Pre-Earnings Analysis Indicator for ThinkorSwim: Price and IV Into Earnings

It counts how many times a stock's price rose and fell over a set number of days before each past earnings report, and shows the average rise and the average fall as percentages. It repeats the count for implied volatility. The results show as yellow price labels and light green IV labels, with a bubble on each report.

Download the zip from this page while logged in as a Volatility Box member, unzip TI_PreEarningsSTUDY.ts and import it as a study. You can also click Create in the studies window, delete the starter code and paste in the Code tab. Add it to a daily chart with enough history to hold the reports you want counted.

preERdays sets how many bars before each report the move is measured from. It defaults to 7, which is 7 trading days on a daily chart. The labels, vertical lines and bubbles all follow it. In the video I also try 10, 30 and 3 days, and one stock's counts changed a lot between them.

It flags the last bar before the market can react. For a report before the open, that is the day before, so the code reads HasEarnings one bar ahead. For a report after the close, it is the report day itself. The move into earnings is measured to that bar's close.

Implied volatility is part of an option's price. If IV tends to rise into a stock's reports, a call bought days before earnings can gain from that rise as well as from the stock. The setup I look for in the video is a stock where price and IV both tend to rise into earnings.

Smarter Earnings is a free indicator for the day of earnings: the gap, whether it filled, and whether the company beat or missed. The Pre-Earnings Analysis indicator stops before the report and measures the run-up in price and IV. Use it for the run-up into a report and Smarter Earnings for the session that reacts to it.

It counts every report on the bars loaded on your chart, so the time range decides the sample. The charts in the video held 20 reports, about 5 years of quarterly earnings. A move of exactly 0% lands in neither the rise nor the fall bucket and isn't counted.

In the video, Apple at 10 days showed 20 earnings. Price rose into 14 of them (70%), by 3.36% on average, and fell into 6, by -2.83% on average. IV rose 13 times, by 6.49% on average, and fell 7 times, by -7.76%. These are historical counts from the day I recorded.