Volatility report - week 48 Volatility report - week 48 Volatility report - week 48

Volatility report - week 48

Options 10 minutes to read
Koen Hoorelbeke

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

Your insights matter to us. Rate this article.

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.


Did this article meet your expectations? Your feedback counts! Please rate & review.

Related articles:

Previous "What are your options" articles: 

Previous "Investing with options" articles: 

 


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.

Disclaimer

The Saxo Bank Group entities each provide execution-only service and access to Analysis permitting a person to view and/or use content available on or via the website. This content is not intended to and does not change or expand on the execution-only service. Such access and use are at all times subject to (i) The Terms of Use; (ii) Full Disclaimer; (iii) The Risk Warning; (iv) the Rules of Engagement and (v) Notices applying to Saxo News & Research and/or its content in addition (where relevant) to the terms governing the use of hyperlinks on the website of a member of the Saxo Bank Group by which access to Saxo News & Research is gained. Such content is therefore provided as no more than information. In particular no advice is intended to be provided or to be relied on as provided nor endorsed by any Saxo Bank Group entity; nor is it to be construed as solicitation or an incentive provided to subscribe for or sell or purchase any financial instrument. All trading or investments you make must be pursuant to your own unprompted and informed self-directed decision. As such no Saxo Bank Group entity will have or be liable for any losses that you may sustain as a result of any investment decision made in reliance on information which is available on Saxo News & Research or as a result of the use of the Saxo News & Research. Orders given and trades effected are deemed intended to be given or effected for the account of the customer with the Saxo Bank Group entity operating in the jurisdiction in which the customer resides and/or with whom the customer opened and maintains his/her trading account. Saxo News & Research does not contain (and should not be construed as containing) financial, investment, tax or trading advice or advice of any sort offered, recommended or endorsed by Saxo Bank Group and should not be construed as a record of our trading prices, or as an offer, incentive or solicitation for the subscription, sale or purchase in any financial instrument. To the extent that any content is construed as investment research, you must note and accept that the content was not intended to and has not been prepared in accordance with legal requirements designed to promote the independence of investment research and as such, would be considered as a marketing communication under relevant laws.

Please read our disclaimers:
- Notification on Non-Independent Investment Research (https://www.home.saxo/legal/niird/notification)
- Full disclaimer (https://www.home.saxo/en-gb/legal/disclaimer/saxo-disclaimer)

Saxo Markets
40 Bank Street, 26th floor
E14 5DA
London
United Kingdom

Contact Saxo

Select region

United Kingdom
United Kingdom

Trade Responsibly
All trading carries risk. To help you understand the risks involved we have put together a series of Key Information Documents (KIDs) highlighting the risks and rewards related to each product. Read more
Additional Key Information Documents are available in our trading platform.

Saxo Markets is a registered Trading Name of Saxo Capital Markets UK Ltd (‘SCML’). SCML is authorised and regulated by the Financial Conduct Authority, Firm Reference Number 551422. Registered address: 26th Floor, 40 Bank Street, Canary Wharf, London E14 5DA. Company number 7413871. Registered in England & Wales.

This website, including the information and materials contained in it, are not directed at, or intended for distribution to or use by, any person or entity who is a citizen or resident of or located in the United States, Belgium or any other jurisdiction where such distribution, publication, availability or use would be contrary to applicable law or regulation.

It is important that you understand that with investments, your capital is at risk. Past performance is not a guide to future performance. It is your responsibility to ensure that you make an informed decision about whether or not to invest with us. If you are still unsure if investing is right for you, please seek independent advice. Saxo Markets assumes no liability for any loss sustained from trading in accordance with a recommendation.

Apple, iPad and iPhone are trademarks of Apple Inc., registered in the U.S. and other countries. App Store is a service mark of Apple Inc. Android is a trademark of Google Inc.

©   since 1992