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Two Harbors options imply 3.3% move in share price post-earnings
The Fly

Two Harbors options imply 3.3% move in share price post-earnings

Pre-earnings options volume in Two Harbors is 1.5x normal with calls leading puts 5:4. Implied volatility suggests the market is anticipating a move near 3.3%, or 45c, after results are released. Median move over the past eight quarters is 2.4%.

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