How to Calculate an Options-Implied Move Before Earnings

What an options-implied move measures#

An options-implied move is a rough way to express how much movement is priced into an option at a particular moment. For an at-the-money (ATM) straddle, add the premium of a call and a put with the same strike and expiration. Divide that combined premium by the stock price to get a rough percentage estimate. The calculation describes a price estimate—not the direction of a move, a forecast of earnings, or a guaranteed boundary. https://www.cboe.com/insights/posts/what-options-data-may-indicate-about-mag-7-earningsLong Straddle This guide shows how to calculate and document that estimate before an earnings announcement. Its focus is interpreting the number, not deciding whether to trade.

Use premiums quoted per share and a stock price observed at approximately the same time. The ATM straddle’s price divided by the stock price is a rough percentage estimate; it is not a promise that the stock will stay within the resulting levels. https://www.cboe.com/insights/posts/what-options-data-may-indicate-about-mag-7-earningsLong Straddle

• Combined straddle premium = call premium + put premium
• Approximate dollar move = combined straddle premium
• Approximate percentage move = combined straddle premium ÷ stock price × 100
• Illustrative levels = stock price −/+ combined straddle premium

Fill in both option legs and the underlying stock price using contemporaneous observations. Keep the quote date and time with the worksheet so that the result remains tied to the market snapshot that produced it.

Check the options inputs#

The arithmetic is quick; choosing inputs that genuinely represent an ATM straddle takes more care. A straddle pairs a call and a put with the same strike and expiration. Long Straddle Check the contract details and quote context before treating the result as meaningful.

Run through these checks before comparing the result with another estimate or recording it in a trading journal:

• Match the legs: confirm that the call and put have the same strike and expiration. If they do not, their sum is not the same-strike straddle calculation described here. Long Straddle
• Choose and disclose the ATM strike: use a strike near the stock price at the time of the quote. If the stock sits between listed strikes, record the strike you chose. A different strike can produce a different premium and estimate.
• Check event timing: record the announcement date and time, then check whether the option expires after the announcement. An expiration that includes the announcement also includes any remaining time after it; its premium is therefore not necessarily an earnings-only estimate.
• Use contemporaneous quotes: note the date and time for the stock, call, and put. Comparing an option price from one moment with a stock price from another can distort the percentage calculation.
• Inspect quote quality: record whether you used a last trade, bid, ask, or midpoint. A midpoint can be a practical calculation input, but it is not a guarantee that a trade could execute there. Cboe LiveVol describes using an NBBO-based midpoint for its implied-volatility calculations; that is a data-product methodology, not a claim that every displayed midpoint is executable. Frequently Asked Questions (FAQs) | Cboe LiveVol Data Shop
• Check premium units: option premiums are commonly displayed per share. If you want the total premium for a standard 100-share equity-option contract, multiply the combined per-share premium by 100. The percentage calculation still divides the per-share premium by the per-share stock price. CHARACTERISTICS AND RISKS OF STANDARDIZED OPTIONS

Interpret the number modestly#

The result is a snapshot of option prices, not a clean measurement of how much the earnings announcement alone contributes to expected movement. Option prices can be affected by time remaining, expected volatility, supply and demand, and other market and economic forces. CHARACTERISTICS AND RISKS OF STANDARDIZED OPTIONS If an expiration extends beyond the announcement, the premium covers the option’s remaining life, not just the hours around the report. The calculation does not separate those influences.

Record the estimate as a snapshot#

A brief record makes the estimate easier to interpret later and helps prevent a snapshot from being mistaken for a fixed expectation. Capture the stock price, quote timestamp, strike, expiration, each option premium, and the method used for those premiums. Then calculate the combined premium and percentage move, and label the result as a rough estimate. If you repeat the calculation at another time, preserve the new inputs rather than overwriting the earlier snapshot: changes in the stock price or option prices can change the result.

Use these quick checks to keep the calculation in its proper role:

Frequently asked questions#

How do you calculate an options-implied move before earnings?

Add the same-strike, same-expiration call and put premiums. Divide their combined per-share premium by the stock price and multiply by 100. This is a rough estimate, not a guaranteed range. https://www.cboe.com/insights/posts/what-options-data-may-indicate-about-mag-7-earningsLong Straddle

Does an ATM straddle estimate show whether the stock will rise or fall?

No. The combined premium provides a rough magnitude estimate; it does not identify a direction or predict the eventual earnings reaction. Long Straddle

Which option quotes should I use?

Record a stock price and call and put quotes from approximately the same time. State whether you used bid, ask, last trade, or midpoint, and remember a midpoint is not necessarily executable. Frequently Asked Questions (FAQs) | Cboe LiveVol Data Shop

Is the entire straddle premium an earnings-only estimate?

Not necessarily. The premium reflects the option’s remaining life and other influences on option prices, not only the earnings announcement. CHARACTERISTICS AND RISKS OF STANDARDIZED OPTIONS

A useful estimate needs its context#

To calculate an options-implied move before earnings, add the premiums of a near-ATM call and put that share a strike and expiration, then divide by the stock price. The useful part is not just the percentage: it is knowing which contracts, quote time, and expiration produced it. Keep those details attached to the estimate, and read the result as a market-priced snapshot—not a prediction or recommendation.

Sources#

• Frequently Asked Questions (FAQs) | Cboe LiveVol Data Shop — datashop.cboe.com
• Why Trade Options Around Earnings Season | Cboe — cboe.com
• https://www.cboe.com/insights/posts/what-options-data-may-indicate-about-mag-7-earnings — cboe.com
• https://www.cboe.com/insights/posts/trading-options-around-economic-events/ — cboe.com
• https://www.cboe.com/insights/posts/debunking-options-myths — cboe.com
• https://syndication.finra.org/content/frequent-intraday-trading-understanding-basics — syndication.finra.org
• https://cdn.cboe.com/resources/government_relations/Understanding-Retail-Investors-Dynamic-Trading-Behavior-in-the-US-Options-Market_2024.pdf — cdn.cboe.com
• https://cdn.cboe.com/resources/regulation/rule_filings/approved/2020/SR-CBOE-2020-117-Amendment-No-1.pdf — cdn.cboe.com
• https://cdn.cboe.com/resources/vix_options/blackrock-vixyourportfolio.pdf — cdn.cboe.com
• https://cdn.cboe.com/resources/msci/Market-Access-Guide.pdf — cdn.cboe.com
• News — optionseducation.org
• Long Straddle — optionseducation.org
• CHARACTERISTICS AND RISKS OF STANDARDIZED OPTIONS — theocc.com
• https://www.theocc.com/getcontentasset/a151a9ae-d784-4a15-bdeb-23a029f50b70/dfc3d011-8f63-43f6-9ed8-4b444333a1d0/riskstoc.pdf%3B — theocc.com
• https://www.theocc.com/market-data/market-data-reports/series-and-trading-data/expiration-pricing-considerations — theocc.com
• https://www.optionseducation.org/referencelibrary/faq/strategies — optionseducation.org