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$CSIQ Options Play

First we will examine the stocks historical earnings performance record. We can see that over the past 8 quarters the stock has sold off 6 times on earnings day with an average move of 10.4%. This does not tell us that the stock is guaranteed to sell off this quarter but it does show us that there is a slight bearish bias in the performance of $CSIQ on earnings day. This means that as we work through the rest of our analysis will have a bullish bias.

With a sense of how the stock has moved on earnings day in the past we can calculate the expected movement for this quarter. To best isolate the expected movement in $CSIQ we will use the shortest dated options that still contain the catalyst event. In this case we will use the June 9th weekly expiry. To measure the market makers expected move we will need to calculate the price of the at the money straddle. We looked at the C$SIQ $13 strike straddle in the June 9thweekly expiry and it is implying a whopping $1.30 move.

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