For the second week in a row the list of new short dated options (found at www.cboe.com/weeklys) had no additions. There are now OEX and SPX options expiring every Friday out to November 8th. There are now 270 indexes, stocks, and exchange traded products (ETFs + ETNs) that have short dated option trading available. Of that 270 there are 149 with serial options. As we enter earnings season, the timing flexibility for those trader that like to ‘play earnings’ has never been greater. This coming week there are a handful of stocks reporting earnings that have options expiring this coming Friday. Here is a summary table for a few of the companies that are reporting and what the historical reaction to earnings has been –
Stock Date / Time Average Move Last Reaction
AA 10/8 – ATC +/- 2.65% -0.13%
COST 10/9 – BTO +/- 1.35% -0.95%
MU 10/10 – ATC +/- 8.01% -3.11%
WFC 10/11 – BTO +/- 3.18% +1.77%
ATC means after the close which means the average move would be the following trading day. BTO reflects the expectation that there will be a report before the market open and the stock price reaction will be the same day. The average price move is based on the absolute value of stock price reactions for the last twelve earnings reports. Finally, the last reaction is how the stock reacted to the most recent earnings result.
On the table, note all four of the stocks had a more muted reaction to earnings than the historical average. As the market often has a short memory there may be some situations where the option market is pricing in a smaller than average move based on history.