Snap will be anything but boring after the bell Thursday.
That's what the options market thinks. According to options trading data, traders expect Snap shares to move 17 percent in either direction following the company's earnings report on Thursday after the close.
That 17 percent implied is second-highest among 120 stocks reporting earnings Thursday through August 31, with at least $1 billion in market cap and open interest of at least 20,000 options. Wednesday night, Snap was second on the list, beaten out only by another recent problematic IPO: Blue Apron at 19 percent.
Blue Apron fell Thursday morning after reporting a wider-than-expected loss of 47 cents per share. Shares of the meal kit company were down 16 percent Thursay.
These implied volatility moves are based on out-of-the-money put and call options. MKM Partners derivatives strategist Jim Strugger calculated the numbers for CNBC.
