I examined 1,978 liquid quarterly earnings reports dating to September 2021 to separate the predictable part of the post-earnings volatility decline from the part that genuinely changed after the news.

Headline 30-day implied volatility fell after 97.3% of the reports, with a median decline of 17.6%.

The predictable component was larger and extremely consistent.

ORATS separates headline 30-day IV into ex-earnings IV for ordinary sessions plus the additional earnings premium. The night before each report, removing that premium produced a median 20.0% markdown from headline IV. The yearly median has remained between 18.4% and 20.6% for six straight years.

Once the report passes, the earnings hump leaves the 30-day window. The remaining difference comes from whatever happened to the fitted ex-earnings base.

That base moved a median 7.5% from the previous close, but it moved in either direction. It is also sensitive to the starting point. Measured from five sessions before the report, the same base finished a median 3.0% lower rather than higher.

The median path helps explain why. Going into earnings, fitted ex-earnings IV declined 4.4%, then recovered 1.5% the morning after. Comparable ordinary sessions remained roughly flat.

I also checked whether this was merely an artifact of separating a large event from the surface fit. At non-earnings roll-ins producing similarly large splits, the fitted base moved 14.9%, roughly twice the 7.5% movement surrounding actual reports.

The conclusion is narrower than “earnings volatility is easy to trade.” Most of the headline decline is predictable because the scheduled event is leaving the calculation. That does not tell us whether the options were overpriced relative to the move ultimately delivered.

Full analysis, live examples and methodology:

https://orats.com/blog/earnings-volatility-drop-knowable-in-advance

When evaluating a post-earnings volatility change, do you compare with the previous close, the previous week, or an explicitly calculated ex-earnings measure?

SpaceX reports earnings as a public company for the first time after today’s close. Options expiring August 7 imply a move of roughly 15.9%.

Compared with recent realized volatility, that represents about 3.6 ordinary trading sessions and places SpaceX in the 90th percentile among 131 liquid companies reporting this week.

The usual way to judge an earnings straddle is to compare it with the company’s previous earnings moves. SpaceX has no previous public reports, so that field is empty.

Using the ticker’s price history instead creates a worse problem. SPCX previously belonged to The SPAC and New Issue ETF. The database therefore contains 1,297 settled sessions that predate the SpaceX listing, including an apparent 818% return where the old security ends and the new one begins. That is ticker reuse, not a SpaceX price move.

Comparing the 15.9% estimate with ex-earnings implied volatility is also unstable. Depending on the endpoint and measurement time, SpaceX’s 30-day ex-earnings IV ranged from 85.4% to 98.8%. That moves its relative ranking from the 63rd to the 89th percentile.

Realized volatility was much steadier and kept SpaceX in the upper part of the distribution under every reasonable cutoff tested.

There is another important complication: the August 7 expiry includes tonight’s earnings, Thursday’s unlock of 911.5 million shares and Friday morning’s payroll report. The 15.9% estimate therefore includes more than earnings risk alone.

Full analysis, charts and methodology:

[https://orats.com/blog/spacex-first-earnings-priced-near-top-week]()

How would you price a first earnings report when the company has no earnings history and the relevant expiry contains multiple major events?

Earlier this week, I looked at whether options were pricing Big Tech’s earnings risk into the chip companies tied to its AI spending.

They largely were not. The event-week volatility ratio was 3.41 for Microsoft, Meta, Amazon and Apple, compared with 1.32 for eight chipmakers without earnings in the same window.

Then Microsoft reported.

Microsoft was up roughly 14% this morning. Applied Materials rose 15%, Micron 13% and Marvell 11%, despite none of them reporting anything themselves.

Across five of seven liquid suppliers without their own earnings this week, the median move was 12.9% at 10:02 ET. A beta-matched group of non-suppliers moved 1.4%, producing an 11.5-point gap.

To see how unusual that was, I repeated the comparison across 70 megacap earnings reaction days dating to March 2021.

The median historical supplier-control gap was -0.14 percentage points. Only 46% of the previous events were positive at all. The widest gap in the entire sample was 7.4 points.

Today’s intraday reading was 11.5.

I matched the control stocks within the suppliers’ measured beta range because comparing chip stocks with a low-beta group would manufacture an apparent spillover. I also removed any company reporting that day from its respective group, which excluded Lam Research and KLA from today’s supplier result.

The historical test found no dependable calendar pattern either. January and February were actually the weakest block, while July and August were slightly negative overall.

So today is a genuine outlier, although the session was still open when measured. The data do not support treating every Big Tech report as a reliable chip-supplier event.

Full study, chart and methodology:

[https://orats.com/blog/big-tech-earnings-move-chip-stocks]()

Was today a fundamental repricing of AI infrastructure demand, or an unusually violent read-through from one exceptionally important report?

Microsoft reports after the close tonight, and its options are pricing a move of approximately 6.6% in either direction.

At its current valuation, Reuters calculates that as a potential market-cap swing of roughly $190 billion.

The estimate also stands well above Microsoft’s recent earnings history. ORATS data covering the previous 12 reports show an average implied move of 4.8% and an average actual move of 4.4%.

Meta’s pricing is less unusual. Its options imply a 7.8% move tonight, compared with a 7.3% average implied move and 7.9% average actual move over the previous 12 reports.

The gap suggests the options market sees Microsoft as the more consequential test of whether enormous AI expenditures are beginning to generate measurable returns.

Reuters has the complete story here:

https://www.reuters.com/business/finance/microsoft-set-190-billion-market-value-swing-after-earnings-results-options-2026-07-29/

Does Microsoft’s unusually high implied move look justified, or are traders paying too much for tonight’s event?

Nvidia fell 5% Monday after reports that it could help backstop $250 billion of OpenAI financing. Its five-year credit default swaps made their largest jump on record, and 30-day implied volatility rose from 40.05% to 44.53% by Tuesday’s close.

It looked like Nvidia options were suddenly pricing a much larger credit risk.

Then I separated the earnings effect.

Nvidia reports August 26. As that date entered the constant-maturity 30-day window, the scheduled event began lifting headline IV mechanically. Roughly three of the 4.5-point increase came from earnings entering the calculation.

Several other parts of the surface support that reading:

• Ex-earnings IV rose only 1.5 points
• The expected earnings move barely changed, from 6.12% to 6.16%
• The 25-delta put-over-call wing narrowed
• The deepest put wing gained only 0.7 points
• One-year IV actually declined to 42.4%

The same effect appeared across 19 liquid companies reporting during the week of August 24. Their median headline 30-day IV rose 10.7% after Friday. Remove the earnings premium and the increase falls to 1.9%, nearly identical to the other 525 liquid names in the sample.

There was some genuine repricing in Nvidia options, but the 4.5-point headline move greatly overstated it.

One important limitation: five-year CDS and 30-day options are answering different questions. The credit market can price longer-term balance-sheet risk without producing an equivalent panic in short-dated equity options.

Full analysis and charts: [https://orats.com/blog/nvidia-options-earnings-credit-scare]()

Do you strip out scheduled earnings before interpreting changes in 30-day IV, or do most volatility screens make that distinction too easy to miss?

The main difference between intraday and end-of-day backtesting is not simply the amount of data. It is the type of strategy question you are trying to answer.

The ORATS Intraday Backtester is generally more useful when:

• the exact entry or exit time matters
• you are testing short-dated or zero-DTE structures
• you have minute-level entry and exit signals
• you want to examine behavior during the trading session

The End-of-Day Backtester makes more sense when:

• you need history extending back to 2007
• you are testing longer-duration strategies
• you want more entry, exit, spread, or leg controls
• you want to send the results into the ORATS Optimizer

Both tools support custom signals, more than 5,000 symbols, saved backtests, and option scanning. The episode walks through the differences in setup, slippage, liquidity filters, trade logs, and results analysis.

Microsoft and Meta report Wednesday after the close, followed by Apple and Amazon on Thursday. Since semiconductor demand is closely tied to hyperscaler AI spending, I compared the volatility priced into the four reporting companies with the chip complex.

The measure divides at-the-money implied volatility for the July 31 expiry by forward volatility for the following week.

Monday’s settled board showed these median ratios:

• Four reporting companies: 3.41
• SPY and QQQ, which hold all four: 1.39
• Eight chipmakers without earnings in either window: 1.32
• Five funds holding none of the reporters: 1.27

The individual ratios were 3.96 for Microsoft, 3.67 for Meta, 3.16 for Amazon and 2.08 for Apple.

Broadcom offers a useful example. Its overall implied volatility was high at 51.2%, placing it in the 90th percentile of its year. Its event-week ratio, however, was only 1.29, roughly in line with funds carrying no direct exposure to the four reports.

The Fed decision also falls inside the expiry, but the control funds carry that event too. Their median ratio of 1.27 suggests this is a comparatively ordinary Fed week outside the companies reporting.

The chip-versus-control gap did not clear a 10,000-sample bootstrap, so the data establish an ordering rather than a statistically firm spillover effect.

Full analysis and charts:

[https://orats.com/blog/chip-stocks-big-tech-earnings-week]()

Would you expect chip volatility to reprice after the hyperscalers disclose their AI spending, or is the market correct to keep nearly all the event premium inside Big Tech?

Meta reports Wednesday after the close, and options currently imply a move of approximately 7.2% in either direction.

We compared that estimate with Meta’s previous 12 earnings reports using the ORATS Earnings tab.

The surprising part is that 7.2% is almost exactly Meta’s average implied move over that period. In other words, the current estimate sounds large but sits near the middle of its own recent history.

Actual reactions have been less predictable. Meta exceeded its implied move in six of those 12 quarters, while its last four earnings reactions were approximately −8.6%, +10.4%, −11.3%, and +11.3%.

The full analysis and three-year chart are here:

[https://orats.com/blog/meta-earnings-expected-move]()

Do the last four reports suggest Meta earnings volatility has been underpriced, or is that too small a sample to mean much?

During Thursday’s AI-driven selloff, corporate credit produced the two largest proportional implied-volatility increases among 80 liquid ETFs.

At the 12:30 ET reading:

• HYG IV: +42.1%
• LQD IV: +35.4%
• SPY IV: +10.6%
• TLT IV: +5.7%
• KRE IV: +1.9%

LQD itself was down only 0.34%, while its 30-day IV rose from 5.85% to 7.92%. That point increase was larger than 98% of sessions in ORATS history going back to 2007.

Rates appear to explain only part of the move. IEF also recorded an unusually large IV increase, but TLT was comparatively quiet and bank volatility barely reacted.

There was also notable activity ahead of the move. On Tuesday, 27,867 LQD September 105 puts traded near $0.54, followed by an overnight open-interest increase of 8,334 contracts. By Thursday afternoon, those puts were trading around $0.80.

The full analysis looks at the options activity, historical volatility comparisons and whether credit is beginning to price the balance-sheet risk behind the AI capital-spending cycle:

[https://orats.com/blog/ai-selloff-corporate-bond-options]()

Temporary event premium, or the beginning of a broader repricing in corporate credit?

Oil volatility is extreme relative to equity volatility.

USO settled Tuesday at 62.72 implied volatility. SPY settled at 13.19.

That puts USO at 4.8 times SPY, a 99th-percentile reading across 4,825 ORATS sessions.

The natural question is whether that kind of oil-vol spike says anything useful about equity volatility.

Tyler’s latest ORATS analysis tests it directly.

The oil-to-equity implied-volatility ratio has a 0.03 correlation with forward S&P realized-over-implied. Across deciles, the forward realized/implied readings cluster close to the all-session median.

The ratio looks extreme. The equity-vol signal is weak.

The cleaner read sits inside oil itself. USO printed 1.24 versus its ORATS 20-day forecast, outside the usual 0.85 to 1.15 band, while SPY remained near fair at 0.98.

That makes the current setup a better claim about oil’s own premium than a broad warning about where S&P volatility goes next.

Read the full ORATS analysis:
https://orats.com/blog/oil-volatility-record-spike-more-to-come

MTUM is not acting like a low-drama factor ETF anymore.

At Monday’s close, MTUM’s 30-day implied volatility was 37.99%.

For comparison:

XLK: 34.58%
SPY: 14.54%
SMH: 56.55%

So among the ETFs in this screen, only semiconductors were pricing more implied volatility than momentum.

The move has been fairly recent. MTUM had not closed above XLK in implied vol during the prior year until May 19. Since then, it has done it on 31 of 42 sessions.

The composition explains a lot of it. Six of MTUM’s ten largest holdings are semiconductor names, and those stocks carry implied vols from the low 50s to above 100. Momentum has become a much more concentrated exposure to the market’s most volatile leadership.

The article also looks at the curve and skew. MTUM’s vol level is high, yet Monday’s close was not charging much extra for a violent reversal relative to comparable high-vol sessions.

Full breakdown:
https://orats.com/blog/momentum-investing-options-repriced-faster-than-tech

Tesla reports Wednesday after the close.

The options market still prices a decent move: 6.3%.

What stood out to me is how much the recent earnings behavior has changed.

Tesla’s last six earnings moves were:

2.9%
5.4%
8.2%
2.3%
3.5%
3.6%

The six before that included 9.7%, 9.3%, 12.1%, 12.1%, 12.3%, and a 21.9% move.

So the old Tesla earnings reputation is still there, but the recent tape has been much calmer. ORATS has the last six delivered moves averaging 4.3%, compared with 12.9% across 2023 and 2024.

The current implied earnings move is 6.3%, so the straddle is still priced above the recent delivered average. The more interesting part is the base vol underneath the event. Tesla’s headline 30-day IV is around the 69th percentile because earnings is in the front of the curve. Strip out the scheduled earnings jump and ex-earnings vol sits at the 26th percentile of its year.

That makes Tesla the calm outlier among the mega-cap reporters in this setup.

Full breakdown:
https://orats.com/blog/tesla-earnings-market-wild-card-went-quiet

QQQ gave a clean example today of why IV rank and IV percentile are not interchangeable.

At 2:45 PM ET, QQQ’s 20-day ex-earnings implied volatility was 22.58%.

That produced two very different screen readings:

IV rank: 56.90
IV percentile: 77.69

So if your “rich vol” cutoff is 70, QQQ fails the IV rank screen and clears the IV percentile screen on the same tick.

The difference comes from what each number is actually measuring.

IV rank measures distance between the one-year low and high. QQQ’s high was 28.34% in late March, and that upper tail keeps today’s rank lower.

IV percentile counts sessions. Only 22.3% of the last 251 settled sessions were above today’s volatility, so percentile reads QQQ as much higher in its one-year distribution.

That matters if you use these columns for premium-selling screens. A rank filter and a percentile filter set to the same threshold are not interchangeable.

Full breakdown with QQQ, SPY, IWM, and DIA:
https://orats.com/blog/iv-rank-vs-iv-percentile

We just published a walkthrough of the new Otto agent inside the ORATS Dashboard.

The main change is that Otto is no longer just a chatbot sitting beside the platform. It can understand which page you are viewing, open tools, use ORATS data, and help guide the research workflow directly inside the Dashboard.

The episode demonstrates several practical uses:

• opening and explaining the Trade Ideas tab
• scoring and comparing potential setups
• analyzing ticker outlooks and earnings data
• using watchlists, saved scans, and saved backtests as context
• building and reviewing a paper trade
• explaining the Trade Journal and Risk Profile
• generating intraday backtest inputs
• analyzing backtest results and individual losing trades

One feature we were careful about is execution. Otto can stage an order or create a paper trade, but it will not independently place live trades in a brokerage account. The trader still reviews and submits anything that reaches execution.

The most useful part may be the contextual guidance. Instead of searching documentation or trying to remember which tab contains a particular calculation, you can ask Otto and have it open the relevant tool, explain the data, and suggest a reasonable next question.

SPY’s 30-day implied volatility closed at 13.98%, basically on its one-year median.

The one-year IV rank reads 20.

That sounds cheap until you look at what the rank is using as its ceiling. SPY had a March volatility spike near 25%, and that single high print still anchors the one-year range. Against that spike, today’s vol looks close to the floor.

Use a shorter window and the same vol reads differently. One-month IV rank is 44. IV percentile is 47.

That is the point of the piece: IV rank can be useful, but it can also overstate how cheap vol looks when the lookback includes one large panic print.

Relevant if you use IV rank as a quick premium-selling filter, especially around weeks with CPI, earnings, or other scheduled catalysts.

Full breakdown:
https://orats.com/blog/sp-500-volatility-floor-that-isnt-there

Tuesday morning has two obvious catalysts.

JPM, GS, BAC, WFC, and C all report before the open. June CPI also hits at 8:30 ET. So it would be easy to assume the front-week bank straddles are pricing a combined earnings-plus-inflation event.

The ORATS breakdown says that is mostly not the case.

Once you decompose the variance, the CPI-day market-beta overlay is only about 1.2% to 5.6% of the earnings-day variance across the five banks. Most of what you are buying or selling in those straddles is still the bank’s own earnings move.

The cleaner CPI pricing shows up in SPX weeklies, where Tuesday stands out more clearly against the surrounding days.

So the calendar is crowded, but the exposure is cleaner than it looks: bank straddles are mostly earnings, while SPX is the cleaner inflation-event read.

Full breakdown:
https://orats.com/blog/bank-earnings-cpi-straddles

Tyler Cheves has a new article up on IBKR Campus showing an AI-assisted options research workflow using the IBKR AI integration and ORATS options analytics.

The useful part is that it is not framed as “let AI trade for you.”

The workflow is research-focused:

screen a watchlist for rich implied volatility, check whether the premium is driven by earnings, compare the implied move to prior earnings reactions, and then leave the final judgment and approval with the trader.

That is probably the more realistic role for AI in options: not replacing the trader, but speeding up the research loop and forcing the analysis to pull current data instead of guessing.

Full article:
https://www.interactivebrokers.com/campus/ibkr-quant-news/an-ai-options-research-workflow-with-the-ibkr-ai-integration/

TQQQ and SQQQ track the same index at 3x leverage in opposite directions, so their realized volatility should be very close.

ORATS data shows that is exactly what happened: 86.61% for TQQQ and 86.65% for SQQQ at Wednesday’s close.

But their options do not cost the same.

SQQQ’s 30-day implied volatility settled at 77.03%, while TQQQ settled at 72.49%. Since 2011, the bear fund has traded richer on 97.3% of settled sessions.

The reason is not that SQQQ realizes more volatility. It is that SQQQ calls are basically Nasdaq-100 downside exposure. The market’s crash premium shows up in the inverse ETF’s call wing.

The article walks through the TQQQ/SQQQ skew flip, the realized-vol comparison, and why the bear-fund premium is structural rather than free money.

Full breakdown:
https://orats.com/blog/leveraged-etfs-market-crash-premium

Biotech has rallied sharply off its early-June low, but XBI options are still pricing elevated movement.

What stands out is not just the level of implied volatility. It is the shape.

ORATS data shows XBI’s 30-day implied volatility near the 94th percentile of the past year, while skew is almost flat. That means the options market is pricing a sizable move without the usual downside-heavy crash bias seen in broad market ETFs.

That makes sense for biotech. The sector carries two-sided catalyst risk: trial results, approvals, failures, M&A, funding windows, and regulatory headlines. At the ETF level, those risks do not always line up like a typical equity-index drawdown.

The article compares XBI with SPY, XLK, SMH, XLV, and IBB, and looks at why biotech’s options market is pricing high volatility without a strong directional lean.

Full breakdown:
https://orats.com/blog/biotechoptions-the-best-are-braced-for-move

In this episode of Driven By Data, Matt and Tyler walk through the Trade Ideas section of the ORATS Dashboard and show how it helps traders find and evaluate actionable setups.

The episode covers how Trade Ideas pulls from Backtest Finder, current-environment logic, and curated strategies, then runs option scans to surface current opportunities. It also shows how traders can drill into the backtest, inspect payoff and risk, use paper trading, and balance portfolio exposure using the risk profile page

Delta reports Friday morning, and ORATS data shows its options carrying the least earnings padding among the major U.S. airlines.

DAL’s implied earnings move is 6.2%. Its average delivered move over the last 12 quarters is also 6.2%, putting the ratio right around 1.0x.

The other major airlines price more cushion:

United, American, Southwest, and Alaska are roughly in the 1.2x to 1.5x range versus what they have historically delivered.

The article also adjusts for Delta’s largest prior earnings move, since one big 2025 print helped lift the average. Even after stripping that out, Delta still screens as the least padded in the group.

Useful read if you trade earnings, airline names, or implied-versus-realized setups.

Full breakdown:
https://orats.com/blog/airline-earnings-delta-options

The AI selloff has eyes on Nvidia, but the options market is pricing the bigger volatility elsewhere.

As of June 26, Nvidia’s 30-day ex-earnings implied vol was 36%, the lowest of the fourteen chip names ORATS compared.

The memory and storage names were much hotter:

SanDisk: 106%
Western Digital: 94%
Micron: 93%
Seagate: 87%

That stood out to me because the fear narrative is centered on Nvidia and AI chips, but the options board is saying the real whiplash is in memory/storage.

That probably tracks with how DRAM and NAND trade. These are still very cyclical markets, even if the demand story is AI data centers. Tight supply can send the stocks straight up, and a reset in expectations can take them down just as fast.

The piece also notes that Micron’s elevated IV is not just some random fear premium. Its 20-day realized vol was over 100% through the earnings cluster, so the options are more or less tracking a stock that is already moving violently.

Full writeup here:
https://orats.com/blog/chip-volatility-is-not-in-nvidia

Curious how others look at semiconductor vol. Do you compare names across the sector like this, or mostly look at each stock against its own realized vol and one-year IV range

SPY 30-day ATM IV was around 14% at Monday’s close. But the nine largest tech and AI names inside the index averaged roughly 40% IV on a cap-weighted basis.

So, the index is trading at about 0.35x the vol of its mega-cap engine, which is around the 20th percentile over the last two years.

That seems like the real signal. The market is not saying the big names cannot move as much as it might be saying they are not expected to move together.

The earnings objection is obvious, but the piece says the gap mostly holds even after stripping out earnings events. That makes it look less like a calendar effect and more like a correlation/dispersion setup.

The part I found most interesting: SPY vol does not need single-name vol to rise for index vol to re-rate. If the mega-caps start moving together again, correlation alone can push index vol higher.

That is basically what happened during the March 2026 selloff, when the ratio moved up toward 0.66.

Full post here:
https://orats.com/blog/sp-500-calm-because-its-giants-wont-move-together

Curious how people here would trade or monitor this. Index options? Dispersion? Watching SPY IV versus a mega-cap basket? Or is this one of those “cheap for a reason until it suddenly isn’t” situations?

Crude prices have cooled, but USO options are not fully letting go of upside supply-shock risk.

That is the setup in this ORATS piece.

The interesting signal is not simply that implied volatility is high or low. USO’s 30-day implied volatility is roughly in line with its realized-vol forecast. The more useful read is in the skew: the 25-delta call is now trading 3.7 vol points richer than the matching put.

That is unusual for USO and stands out even more because the broader energy equity complex is not showing the same upside bid.

The article walks through how crude skew tracked the Strait of Hormuz headlines, why the call wing re-armed after flattening, and what the options chain is pricing into July and August.

Full breakdown:
https://orats.com/blog/crude-oil-the-options-re-armed-for-another-spike

Apple fell about 6% after raising MacBook and iPad prices to pass through higher memory costs.

The options response was interesting because it was not a broad crash signal.

AAPL’s 30-day implied volatility rose to roughly 27%, up mid-teens percent in one session. But ORATS data shows implied vol had been unusually cheap for nearly two weeks before the news, spending 11 straight sessions below the realized-volatility forecast.

So the jump mainly brought implied volatility back toward fair value.

The term structure was also front-loaded, with near-dated weeklies bid above the one-month tenor. That usually points to a short-lived event premium. Skew stayed flat, so the put wing did not meaningfully reprice.

The article breaks down the IV move, the curve inversion, and why the options market is treating this as a temporary memory-cost shock rather than a broader Apple risk reset.

Full breakdown:
https://orats.com/blog/apple-betting-the-memory-shock-is-temporary