Greater positive edges are a theoretical benefit to the trader. The edge is relative to the mid-market price of the trade. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -0.8%. The forecast edge, which is derived from historical volatility, has an edge of 29.0%.

The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 5.2%. The highest ranked trade is a Long Put Calendar with strikes at 190, expiring on Friday, October 21st and Friday, September 30th, for a debit of $2.45.īy pulling up the trade, we can see the theoretical values in more detail. This helps narrow the results to trades that are fairly priced. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. Returning to the overview tab, we can quickly run a scan to find the best option trades. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share.įor NVDA, the current PE ratio is 38.3, which is 19.8% under the average for the last twelve earnings observations. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. The rest of the earnings moves likely yielded profitable short straddles.

In those cases, long straddles were profitable.

This move was breached in 5 out of the last 12 earnings.ĭuring that time, the post-earnings move was outside of the implied range 4 times. The earnings and financials tab takes us to more detail showing the options market expecting a move of 5.8% in either direction. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least.įocusing on NVIDIA, as we click through, we see this large-cap company in the semiconductors industry reports earnings on Wednesday, August 24th, after the close. Read on or watch the video overview here. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade.

When does nvda report earnings next