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Volatility report - week 48
Koen Hoorelbeke
Investment and Options Strategist
Summary: Explore stock market fluctuations with our weekly Volatility Report. This guide lists expected movements and implied volatility rankings of stocks with upcoming earnings, key indices, and ETFs. It’s useful for investors, options traders and those interested in post-earnings moves. The report also discusses the use of expected move in options trading strategies and introduces a new approach to calculating the expected move. Read more to enhance your volatility-based strategies.
Volatility report - week 48
(Nov 27 - Dec 01, '23)
Welcome to this week's Volatility Report, a guide for traders and investors seeking to navigate the dynamic world of stock market fluctuations. In this report, we list the expected movements and implied volatility rankings of stocks with upcoming earnings announcements, as well as key indices and ETFs.
Understanding these metrics is important for anyone involved in volatility-based trading strategies. The 'Expected Move' is an invaluable tool that provides a forecast of how much a stock's price might swing, positively or negatively, around its earnings announcement. This insight is essential for options traders, allowing them to gauge the potential risk and reward of their positions. Read more about it here: Understanding and calculating the expected move of a stock etf index
Moreover, the 'Implied Volatility Rank' (IVR) offers a snapshot of current volatility expectations in comparison to historical volatility over the last year. This ranking helps in identifying whether the market's current expectations are unusually high or low, aiding traders in making informed decisions.
By incorporating the insights from this report, traders can enhance their strategies, whether they are looking to capitalize on potential big moves post-earnings, or seeking opportunities in options trading where current implied volatility might suggest an edge.
Important note: the strategies and examples provided in this article are purely for educational purposes. They are intended to assist in shaping your thought process and should not be replicated or implemented without careful consideration. Every investor or trader must conduct their own due diligence and take into account their unique financial situation, risk tolerance, and investment objectives before making any decisions. Remember, investing in the stock market carries risk, and it's crucial to make informed decisions.
Expected moves and volatility
indices and etf's
S&P 500 Index (SPX)
- Name: S&P 500 Index (SPX)
- Price: 4559.34 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 37.78 (= +/- 0.83%)
- Implied Volatility (IV): 10.72% - IV Rank: 22.8
Nasdaq 100 Index (NDX)
- Name: Nasdaq 100 Index (NDX)
- Price: 15982.01 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 215.24 (= +/- 1.35%)
- Implied Volatility (IV): 14.25% - IV Rank: 4.28
SPDR S&P 500 ETF Trust (SPY)
- Name: SPDR S&P 500 ETF Trust (SPY)
- Price: 455.3 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 3.91 (= +/- 0.86%)
- Implied Volatility (IV): 10.64% - IV Rank: 0.0
Invesco QQQ Trust, Series 1 ETF (QQQ)
- Name: Invesco QQQ Trust, Series 1 ETF (QQQ)
- Price: 389.51 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 5.13 (= +/- 1.32%)
- Implied Volatility (IV): 14.82% - IV Rank: 0.0
Volatility Index (VIX)
- Name: Volatility Index (VIX)
- Price: 12.46 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-06
- Days to Expiry (DTE): 9
- Expected Move: plus or minus 1.27 (= +/- 10.22%)
- Implied Volatility (IV): 77.87% - IV Rank: 36.73
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Expected moves and volatility
stocks with earnings
Zscaler, Inc. - Earnings Date: Monday, November 27th, 2023, after the bell
- Name: Zscaler, Inc. (ZS)
- Earnings date: Monday, November 27th, 2023 after the bell
- Price: 193.09 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 16.09 (= +/- 8.33%)
- Implied Volatility (IV): 50.55% - IV Rank: 30.58
Intuit, Inc. - Earnings Date: Tuesday, November 28th, 2023, after the bell
- Name: Intuit, Inc. (INTU)
- Earnings date: Tuesday, November 28th, 2023 after the bell
- Price: 564.07 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 26.57 (= +/- 4.71%)
- Implied Volatility (IV): 30.47% - IV Rank: 30.78
Workday Inc. - Earnings Date: Tuesday, November 28th, 2023, after the bell
- Name: Workday Inc. (WDAY)
- Earnings date: Tuesday, November 28th, 2023 after the bell
- Price: 236.61 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 14.21 (= +/- 6.01%)
- Implied Volatility (IV): 26.45% - IV Rank: 2.6
CrowdStrike Holdings Inc. - Earnings Date: Tuesday, November 28th, 2023, after the bell
- Name: CrowdStrike Holdings Inc. (CRWD)
- Earnings date: Tuesday, November 28th, 2023 after the bell
- Price: 210.66 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 14.91 (= +/- 7.08%)
- Implied Volatility (IV): 43.06% - IV Rank: 26.43
Hewlett Packard Enterprise Co. - Earnings Date: Tuesday, November 28th, 2023, after the bell
- Name: Hewlett Packard Enterprise Co. (HPE)
- Earnings date: Tuesday, November 28th, 2023 after the bell
- Price: 15.83 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 0.88 (= +/- 5.56%)
- Implied Volatility (IV): 36.16% - IV Rank: 51.5
Salesforce Inc. - Earnings Date: Wednesday, November 29th, 2023, after the bell
- Name: Salesforce Inc. (CRM)
- Earnings date: Wednesday, November 29th, 2023 after the bell
- Price: 224.38 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 11.41 (= +/- 5.09%)
- Implied Volatility (IV): 30.77% - IV Rank: 27.88
Dollar Tree Inc. - Earnings Date: Thursday, November 30th, 2023, before the bell
- Name: Dollar Tree Inc. (DLTR)
- Earnings date: Thursday, November 30th, 2023, before the bell
- Price: 117.32 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 9.734 (= +/- 8.30%)
- Implied Volatility (IV): 47.62% - IV Rank: 95.06
Marvel Technology Group Ltd. - Earnings Date: Friday, December 1st, 2023
- Name: Marvel Technology Group Ltd. (MRVL)
- Earnings date: Friday, December 1st, 2023
- Price: 56.03 (2023-11-27)
- Expiry used to calculate expected move: 2023-12-01
- Days to Expiry (DTE): 4
- Expected Move: plus or minus 4.01 (= +/- 7.16%)
- Implied Volatility (IV): 46.74% - IV Rank: 41.18
A crucial application of the expected move in options trading is evident in strategies such as iron condors and strangles, particularly when these are implemented through short selling. In these strategies, the expected move serves as a pivotal benchmark for setting the boundaries of the trade. For instance, in the case of a short iron condor, traders typically position the short legs of the condor just outside the expected move range. This strategic placement enhances the probability of the stock price remaining within the range, thereby increasing the chances of the trade's success. Similarly, when setting up a short strangle, traders often choose strike prices that lie beyond the expected move. This ensures that the stock has to make a significantly larger move than the market anticipates to challenge the position, thus leveraging the expected move to mitigate risk and optimize the success rate. Utilizing the expected move in this manner allows traders to align their strategies with market expectations, fine-tuning their approach to volatility and price movements.
In this report, the calculation of the expected move for each stock and index is based on a refined approach, building upon the concepts outlined in our previous article. Traditionally, the expected move can be estimated by calculating the price of an at-the-money (ATM) straddle for the expiration date immediately following the event of interest. However, in this analysis, we've adopted a variation to enhance the accuracy of our predictions.
Our method involves a blend of 60% of the price of the ATM straddle and 40% of the price of a strangle that is one strike away from the ATM position. This hybrid approach allows us to closely mirror the expected move as indicated by the implied volatility (IV), offering a more nuanced and precise estimation. By utilizing this simplified yet effective method, we are able to provide an expected move calculation that not only resonates with the underlying market sentiments but also equips traders with a practical tool for their volatility-based strategies.
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Related articles:
- From zero to hero - buying options
- From zero to hero - selling options
- From zero to hero - option strategies
- From zero to hero - options lexicon
- Why options strategies belong in every traders toolbox
- Understanding and calculating the expected move of a stock etf index
- Understanding Delta - a key guide for Investors and Traders - part 1
- Understanding Delta - a key guide for Investors and Traders - part 2
- Trading 0DTEs - get your feet wet - without drowning - part 1
- Trading 0DTEs - get your feet wet - without drowning - part 2
Previous "What are your options" articles:
- 21 Nov 2023: What are your options - Nvidia earnings
- 08 Nov 2023: What are your options - Disney earnings
- 26 Oct 2023: What are your options - Nasdaq Selling Premium
- 29 Aug 2023: What are your options - Salesforce earnings
- 25 Aug 2023: What are your options - the Qs - Nasdaq etf
- 23 Aug 2023: What are your options - Nvidia - earnings - market reactions
- 21 Aug 2023: What are your options - swing trading semi-conductors - stocks vs options
- 18 Aug 2023: What are your options - using TLT as an inverse proxy for the 10 year yield
Previous "Investing with options" articles:
- 23 Nov 2023: Investing with options - hedging the Nasdaq 100
- 17 Nov 2023: Investing with options - Nvidia - pre-earnings
- 10 Nov 2023: Investing with options - AdYen - post investor day
- 31 Oct 2023: Investing with options - Novo Nordisk earnings
- 31 Oct 2023: Investing with options - Apple earnings
- 24 Oct 2023: Investing with options - Amazon earnings
- 24 Oct 2023: Investing with options - Meta Platforms earnings
- 23 Oct 2023: Investing with options - Alphabet earnings
- 20 Oct 2023: Investing with options - Microsoft earnings
- 18 Oct 2023: Investing with options - Tesla earnings
- 17 Oct 2023: Investing with options - long bonds - TLT
Options are complex, high-risk products and require knowledge, investment experience and, in many applications, high risk acceptance. We recommend that before you invest in options, you inform yourself well about the operation and risks. In Saxo Bank's Terms of Use you will find more information on this in the Important Information Options, Futures, Margin and Deficit Procedure. You can also consult the Essential Information Document of the option you want to invest in on Saxo Bank's website.
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