Infinite implied volatility forecast; can be compared to IV forecasts over a specific timeframe

The 20 day interpolated implied option volatility with earnings effect taken out.

Add a new group to your strategy to organize and combine the ranking of multiple related criteria.

Previous working day’s close price of the underlying

Total volume for the underlying

average % moves corresponding to previous earnings announcements

theoretical value based on smooth volatility

Market implied earnings effect.

The actual of the avg earnings effect divided by the implied earning effect

The theoretical spread value (based on smooth vol) difference to current mid-price (theo – mid) of the spread compared to the average of both prices for normalization.