Jeff - EarningsViz

The "actual" refers to the actual number of times that SPLK has moved more than -3.55% during past earnings events. There were 28 total earnings events tracked for SPLK and 6 of those times SPLK fell more than -3.55% (6/28 = 0.214) Let me know if that makes sense!

Thanks for the suggestion! I'll post on this thread when I implement it.

Just an update on the project - in the future, I'm planning on adding not only pre-earnings trades, but post earnings trades (comparing the implied volatility on options after "all information is known" to the historical volatility after earnings reports. Currently, the site is still free so you should feel free to take a look and hopefully benefit from its data - feel free to reach out to jeff@earningsviz.com if you have any comments or questions. When more features are added in the future, I plan on making the site subscription based - however, I may give a discount or free access to SteadyOptions subscribers.

Thanks for that - I'll look into the theorem and compare it my current calculations based on vertical spreads. I believe that retail traders will be willing to pay for services that provide value - I believe that EarningsViz data can help them to make back the subscription fee in a few trades. That being said, I do plan on incorporating more strategies in the future in order to appeal to more traders.

I would like to introduce earningsviz.com, an options website focused on earnings trades. The thesis behind the website is simple: tail-end risk is mispriced around earnings events; by creating a simple and easy way to visualize this mispricing via analyzing option prices, it allows traders to pick the best strike prices and strategies to enter an earnings trade. This is achieved by comparing a historical distribution of changes in the stock after earnings against the implied moves of the stock calculated via tight vertical spreads. This comparison yields an edge value that demonstrates whether a stock is fairy valued, or more favorable for option buyers/sellers. A more detailed explanation of the methodology can be found here. Currently, EarningsViz is in a beta mode so all the information is available for free - the companies listed are all reporting next week (updated every Thursday/Friday). In the future, there will be a subscription required for accessing the information, and I plan on giving SteadyOptions users a discount. Also, I plan on adding strategies and trades for pre and post earnings soon. I am open to feedback/questions on the site as well as features you would like to see added, so let me know what you think!