This report provides the implied price move associated with the upcoming earnings event using a proprietary methodology.
In certain cases, market pricing may be such that an implied move cannot be calculated and a value of blank is acceptable. This proprietary valuation model uses a business day calendar with intraday time decay along with discrete dividend estimates, implied borrow rates, and proprietary arbitrage-free smoothed volatility surfaces. Files are labeled with a date-time in Central time.
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