Axsome Therapeutics Options Market Braces for 8.6% Post-Earnings Move

The options market is signaling significant potential volatility for Axsome Therapeutics Inc. (NASDAQ:AXSM) surrounding its upcoming earnings announcement. Traders are pricing in a potential stock price move of 8.6% in either direction following the company's report, which is scheduled for release before the market opens on November 2.

This implied volatility figure is derived from the pricing of options contracts and serves as a market-based forecast of the stock's expected reaction to the new financial data. The data was compiled by Bloomberg.

Historical Volatility

A review of Axsome's past earnings reactions shows a tendency for the stock to be more volatile than the options market predicts. According to the data, the stock's actual price change surpassed the implied move in five of the last eight earnings announcements.

This pattern highlights the potential for significant surprises. For instance:

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• On May 4, the stock surged 20.3%, easily exceeding the 14.1% move priced in by options.
• On November 12, 2024, the stock jumped 14.0% against a much smaller implied move of just 3.4%.

Context for Investors

While the stock has a history of outsized reactions, there have also been periods of relative calm. On August 10, the stock moved only 1.3% when options had implied a 7.0% swing.

For investors, the 8.6% implied move serves as a key benchmark. The actual price action on November 2 will be measured against this expectation, and the company's history of significant volatility makes its earnings report a closely watched event.