We observe the five factors and the options straddle price prior to earnings announcement and see if any were predictive. Four factors are related to stock moves after earnings announcement and one is the historical average options straddle price before earnings. Moves are presented as dollar stock prices but made from historical percent moves.
1. The Past Straddle Price is the average of the past 12 quarters
2. The Historical Projected Move is the average of All Moves, Same Quarter Moves, and Past Year Moves
3. Past Actual Moves is the average of all moves over the past 12 quarters
4. Same Quarter Moves is the median of same quarter Moves within the last 12 quarters.
5. Past Year Moves is the average of the last four quarter Moves.
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