Volatility Kings™ is our list of companies having a tendency to experience increasing option implied volatility as their quarterly reporting dates approach. Increasing implied volatility reflects uncertainty or the width of the possible stock price distribution on the report date. However, the degree of uncertainty for the current report may not be comparable. Indeed, some companies are on the list one quarter and not the next while others seem to remain on our list quarter after quarter. Since the focus is on earnings, others with high-implied volatility due to takeover speculation or FDA announcement events are excluded along with the others lacking sufficient liquidity due to low option volume.
Using last quarter's list those with average daily options volume less than 5000 contracts last week were deleted along with those declining less than ten percentage points from their pre announcement high last quarter. Eliminated this quarter were CTRP, GME, HIMX, JOY, SHLD, SODA, SYNA, UBNT, VMW, VRX, and WDAY.
New additions: AAL, DAL, FEYE, MU, PCLN, S, SCTY, TWTR
Price shown in column 4 are closing prices as of Friday July 11, 2014.
Next Rpt in column 5 is the next expected reporting date. Check them as these are only estimates and the companies routinely change their reporting dates. Time in column 6 is when during the day to expect the report, where B is before the open, A is after close and D is during market hours.
Estimate in column 7 is the current consensus earnings estimate per share, also subject to change before the report date.
Last Q IV in column 8 is the implied volatility index mean (IVXM) of the puts and calls reached just before the last quarterly report, but may not necessarily be relevant this quarter. Further the near term at-the-money implied volatility could be considerably higher than the index mean.
IV Min Ex in column 9 shows the implied volatility low after the last earnings report making it easier to compare the pre-report high to the subsequent low. For some, the implied volatility is still declining so there may still be a lower low. Examples are BBRY and MU.
Events unrelated to earnings reports can also affect implied volatility, such as the recent rotation out of cloud, mobile, social and biotech stocks unrelated to earnings.
IV Now in column 10 is the implied volatility index mean, (IVXM) as of July 11, 2014.
IV Est/Now in column 11 is the ratio of the estimated implied volatility to the current implied volatility based primarily on the high reached the previous quarter. Those with higher ratios have a potentially greater opportunity to increase going into their next report date and many have already started increasing anticipating the next report.