The options market is pricing in the biggest one-day earnings swing in eight quarters
Insurance issue Anthem Inc (NYSE:ANTM) is just one of many healthcare stocks sinking as a result of the joint venture between Amazon (AMZN), Berkshire Hathaway (BRK.A), and JPMorgan Chase (JPM). ANTM was last seen trading down 5.7% at $242.47, with the shares testing their 20-day moving average. For what it's worth, they're still roughly 10 points above the 50-day moving average. All of this comes right before the company's earnings release, too, scheduled for before the open tomorrow.
Strong post-earnings moves in recent quarters are a large reason why Anthem stock is up 57% over the past year. The shares have ended positive in the session following an earnings release in four of the past five quarters, including a 4.3% one-day jump in this quarter last year. This time around, at-the-money implied volatility (IV) data is pricing in a swing of 6.9% for tomorrow's session -- which would be the biggest one-day move going back eight quarters.
Those heightened volatility expectations shouldn't necessarily scare away options buyers, though. That's because ANTM sports a Schaeffer's Volatility Scorecard (SVS) of 76, indicating it's tended to make bigger-than-expected moves on the charts over the past year compared to what the options market has predicted.