|action||sym||earns date||am/mid/pm||IV percentile|
I require a share price of $20 or higher and average volume of 3 million share per day or higher.
When I look at the more rapidly changing characteristics during the trading session prior to earnings --- on action day -- I shall also require that implied volatility be in the 50th percentile or higher of its annual range.
Neither has sufficiently high volatility today to qualify for further analysis and possibly a trade. That could change, however.
-- Tim Bovee, Portland, Oregon, July 21 , 2016
by Sheldon Natenberg
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