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Traders speculate Snap is either gonna pop big or drop mightily on Thursday's earnings

  • Options trading data suggests Snap will move 17 percent in either direction following earnings Thursday.
  • The social media company's implied move is the second biggest of the companies remaining to report this earnings season among major stocks.
  • Only 10 other stocks are expected to move more than 10 percent.
Snap co-founders Evan Spiegel (R) and Bobby Murphy walk to ring the opening bell of the New York Stock Exchange, March 2, 2017.
Lucas Jackson | Reuters
Snap co-founders Evan Spiegel (R) and Bobby Murphy walk to ring the opening bell of the New York Stock Exchange, March 2, 2017.

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.

Out of 120 major stocks in Strugger's universe, the average implied move is only 5.1 percent – suggesting Snap will be more than three times as volatile as the typical stock. Only 10 other stocks are expecting at least 10 percent moves, most of them in the retail sector. JCPenney, Urban Outfitters, Macy's, Dillard's, Chico's FAS, and Dick's Sporting Goods are among those names.