Define the return before collecting it
A pre-announcement close to next-session close return differs from a next-open gap. Use one definition throughout a comparison. This tool compares the supplied pre-event spot with the supplied post-event close.
Separate completed and pending events
An event without a post-event close cannot tell you whether the implied range was breached. It remains visible, but is excluded from the realized mean and breach-rate denominator. A blank value is not a 0% move.
Compare absolute values
A negative 12% move is larger in magnitude than a positive 4% move. For a range comparison, compare the absolute realized percentage with the implied percentage. Preserve the sign in the detail table so direction is not lost.
Do not overfit a small history
A handful of quarters is a small sample, and changes in business mix, volatility, and option liquidity can make older events less comparable. A historical breach rate is descriptive. It is not a calibrated forecast of the next report.
Sources and further reading
This guide explains a tool and its assumptions. It is not personalized financial, tax, or legal advice.
Put the explanation to work.
Change the assumptions, compare the results, and export the numbers without creating an account.
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