the past few weeks has been on the major indices and only stock specific in so far as watching some of the more frothy names come back to earth. It doesn't look like that valuation adjustment translated into an overall market rout as the market found footing in the past few days. Earnings come back into focus starting next week and of course the election looms. For now, options volatility seems fairly stubborn, stuck in the high 20's in the VIX and not really collapsing with the market bounce.

If volatility stays elevated no matter what the market does that could translate into more realized volatility in the indices (both up and down) due to short gamma on the delta-neutral side, while single stock names could overprice their own event moves as options may be reflecting broader market move fears.

Expected moves via Options AI technology,

  • VIX is ~26.50 this morning.
  • Last week's expected move in SPY: 2.5%
  • Last week’s actual move SPY: 0.9%
  • This week's expected move in SPY: 2.2%:

  • Last week's expected move in QQQ: 3.2%
  • Last week's actual move in QQQ: 3.2%
  • This week's expected move in QQQ: 2.9%

A look at some of the weekly expected moves for some stocks in the news this morning, SNAP, SPOT, CZR, CVX, UPS:

Earnings Calendar

Earnings announcements are light in the lull between quarters. This week's earnings of note, expected move and its actual move last earnings.

Tuesday 4:00pm - MU | expected move: 6.9%  (last earnings: +4.8%)

Thursday 6:00am - PEP | expected move: 2.6%  (last earnings: +0.3%)

Thursday 7:00am - BBBY | expected move: 14.3%  (last earnings: -24.5%)

Thursday 7:30am - CAG | expected move: 5.1%  (last earnings: +4.4%)

Previously:

Actionable Insights from the Options Market

Earnings event expected moves
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