The top is the ER data with Street's estimates and 1 week gain (week of the ER)
The middle of the weekly chart. The purple box is the 4 week gain before the ER; followed by green box, the 3-4 week stock movement following the ER (until the monthly OpEx).
At the bottom, 2 arrows with each ER. First arrow is the direction of movement 4 weeks leading to ER, the 2nd arrow is the direction of stock movement following the ER.
- Based on last 7 earning cycles, there is good correlation (exception is 2013 Q2 ER).
- Movement after the ER tends to be greater in magnitude comparing to month leading to ER (exception is 2013 Q2 ER)
- This would suggest that Monthly option play might be more profitable and less risky than the weeklies. The direction of stock 1 month leading to ER does seem be predictive.