CZECHMATE TRADESFREE SAMPLE
Netflix (NFLX)
Reports Tue, Oct 20 · 🌙 after the close
Expected earnings move
±$6.66 (±9.5%)
Implied range $63.67 – $76.99
ATM straddle of the Fri, Oct 23 expiry, the first one after the report · last $70.33
2σ range$56.31 – $84.35
Call wall$80.00zone $79.62 – $80.35
Put wall$70.00zone $69.69 – $70.31
Gamma flip$73.80🔴 negative gamma
👉 The straddle prices a move of about ±9.5% by Fri, Oct 23, report included. A move that stays inside $63.67 – $76.99 was roughly priced in; a move beyond it is bigger than the options market expected. Below the gamma flip, dealer hedging can amplify moves.
Levels as of Fri, Oct 16, 4:00 PM ET