Options investors are positioning for a post-earnings move in Netflix Inc. shares that could more than recoup the US$9 billion in market value wiped out since Walt Disney Co. took the wraps off its streaming-video service.

More than a quarter of Netflix open interest is due to expire in the wake of Tuesday afternoon’s first-quarter release, with bullish calls outweighing bearish puts. Prices imply a 7.3 per cent post-earnings move in the shares. A gain of that much would land the stock price about 1 per cent above where it was before last week’s Disney+ announcement.

Netflix has historically posted very wide post-earnings price swings, averaging 13 per cent since 2008. After the past eight reports, shares have moved 6.4 per cent on average, with rallies and declines evenly split at four a piece.

“Shares did see meaningful volatility around earnings in the past, including double-digit moves following four of the eight quarters from 2016 through 2017, and options continue to price in the potential for outsized moves,” Susquehanna International Group derivatives strategist Chris Jacobson said in an interview.

Netflix shares have fallen around 5.5 per cent since the Disney analyst meeting where the media giant announced a US$6.99 per month offering that would compete directly with Netflix’s core business. On Tuesday, the online streaming provider will get its first chance to respond to the new threat on its first-quarter conference call.

About 27 per cent of total Netflix options open interest is set to expire on Thursday, with calls outweighing puts by 24 per cent, which on the surface indicates a bullish setup. A closer look at contracts set to expire with strike prices between US$325 and US$375 shows call options outweighing put options by 8 per cent. The stock was trading around US$350 on Monday.

Netflix shares are up 30 per cent year-to-date, but they’re little changed since mid-January. Current implied volatility is around 108 per cent, versus a three-month historical average 44. That places it in the 25th percentile over the last year, but down from the 76th percentile ahead of its fourth-quarter earnings report.