#Earnings #LongStraddle strategy has been working well lately. Worked on SNAP last quarter and I’ll probably try again.

$SNAP reports tonight. Below are details on earnings one-day moves over it entire history.

Feb. 5, 2019 AC +22.01% 22.01%
Oct. 25, 2018 AC -10.15% -10.15%
Aug. 7, 2018 AC -6.78% -6.78%
May 1, 2018 AC -21.93% -21.93% Biggest DOWN
Feb. 6, 2018 AC +47.58% 47.58% Biggest UP
Nov. 7, 2017 AC -14.61% -14.61%
Aug. 10, 2017 AC -14.08% -14.08%
May 10, 2017 AC -21.45% -21.45%

Avg (+ or -) 19.82%
Bias -2.43%, slight negative bias on earnings.

With stock at 12.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 10.08 to 13.92
Based on AVERAGE move over last 12 quarters: 9.62 to 14.38
Based on MAXIMUM move over last 12 Q’s (47.6%): 6.29 to 17.71
Based on DOWN max only (-21.9%): 9.37

Open to requests for other symbols.