Use this site to get a good sense of the real potential of a stock to perform a sustained move. Historical volatility and implied volatility are fine starting points, but stocks move in a very strong directional manner after earnings that, frankly, volatility measures don’t capture well. If you don’t believe us, look at the charts on this site for a few stocks. Use these charts for developing non-directional option strategies such as strangles, butterflies, straddles, iron-condors, etc. Always remember that option premiums drop drastically after the earnings announcement.
There are quite a few things to understand (caveats, warnings, details and whatnot) about this site of which any conscientious user should be aware. Here they are in no particular order:
These are not included in any calculations or data adjustment. The chart depicts adjusted prices but without adjustment for dividends. Thus, even far back in time, the price series is like you would observe in real time.
We use Google and Yahoo Finance as data sources for the stock price series data. The SEC’s Edgar database is the source of the announcement dates.
The Vertical Green Line
The vertical green line in the center of the chart corresponds to the announcement day ( the 8-K release date ) in the EDGAR database that corresponds to the fiscal end-of-quarter. Companies are required to file a report ( the 8-K ) when they make an announcement of any kind regarding their finances.
The Horizontal Green Line
The horizontal green line corresponds to the mid-point stock price of the day of the announcement. I do not have access to the precise time of day that the announcement was made.
Sometimes when looking at stock charts one looses a real sense of the magnitude of the move. The percent annotations remind you of this. The percentages on the chart (gains and losses, two per chart) are measured from the mid-point price on the day of the announcement in the EDGAR database (the horizontal green line). Thus, if announcement took place in the morning of the day, then the percentages could be ‘off’ in a sense because the information would have been known to the market at the opening bell, but as they are just there to give you a quick idea of the magnitude of the price move surrounding the event, they should serve fine. Really, they just save you some mental arithmetic. Also, it frequently obvious from the chart that the exact time of the announcement was not at the close. The chart annotates the lowest low and the highest high after the announcement date.
The number of situations where there might be missing data are too numerous to list, but here are a few key ones. Sometimes it is difficult, programmatically, to align an end of fiscal quarter date to an 8-K release day in the Edgar database. Some stocks release multiple 8-Ks. In this event, the site defaults to not identifying an announcement date. Also, for various reasons, stocks might not have an announcement date. In this case they are omitted.
Some stocks in the NYSE and NASDAQ are actually foreign stocks and do not follow SEC guidelines for announcements, etc. Thus, their stocks are not in the SEC Edgar database. These stocks are not included in our site. If some big company from Europe is missing, this is likely why.
The tables measure the maximum price deviation that occurred within X days of the closing price on the announcement day. It uses the closing price in the calculation. The measure is ambivalent about whether the maximum move was up or down.