Monday, April 25, 2011

4/25 Earns

NFLX reports earnings after today's (April 25) close, and a bunch of heavy hitters weigh in before tomorrow (April 26) open.

I'm looking for volatile, earnings-surprise-prone stocks suitable for options straddles and strangles that meet these criteria:

  • The 14-day average true range is 2.5% of the price or higher.
  • Of the last five quarters, earnings have shown a 50% surprise, in either direction, at least three times, and additionally, a 20% surprise at least two times.

Here's what I found:

NFLX is plenty volatile, but it's not prone to earnigns surprises.

Of the rest, ACI, AKS, DAL and X meet my criteria for both volatility and surprisiness. (Is that a word?)

RF is prone to surprises but comes up a bit short on volatility.

NOV and VLO are sufficiently volatile but have insufficient surprises.

KO and UPS are both low volatility and low surprise.

And CIT -- well, CIT lacks data in the system I'm using.

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