The 800-pound gorilla of the batch is MSFT, out today.
When I score these stocks, I'm looking to find which 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.
MSFT fails on both counts only one 20%+ surprise the last five quarters, and volatility of 1.7%.
Only one straddle/strangle prospect is both high surprise and high volatility: CX, out tomorrow before the open. It has had four 50%+ surprises, and an additional 20% plus surprise, out of the last five quarters, with volatility of 3.1%.
MRK is high on earnings surprises but lower than my criterion for volatility.
AEM, CLF and HGSI -- all out today -- are sufficiently volatile but lack surprisiness.
Aside from MSFT, those failing to meet both criteria are SWN, out today, and CAT, CVX and DHI, out tomorrow.
By the way, when I say a stock fails to meet criteria, I'm not drawing conclusions about whether its a decent play. MSFT fails on both counts, and could fluctuate wildly after the announcement. Or not. The whole point of playing straddles and strangles around earnings is that you are totally clueless about what will happen.