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Groupon options imply 17.3% move in share price post-earnings

Groupon options imply 17.3% move in share price post-earnings

Pre-earnings options volume in Groupon (GRPN) is 3.5x normal with calls leading puts 5:3. Implied volatility suggests the market is anticipating a move near 17.3%, or $1.61, after results are released. Median move over the past eight quarters is 20.0%.

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