Earnings Option Strategy Backtest Screener

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Use this filter to compare over 30 different earnings option strategies and how they have performed over the last 12 quarters of earnings releases. The strategies are backtested for several different time periods, like before earnings, or after earnings, or over the course of the day of earnings.

There are several types of option strategies to choose from -- single-leg strategies like buying or selling calls and puts, vertical spreads within the same expiration, time spreads across expirations, buy-writes, straddles, strangles, and multi-leg strategies like Condors and Butterflies.

Use the link in the # Obs column to see a breakdown of historical results for that particular strategy and timeframe.

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Descriptive Strategy Backtest Statistics
In Watchlist Strategy Type The type of the selected earnings option strategy. All strategies are assumed to be Long (buying) unless otherwise noted. ATM = At-the-Money (nearest strike to the spot price) ATM Straddle: buying or selling 1 call and 1 put on the same strike for the strike nearest to the at-the-money price for that expiration. ATM Call: buying or selling 1 call on the strike nearest to the at-the-money price for that expiration. ATM Put: buying or selling 1 put on the strike nearest to the at-the-money price for that expiration. 25-Delta Call: buying or selling 1 call on the strike nearest to the 25-delta (out-of-the-money) for that expiration. 25-Delta Put: buying or selling 1 put on the strike nearest to the 25-delta (out-of-the-money) for that expiration. 75-Delta Call: buying or selling 1 call on the strike nearest to the 75-delta (in-the-money) for that expiration. 75-Delta Put: buying or selling 1 put on the strike nearest to the 75-delta (in-the-money) for that expiration. Credit Call Spread: buy 1 call on a strike for an expiration and selling 1 call on a lower strike for the same expiration. Debit Call Spread: buy 1 call on a strike for an expiration and selling 1 call on a higher strike for the same expiration. Credit Put Spread: buy 1 call on a strike for an expiration and selling 1 call on a higher strike for the same expiration. Debit Put Spread: buy 1 call on a strike for an expiration and selling 1 call on a lower strike for the same expiration. Strangle: buying or selling 1 call on the 25-delta (out-of-the-money) strike and 1 put on the 25-delta (out-of-the-money) strike for that expiration. Ratio Call Spread: sell 1 call on the at-the-money strike and buy 2 calls on the 25-delta strike for that expiration. Ratio Put Spread: sell 1 put on the at-the-money strike and buy 2 puts on the 25-delta strike for that expiration. Buy-Write ATM: buy the underlying stock and sell 1 call on the at-the-money strike for that expiration. Buy-Write 25-Delta: buy the underlying stock and sell 1 call on the 25-delta (out-of-the-money) strike for that expiration. Call Butterfly Spread: sell 2 calls on the at-the-money strike, buy 1 call on the 25-delta strike (out-of-the-money), and buy 1 call on an in-the-money strike which is equidistant from the at-the-money Put Butterfly Spread: sell 2 puts on the at-the-money strike, buy 1 puts on the 25-delta strike (out-of-the-money), and buy 1 puts on an in-the-money strike which is equidistant from the at-the-money Iron Butterfly Spread: sell 1 put out-of-the-money, buy 1 put at a deeper out-of-the-money strike, sell 1 call out-of-the-money, and but 1 call at a deeper out-of-the-money strike. The long put strike must be the same distance from the short put strike as the long call strike is from the short call strike. Typically we use the 25-delta call and put strike for the short strikes, and the 15-delta call and put strikes for the long strikes, assuming they are equidistant price-wise. Ex: stock price $100, sell $90 put and buy $85 put, sell $110 call and buy $115 call. Call Condor Spread: sell 1 call on an out-of-the-money strike and 1 call on an in-the-money strike, and then buy 1 call on a deeper out-of-the-money strike and 1 call on a deeper in-the-money strike which are equidistant from the previously mentioned inner strikes. Ex: if the stock price is $100, sell on the $90 strike and the $110 strike, and buy on the $85 strike and the $115 strike Put Condor Spread: sell 1 put on an out-of-the-money strike and 1 put on an in-the-money strike, and then buy 1 put on a deeper out-of-the-money strike and 1 put on a deeper in-the-money strike which are equidistant from the previously mentioned inner strikes. Ex: if the stock price is $100, sell on the $90 strike and the $110 strike, and buy on the $85 strike and the $115 strike Iron Condor Spread: sell 1 put out-of-the-money, buy 1 put at a deeper out-of-the-money strike, sell 1 call out-of-the-money, and but 1 call at a deeper out-of-the-money strike. The long put strike must be the same distance from the short put strike as the long call strike is from the short call strike. Typically we use the 25-delta call and put strike for the short strikes, and the 15-delta call and put strikes for the long strikes, assuming they are equidistant price-wise. Ex: stock price $100, sell $90 put and buy $85 put, sell $110 call and buy $115 call. Calendar Spread: for a Debit Calendar Spread, sell 1 option on a near-term expiration and buy 1 option on the same strike for a far-term expiration. For a Credit Calendar Spread, buy the near-term and sell the far-term. Diagonal Spread: similar to a Calendar Spread, except you are buying and selling on two different strikes within the expiration. Long Stock Only: what would have happened if you simply bought the underlying stock and no options. Historical Open Range # of Observations Best Return
Market Cap Earnings Date Historical Close Range Win Rate % Worst Return
In ETF Next Earnings Time Next Open Date Avg Return Return Std Dev
Avg Option Volume Next Earnings Confirmed? Next Close Date Median Return Sharpe Ratio

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Underlying Strategy Details Strategy Backtest Results Next Earnings Info
Symbol Market Cap Strategy Type The type of the selected earnings option strategy. All strategies are assumed to be Long (buying) unless otherwise noted. ATM = At-the-Money (nearest strike to the spot price) ATM Straddle: buying or selling 1 call and 1 put on the same strike for the strike nearest to the at-the-money price for that expiration. ATM Call: buying or selling 1 call on the strike nearest to the at-the-money price for that expiration. ATM Put: buying or selling 1 put on the strike nearest to the at-the-money price for that expiration. 25-Delta Call: buying or selling 1 call on the strike nearest to the 25-delta (out-of-the-money) for that expiration. 25-Delta Put: buying or selling 1 put on the strike nearest to the 25-delta (out-of-the-money) for that expiration. 75-Delta Call: buying or selling 1 call on the strike nearest to the 75-delta (in-the-money) for that expiration. 75-Delta Put: buying or selling 1 put on the strike nearest to the 75-delta (in-the-money) for that expiration. Credit Call Spread: buy 1 call on a strike for an expiration and selling 1 call on a lower strike for the same expiration. Debit Call Spread: buy 1 call on a strike for an expiration and selling 1 call on a higher strike for the same expiration. Credit Put Spread: buy 1 call on a strike for an expiration and selling 1 call on a higher strike for the same expiration. Debit Put Spread: buy 1 call on a strike for an expiration and selling 1 call on a lower strike for the same expiration. Strangle: buying or selling 1 call on the 25-delta (out-of-the-money) strike and 1 put on the 25-delta (out-of-the-money) strike for that expiration. Ratio Call Spread: sell 1 call on the at-the-money strike and buy 2 calls on the 25-delta strike for that expiration. Ratio Put Spread: sell 1 put on the at-the-money strike and buy 2 puts on the 25-delta strike for that expiration. Buy-Write ATM: buy the underlying stock and sell 1 call on the at-the-money strike for that expiration. Buy-Write 25-Delta: buy the underlying stock and sell 1 call on the 25-delta (out-of-the-money) strike for that expiration. Call Butterfly Spread: sell 2 calls on the at-the-money strike, buy 1 call on the 25-delta strike (out-of-the-money), and buy 1 call on an in-the-money strike which is equidistant from the at-the-money Put Butterfly Spread: sell 2 puts on the at-the-money strike, buy 1 puts on the 25-delta strike (out-of-the-money), and buy 1 puts on an in-the-money strike which is equidistant from the at-the-money Iron Butterfly Spread: sell 1 put out-of-the-money, buy 1 put at a deeper out-of-the-money strike, sell 1 call out-of-the-money, and but 1 call at a deeper out-of-the-money strike. The long put strike must be the same distance from the short put strike as the long call strike is from the short call strike. Typically we use the 25-delta call and put strike for the short strikes, and the 15-delta call and put strikes for the long strikes, assuming they are equidistant price-wise. Ex: stock price $100, sell $90 put and buy $85 put, sell $110 call and buy $115 call. Call Condor Spread: sell 1 call on an out-of-the-money strike and 1 call on an in-the-money strike, and then buy 1 call on a deeper out-of-the-money strike and 1 call on a deeper in-the-money strike which are equidistant from the previously mentioned inner strikes. Ex: if the stock price is $100, sell on the $90 strike and the $110 strike, and buy on the $85 strike and the $115 strike Put Condor Spread: sell 1 put on an out-of-the-money strike and 1 put on an in-the-money strike, and then buy 1 put on a deeper out-of-the-money strike and 1 put on a deeper in-the-money strike which are equidistant from the previously mentioned inner strikes. Ex: if the stock price is $100, sell on the $90 strike and the $110 strike, and buy on the $85 strike and the $115 strike Iron Condor Spread: sell 1 put out-of-the-money, buy 1 put at a deeper out-of-the-money strike, sell 1 call out-of-the-money, and but 1 call at a deeper out-of-the-money strike. The long put strike must be the same distance from the short put strike as the long call strike is from the short call strike. Typically we use the 25-delta call and put strike for the short strikes, and the 15-delta call and put strikes for the long strikes, assuming they are equidistant price-wise. Ex: stock price $100, sell $90 put and buy $85 put, sell $110 call and buy $115 call. Calendar Spread: for a Debit Calendar Spread, sell 1 option on a near-term expiration and buy 1 option on the same strike for a far-term expiration. For a Credit Calendar Spread, buy the near-term and sell the far-term. Diagonal Spread: similar to a Calendar Spread, except you are buying and selling on two different strikes within the expiration. Long Stock Only: what would have happened if you simply bought the underlying stock and no options. Historical
Open Range
The start day of the strategy timeframe, relative to the earnings date. If the earnings results are released before market open (BMO), the day of earnings trading would be the same calendar date. If results are released after the close (AMC), the day of earnigns would be the next trading day. If earnings is released Tuesday AMC, the Day of Earnings would be Wednesday, and 1 Day Before would be Tuesday.
Historical
Close Range
The end day of the strategy timeframe, relative to the earnings date. If the earnings results are released before market open (BMO), the day of earnings trading would be the same calendar date. If results are released after the close (AMC), the day of earnigns would be the next trading day. If earnings is released Tuesday AMC, the Day of Earnings would be Wednesday, and 1 Day After would be Thursday.
# of Obs The number of historical observations available for the selected strategy and timeframe, up to 12. Observations are dependent upon the options meeting market width requirements -- if the markets are too wide, we can't calculate an accurate value of the options, and therefore it would be skipped. Win
Rate %
The percentage of observations that the specified strategy gained value over the specified timeframe
Avg Return For this timeframe, the average return of the specified strategy over the set of observations Median The median percentage return of the specified strategy over the set of observations, for the specified timeframe Best The best percentage return of the specified strategy over the set of observations, for the specified timeframe Worst The worst percentage return of the specified strategy over the set of observations, for the specified timeframe Return
Std Dev
The standard deviation of percentage returns for the specified strategy over the set of observations, for the specified timeframe
Sharpe Ratio The average return divided by the standard deviation, a high positive value is considered a good result Next Earnings Date Days to Earnings Days to
Next Open
The number of business days until the start date of the timeframe for the next earnings release. If the earnings date is estimated, this field is left blank.
Days to
Next Close
The number of business days until the end date of the timeframe for the next earnings release. If the earnings date is estimated, this field is left blank.
Next Open Date
The date that matches the start date of the timeframe for the next earnings release. If the earnings date is estimated, this field is left blank.
Next Close Date
The date that matches the end date of the timeframe for the next earnings release. If the earnings date is estimated, this field is left blank.
Avg Opt Volume Earnings Time InWatchlist EarnIsConfirmed InETF

Gains/Losses are shown per contract.

Hover over the strategy name to get a clear description of the selected strategy -- which options are being sold and which are being bought

Option strategy returns are calculated using the midpoint market prices for both the beginning and the end of the timeframe

Click on the link in the # Obs column to see a detailed breakdown of the strategy's past results

Note: the Day of Earnings Trading is the business day immediately following the earnings release. So if the earnings are released After Market Close (AMC), it would be the next business day.

Important: Selling options can sometimes involve unlimited risk. We attempt to gauge your possible risk when selling options by using maximum historical moves to determine the amount at risk. % Return numbers should be viewed as a guide -- your actual amount at risk could be far greater.