Methodology

01 / The straddle convention

The straddle uses the midpoint of the call bid/ask plus the midpoint of the put bid/ask at the same strike and expiration. The selected multiplier is displayed explicitly.

02 / Timestamp and expiration alignment

Implied percentage is straddle premium × multiplier ÷ pre-event stock price. This is a pricing convention, not a guaranteed probability interval or a pure isolation of earnings volatility.

03 / Realized-move comparison

Observed percentage is post-event close divided by the same pre-event stock price, minus one. Both quotes must use the same split-adjusted price basis. A missing post-event close is pending, not zero.

04 / Missing observations and range breaches

Quote timestamps must precede the event. Expiration must follow its date. The database excludes same-day expirations because session-specific timing would need a richer schema.

05 / Volatility and trade-execution limits

Only observations with a post-event close enter historical mean and breach-rate statistics. A breach is strictly greater than the implied move. Breakevens are strike plus or minus the full premium at expiration.

Handling invalid and missing inputs

Unsupported or invalid inputs stop the calculation instead of producing a plausible-looking fallback. Missing borrow fees, missing returns, missing dates, and unavailable cutoffs are retained as missing or unavailable rather than replaced with zero. CSV imports are checked for required columns, duplicate records, date formats, and domain-specific consistency.

Sources