Disney stock option traders prepped for post-earnings move that is 50% greater than usual

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Traders of Walt Disney Co. stock options are prepping for a much-bigger-than-expected one-day post-earnings move on Friday, according to analysts at Options Research & Technology Services (ORATS). Disney is scheduled to report fiscal fourth-quarter results after Thursday’s closing bell, with analysts surveyed by FactSet expecting, on average, the company to swing to a per-share loss of 71 cents on revenue that fall 15.5% to $14.15 billion. ORATS said an options “straddle,” a volatility play that involves the simultaneous buying of bullish call and bearish put options with at-the-money strike prices expiring Friday, is priced for a $5.42 move in either direction on Friday. That’s 51% greater than the average one-day move of $3.59 after the past 12 earnings reports, according to ORATS. That means the stock would have to move more than $5.42, or 4.0% based on current prices, in either direction for a straddle buyer to make money. The day after the past 12 earnings reports, the stock has declined eight times and gained four times. The stock, which was down 0.7% in afternoon trading, has slipped 5.4% year to date, while the Dow Jones Industrial Average has gained 2.6%.
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