About Quantiv

See what
options imply.

Quantiv combines options-implied expectations, historical earnings reactions, and model forecasts to support earnings-risk analysis.

Names

tracked

Chains

0.0K

snapshots / week

History

0 yrs

realized data

Refresh

1440 min

chain → UI

Market · history · model

Three perspectives on earnings risk

Market

Market-implied expectations

The ATM straddle provides a market-implied estimate of movement in either direction.

History

Historical earnings reactions

Compare historical earnings reactions with the option-implied ranges available before each event.

Model

Model-estimated ranges

P10–P90 describes a conditional range of absolute moves, using the straddle as a market benchmark.

Publication controls

Validation before publication

Explore validation checks and publication outcomes.

Publication workflow

Illustrative example · not live status

Checkpoint 01 / 04

Point-in-time inputs

Prices, option quotes and the earnings event belong to a specific snapshot. The forecast can use only information available before its prediction deadline.

No future information enters the forecast.

Snapshot manifestCandidate

Earnings eventWednesday · before openSession identified

Market snapshotTuesday · 16:00 ETTimestamp retained

Prediction cutoffBefore the announcementNo look-ahead

Evidence locked to this eventEvent, session, and prediction cutoff are recorded together

Market session recordedEarnings date and session identifiedFeature cutoff precedes the announcement

Methodology

Quantitative methodology

Formulas, assumptions, and limitations for each measure.

ATM IVFrom option quotes to volatility

σ_{ATM} = \frac{1}{2} (σ_{C} + σ_{P})

Same-strike call and put IVs are averaged after crossed, stale, illiquid, and excessive-spread quotes are filtered.

Straddle EMStraddle-implied expected move

EM_{straddle} = \frac{C _{mid} + P _{mid}}{S _{0}}

Call midpoint plus put midpoint, normalized by spot. It is a market price for two-sided movement before spread, fees, and post-event IV change.

IV-based EMExpected move from annualized volatility

EM_{IV} = σ_{ATM} \frac{DTE}{365}

Annualized ATM IV is scaled to the selected expiry with square-root-of-time so it can be compared with the straddle range.

GreeksLocal option sensitivities

Δ_{call} Γ ν = e^{- q T} N (d_{1}) = \frac{e ^{- q T} φ ( d _{1} )}{S σ T} = S e^{- q T} φ (d_{1}) T

Quantiv displays the chain's published ATM delta, gamma, vega, and theta as measures of local option sensitivity. These measures do not forecast realized profit or loss.

Hist edgeImplied versus historical realized moves

hist_edge = \frac{EM _{straddle} - μ _{4 Q, ∣Δ∣}}{μ _{4 Q, ∣Δ∣}}

The current implied move is compared with recent absolute earnings reactions. The limited sample provides historical context and should not be treated as a standalone trading signal.

ForecastLightGBM quantile ensemble

y^_{τ} = ar g y^min i \sum ρ_{τ} (y_{i} - y^), τ \in {0.10, 0.25, 0.50, 0.75, 0.90}

Five quantile heads estimate absolute earnings moves from point-in-time features using walk-forward training. P10–P90 is a conditional range, not guaranteed coverage.

Market-relative probabilityStraddle exceedance

P (∣ r ∣ > s) = 1 - lerp ((q_{i}, τ_{i}), (q_{i + 1}, τ_{i + 1}); s)

The straddle threshold is interpolated across the served quantiles. Outside the P10–P90 range, probability bounds reflect the limited precision available for tail estimates.

Research scope and limitations.

Quantiv provides analytical context for earnings risk. Trading decisions require independent assessment of direction, position size, liquidity, transaction costs, and risk tolerance.