The pricing of stock options suggests traders are prepared for a relatively big move in Twitter Inc.’s stock on Friday, after the social media company reports second-quarter results, but that move is likely to be less than historical averages. An options strategy known as a straddle, which involves the simultaneous buying of bullish and bearish at-the-money options expiring Friday–a pure volatility play–is priced for a one-day post-earnings move of 10.3% in either direction. That compares with an average 12.9% move over the past 10 quarters and an 11.8% move over the past 20 quarters. Garrett DeSimone, head quant at OptionMetrics, said implied volatility in Twitter’s stock is at the lowest levels it has been ahead of earnings, when implied vol usually ticks up. Twitter is scheduled to report second-quarter earnings ahead of Friday’s open. The stock, currently down 0.9% in afternoon trading, has rallied 33.5% year to date while the S&P 500 has gained 20.0%. Of the other big technology companies slated to report results after the close, straddles are expecting one-day post-earnings moves for the shares of Amazon.com Inc. of 3.9% (10-quarter average is 4.3%); Google-parent Alphabet Inc. of 4.5% (10-quarter average is 3.7%); and Intel Corp. of 5.1% (10-quarter average is 5.0%).Market Pulse Stories are Rapid-fire, short news bursts on stocks and markets as they move. Visit MarketWatch.com for more information on this news.
Twitter stock options ready for 10% post-earnings move Friday, but that’s less than usual
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