Earnings scan

Earnings date Earnings time Price Exp move (%) Exp move ($) Front IV Back IV Avg volume (M) TS slope IV/RV Volume decile TS decile IV/RV decile TS pass All pass

UPS 1-27 BMO 107.98 7.02 7.58 0.635 0.3994 5.281 -0.01122 1.909 9 2 10 True True

JBLU 1-27 BMO 5.28 11.74 0.62 1.0 0.7305 18.612 -0.00963 1.405 10 2 7 True True

GM 1-27 BMO 79.68 6.17 4.91 0.5584 0.4109 8.665 -0.00702 1.615 10 3 9 False False

KMB 1-27 BMO 102.23 4.57 4.67 0.4828 0.3375 5.718 -0.00692 1.915 9 3 10 False False

UNP 1-27 BMO 229.65 3.65 8.37 0.3818 0.2481 2.873 -0.00637 1.236 8 3 5 False False

RTX 1-27 BMO 195.93 4.89 9.59 0.4734 0.3332 4.899 -0.00501 1.226 9 4 5 False False

AGNC 1-26 AMC 11.85 3.96 0.47 0.3906 0.272 17.82 -0.00424 1.29 10 4 6 False False

AAL 1-27 BMO 14.67 7.18 1.05 0.6436 0.5269 55.792 -0.00417 1.27 10 4 6 False False

UNH 1-27 BMO 356.26 5.56 19.81 0.5118 0.3992 6.529 -0.00402 1.48 9 4 8 False False

BA 1-27 BMO 252.15 5.02 12.65 0.4663 0.361 7.682 -0.00376 1.393 10 4 7 False False

NEE 1-27 BMO 84.81 3.9 3.31 0.3726 0.2947 9.124 -0.00278 1.334 10 5 6 False False

HCA 1-27 BMO 470.88 8.49 39.98 0.4099 0.3362 1.102 -0.00263 1.714 4 5 9 False False

WAL 1-26 AMC 87.0 9.29 8.09 0.4822 0.4109 0.852 -0.00255 1.598 3 5 9 False False

SYF 1-27 BMO 76.61 8.68 6.65 0.427 0.3562 3.623 -0.00253 1.019 8 5 3 False False

SYY 1-27 BMO 76.21 5.35 4.08 0.2753 0.2421 3.188 -0.00119 1.516 8 8 8 False False

PII 1-27 BMO 69.09 12.22 8.44 0.5385 0.5267 0.817 -0.00042 1.478 3 9 8 False False

BRO 1-26 AMC 79.18 6.58 5.21 0.3163 0.3814 2.633 0.00232 1.393 8 10 7 False False

NOC 1-27 BMO 672.95 6.95 46.76 0.3303 0.5694 0.899 0.00854 0.991 3 10 2 False False

	Earnings date	Earnings time	Price	Exp move (%)	Exp move ($)	Front IV	Back IV	Avg volume (M)	TS slope	IV/RV	Volume decile	TS decile	IV/RV decile	TS pass	All pass
UPS	1-27	BMO	107.98	7.02	7.58	0.635	0.3994	5.281	-0.01122	1.909	9	2	10	True	True
JBLU	1-27	BMO	5.28	11.74	0.62	1.0	0.7305	18.612	-0.00963	1.405	10	2	7	True	True
GM	1-27	BMO	79.68	6.17	4.91	0.5584	0.4109	8.665	-0.00702	1.615	10	3	9	False	False
KMB	1-27	BMO	102.23	4.57	4.67	0.4828	0.3375	5.718	-0.00692	1.915	9	3	10	False	False
UNP	1-27	BMO	229.65	3.65	8.37	0.3818	0.2481	2.873	-0.00637	1.236	8	3	5	False	False
RTX	1-27	BMO	195.93	4.89	9.59	0.4734	0.3332	4.899	-0.00501	1.226	9	4	5	False	False
AGNC	1-26	AMC	11.85	3.96	0.47	0.3906	0.272	17.82	-0.00424	1.29	10	4	6	False	False
AAL	1-27	BMO	14.67	7.18	1.05	0.6436	0.5269	55.792	-0.00417	1.27	10	4	6	False	False
UNH	1-27	BMO	356.26	5.56	19.81	0.5118	0.3992	6.529	-0.00402	1.48	9	4	8	False	False
BA	1-27	BMO	252.15	5.02	12.65	0.4663	0.361	7.682	-0.00376	1.393	10	4	7	False	False
NEE	1-27	BMO	84.81	3.9	3.31	0.3726	0.2947	9.124	-0.00278	1.334	10	5	6	False	False
HCA	1-27	BMO	470.88	8.49	39.98	0.4099	0.3362	1.102	-0.00263	1.714	4	5	9	False	False
WAL	1-26	AMC	87.0	9.29	8.09	0.4822	0.4109	0.852	-0.00255	1.598	3	5	9	False	False
SYF	1-27	BMO	76.61	8.68	6.65	0.427	0.3562	3.623	-0.00253	1.019	8	5	3	False	False
SYY	1-27	BMO	76.21	5.35	4.08	0.2753	0.2421	3.188	-0.00119	1.516	8	8	8	False	False
PII	1-27	BMO	69.09	12.22	8.44	0.5385	0.5267	0.817	-0.00042	1.478	3	9	8	False	False
BRO	1-26	AMC	79.18	6.58	5.21	0.3163	0.3814	2.633	0.00232	1.393	8	10	7	False	False
NOC	1-27	BMO	672.95	6.95	46.76	0.3303	0.5694	0.899	0.00854	0.991	3	10	2	False	False

Front DTE Front Avg OI (ATM) Front Avg Bid-Ask ($) Front Avg Bid-Ask (% underlying) Back DTE Back Avg OI (ATM) Back Avg Bid-Ask ($) Back Avg Bid-Ask (% underlying)

UPS 6 434 0.375 0.35 27 6716 0.625 0.58

JBLU 6 3043 0.055 1.04 34 231 0.082 1.55

GM 6 875 0.138 0.17 27 805 0.44 0.55

KMB 6 416 0.813 0.8 27 1336 0.675 0.66

UNP 6 33 1.325 0.58 27 989 0.85 0.37

RTX 6 373 0.65 0.33 34 42 1.363 0.7

AGNC 6 4404 0.082 0.69 34 557 0.1 0.84

AAL 6 2079 0.032 0.22 34 125 0.103 0.7

UNH 6 583 0.737 0.21 34 38 2.925 0.82

BA 6 4212 0.4 0.16 34 126 2.55 1.01

NEE 6 521 0.233 0.27 34 22 0.5 0.59

HCA 27 241 1.975 0.42 55 101 3.1 0.66

WAL 27 26 1.462 1.68 55 158 1.075 1.24

SYF 27 1244 0.575 0.75 55 350 0.45 0.59

SYY 27 2295 0.475 0.62 55 442 0.562 0.74

PII 27 90 0.537 0.78 55 301 1.375 1.99

BRO 27 319 1.262 1.59 55 43 2.15 2.72

NOC 27 97 2.95 0.44 55 17 NA NA

	Front DTE	Front Avg OI (ATM)	Front Avg Bid-Ask ($)	Front Avg Bid-Ask (% underlying)	Back DTE	Back Avg OI (ATM)	Back Avg Bid-Ask ($)	Back Avg Bid-Ask (% underlying)
UPS	6	434	0.375	0.35	27	6716	0.625	0.58
JBLU	6	3043	0.055	1.04	34	231	0.082	1.55
GM	6	875	0.138	0.17	27	805	0.44	0.55
KMB	6	416	0.813	0.8	27	1336	0.675	0.66
UNP	6	33	1.325	0.58	27	989	0.85	0.37
RTX	6	373	0.65	0.33	34	42	1.363	0.7
AGNC	6	4404	0.082	0.69	34	557	0.1	0.84
AAL	6	2079	0.032	0.22	34	125	0.103	0.7
UNH	6	583	0.737	0.21	34	38	2.925	0.82
BA	6	4212	0.4	0.16	34	126	2.55	1.01
NEE	6	521	0.233	0.27	34	22	0.5	0.59
HCA	27	241	1.975	0.42	55	101	3.1	0.66
WAL	27	26	1.462	1.68	55	158	1.075	1.24
SYF	27	1244	0.575	0.75	55	350	0.45	0.59
SYY	27	2295	0.475	0.62	55	442	0.562	0.74
PII	27	90	0.537	0.78	55	301	1.375	1.99
BRO	27	319	1.262	1.59	55	43	2.15	2.72
NOC	27	97	2.95	0.44	55	17	NA	NA

50 symbols scanned for open date 01/26: 18 succeeded, 32 failed

Errors:

Could not determine ATM IV for >1 expiry: NUE, WRB, CR, ARE, SANM, WSFS, FRME, EFSC, PCAR, ROP, IVZ, AIT, CVLT, CCBG

Less than 2 expiries found: GGG, AGYS, NBTB, NWBI, FSBC, HBCP, FRBA, RBB, BPOP, CBC, FBP, CBU, HOPE

No options found: FSUN, EFSI, WRLD, PROV

cannot convert float NaN to integer: CAC