Options traders are ready for a big move in Snap Inc.’s stock on the day after the social media company reports third-quarter results, but it’s actually less than the average post-earnings move. Snap is slated to report earnings after Thursday’s closing bell. An options strategy known as a straddle, which is a pure volatility play that includes buying bullish (call) and bearish (puts) with the same at-the-month strikes, with expiry Friday, is currently priced for a one-day post earnings move of about 19.7% in either direction on Friday, according to FactSet data. Based on current prices, that means the stock would have to close above $13.00 or below $8.72 on Friday for buyers of a straddle to make money. Meanwhile, the average one-day post-earnings move has been 23.7% (median of 25.2%) over the past 10 quarters, according to FactSet data. Since Snap went public in March 2017, the stock has seen moves of at last 20% in either direction 13 times, with nine occurring the day after earnings. The stock, which eased 0.1% in afternoon trading, has tumbled 30.0% over the past three months while the S&P 500 has slipped 7.1%.
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