Options Trading

How Earnings Announcements Affect Option Prices

The unique behavior of pre-announcement implied volatility

Tim Leung, Ph.D.
Quantitative Investing
4 min readAug 7, 2020

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Options are intrinsically forward-looking contracts, so their prices should account for the uncertain stock price impact of an upcoming earnings release.

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Tim Leung, Ph.D.
Quantitative Investing

Boeing Endowed Chair Professor of Applied Math, Director of the Computational Finance & Risk Management (CFRM) Program at University of Washington in Seattle