Here is my list for this week. To be honest, nothing really looks that interesting this week. I have only one company that made my A list, and I’m not very confident it will be worth playing. Anyway, it’s below.
Ticker ErnDate MrkCap F Shrt Beta RSI VolStrs E Stars Avg Ern%
APOL 3/29-b 6.28B 5.71% 1.14 56.28 4/12 2/4 13.00%
Here are a few other companies that might be worth watching (the B list) but are higher risk plays due to very high implied volatility or average earning moves that likely won’t break-even on a strangle or straddle even with a good size earning move.
Ticker ErnDate MrkCap F Shrt Beta RSI VolStrs E Stars Avg Ern%
LEN 3/29-b 3.73B 16.32% 0.73 51.65 5/12 1/4 8.00%
MED 3/31-b 295.6M 27.55% 1.01 39.58 6/12 0/4 6.00%
KMX 3/31-b 7.45B 4.59% 1.14 46.42 5/12 0/4 8.50%
For those interested, here is the basic process in how I create this list. It is based in a large part on the information Lerogee supplied with some additional steps/modifications to get the list down to the couple stocks I think have the best chance of making decent (i.e. profitable strangle/straddle) moves on earnings.
- Using Finviz or some other screener, get the list of all stocks with earnings for the next week that are option-able and have a share price of at least $10 (as stocks under $10 rarely move enough from an option perspective to make a strangle/straddle profitable IMO).
- From this list, remove any companies that have little option activity (e.g. not much volume or open interest) or an excessive bid/ask spread as their options will likely be too illiquid to be profitable.
- Using OptionSlam, pick the companies that are the most volatile (e.g. lots of stars or consistently big moves on earnings).
- From this list, remove any ones with extremely high implied volatility as the volatility collapse when earnings come out will likely kill any profit even on a big jump. Also remove any that have excessively overpriced puts or calls or average earning moves that aren’t that big.
- Finally, I do some analysis with ToS’s “thinkback” to see how playing them on previous earnings would have panned out. Ones that weren’t very profitable even with a decent earnings move also get removed from the list (or moved to the B list).
That’s my basic procedure. There is obviously some subjectivity involved (e.g. what is too big a bid/ask spread, etc.)
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