Research preview

The market’s implied move for today’s earnings announcements—covering four large caps—offers a clear signal of the volatility that options traders expect. By converting that signal into a disciplined position‑sizing framework, quantitative traders can align risk budgets with the real‑world risk of an earnings trade. The following guide shows how to extract the implied move, translate it into a stop‑loss distance, and allocate capital using a simple risk‑budget rule. Understanding the Implied Move Implied move is the market’s forecast of a stock’s price swing around an event, derived from the price of at‑the‑money straddles....