The at-the-money straddle expiring just after earnings prices the market's expected move for the event: a $10 straddle on a $200 stock implies roughly a 5% move in either direction. Rule-based disciplines treat earnings as a first-class event: undefined-outcome dates get screened, not predicted.
The tightest estimate is the at-the-money straddle price for the expiration immediately following the announcement, divided by the stock price, refined slightly by blending in the first out-of-the-money strangle. It is the market's clearing price for event risk: the amount at which volatility buyers and sellers agree the move is fairly priced. Comparing it against the stock's own past earnings moves gives the context that matters: an implied move well below the stock's typical print is priced optimistically, and one well above it pessimistically.
A credit spread's screening rests on continuous-market statistics: realized volatility, delta as a probability proxy, expected-move placement. An earnings print is a discontinuity; the stock gaps through strikes without trading at the prices in between, and the pre-event premium, however rich, prices exactly that gap risk. An earnings blackout, refusing any expiration that spans the stock's announcement date, keeps the discipline inside the statistics it was built on. Funds and ETFs carry no announcement of their own and are exempt. In Options Scanner this gate fails closed: a candidate whose earnings date cannot be confirmed is treated as blocked, not waved through.
Published research finds the pre-earnings option premium is, on average, underpriced, with the edge concentrated in the last three to five trading sessions before the print, and fading fast with distance. Volatility structures around earnings, such as calendars sold against the inflated event expiration, therefore screen for genuinely rich event premium first: the implied announcement move has to be at least the stock's typical historical print before the setup is surfaced at all. When the event is priced thin, the honest output of a screen is nothing.
The quick market convention prices the at-the-money straddle expiring just after the event and divides it by the stock price; a common refinement scales the straddle by roughly 85 percent to isolate the event portion. A 5 percent implied move on a $200 stock means the chain is pricing about a $10 swing in either direction.
Published research across large samples generally finds the realized move landing below the implied move somewhat more often than above it, one form of the volatility risk premium. The average conceals wide variance: individual events routinely exceed the implied move by multiples, so the statistic describes a distribution, not any single event.
The scheduled event holds implied volatility elevated in the expirations that contain it; once the news lands, that event premium deflates within a session. Long option positions can lose value even when the stock moves in their direction, if the move is smaller than what was priced in.