May 2020 Earnings Week

I burned quite a bit of time fiddling with my earnings parsers this morning, so this post will be quick and snappy. But in a nutshell I was trying to write a Thinkscript indicator that would plot only the front week IV but ended up drawing them manually as their API documentation sucks blocks. Hopefully TOS support will sort me out by next earnings season as it’s a royal PITA. Anyway, the opening bell is only a few minutes away, so let’s get to this week’s goodies:

The scan I’ve got running sorts by:

• Earnings within the next 5 days.
• Volume > 20,000
• Price > $20
• IVZ-Score > 1.0 (we need a bit of IV)

From there dismissed anything that announces earnings today or tomorrow as we need a few days in between so we can benefit from inflated front week IV. In theory this should also work with next day earnings but Tony and I will need to run the numbers on that first.

Finally all the symbols posted are candidates for one of the following option strategies:

• Short Calendar spread (far OTM beyond one of the EM thresholds).
• Short Diagonal spread (far OTM beyond one of the EM thresholds – with front month long strike a bit further toward the money to reduce blow out risk).
• Short Strangle (far OTM on both sides of the two EM thresholds).

We are also looking at iron condors and WYNN below may be good for testing that one.

MRNA
5/8 IV: 144%
5/29 IV: 117%

ROKU
5/8 IV: 150%
5/29 IV: 93%

UBER
5/8 IV: 111%
5/29 IV: 88%

WYNN
5/8 IV: 92%
5/15 IV: 105%
5/22 IV: 99%
5/29 IV: 96%

This one is interesting in that front week IV is actually a bit lower than any of the following weeks. So I’m not sure if this one makes for a good IV candidate but will confer with Tony today and get back to you.

More earnings candidates below the fold for my intrepid subs:

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