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.