Options Volatility and Implied Earnings Moves Today, November 01, 2024

Implied Volatility Today

IV levels have been declining across the board with most underlyings seeing a 5-10% decrease in IV today.

The largest decreases in IV are being seen in the Financials sector with IV in the XLF ETF down nearly 15% and large banks like JPM, BAC, and C decreasing more than 10%.

The moves in IV are likely due to a combination of factors, including the fact that we are now in the post-earnings season and the fact that the VIX has been declining over the past few weeks.

Implied Earnings Moves

Implied earnings moves provide a glimpse into what the market expects a company to earn in the upcoming quarter.

One way to calculate implied earnings moves is by dividing the change in an option's price by the change in the underlying stock price.

For example, if the price of a stock increases by $1 and the price of a call option on that stock increases by $0.25, then the implied earnings move is 25%.

Implied Earnings Moves Today

Today, we are seeing implied earnings moves across the board being revised lower.

The largest moves are being seen in the Energy sector with implied earnings moves being revised lower by 5-10% for many of the large integrated oil and gas companies.

This is likely due to the recent decline in oil prices. Implied earnings moves are a useful tool for investors to use when trying to gauge how the market expects a company to perform in the upcoming quarter.