Historical Salesforce Reactions And Straddle Pricing Around Earnings

Earnings Preview For Week Of May 28, 2024 - May 31, 2024

Salesforce (CRM) is our lone reporting firm this week. Last quarter the stock moved much less than an overpriced straddle was expecting. The quarter before option sellers got run over. What happens after the close on Wednesday and through the trading day on Thursday is anyone’s guess, but we are hoping for underpriced options on the heels of last quarter’s light reaction. The table below summarizes the last twelve reports for CRM.

Note the average move is +/-6.14% over the past three years in reaction to earnings. Also, CRM is on a 3 period earnings win streak.

Finally, as noted, last quarter the at-the-money straddle was expensive at 8% of the underlying price, which was more than 10 points higher than the straddle the following day.