What is an options straddle strategy?

An options straddle strategy involves buying both a put and a call option on a stock, allowing traders to profit from significant price swings following corporate earnings reports.

How well did options straddles perform this earnings season?

This earnings season, options straddles on U.S. companies generated average returns of 45% over the past four weeks, significantly outperforming the 2% average from the last 12 quarters.

Why might stock volatility have been lower at the start of earnings season?

Lower-than-expected market volatility at the beginning of the earnings season may have contributed to the success of options strategies by making bets on heightened stock movements cheaper.

Home / Business and Economy / Earnings Season Options Pay Big: Straddles Surge 45%

Earnings Season Options Pay Big: Straddles Surge 45%

13 Feb

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Summary

Options straddles yielded average returns of 45% this earnings season.
This quarter's returns far exceed the 2% average over the last 12 quarters.
Lower volatility expectations may have made options bets more favorable.

Earnings Season Options Pay Big: Straddles Surge 45%

An options strategy betting on significant stock movements around corporate results has seen unusual success this earnings season. Buying straddles, a combination of put and call options, has delivered an average return of 45% for U.S. companies reporting over the last four weeks. This performance is a substantial increase compared to the 2% average return observed across the preceding 12 quarters. Traders utilize straddles to profit from large price swings post-earnings, without predicting the direction.