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  singleleg strategies like buying or selling calls and puts, vertical spreads within the same expiration, time spreads across expirations, buywrites, straddles, strangles, and multileg 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.
Historical outcomes do not guarantee any future results. Historical outcomes are used as guidance for further research.
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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 = AttheMoney (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 atthemoney price for that expiration. ATM Call: buying or selling 1 call on the strike nearest to the atthemoney price for that expiration. ATM Put: buying or selling 1 put on the strike nearest to the atthemoney price for that expiration. 25Delta Call: buying or selling 1 call on the strike nearest to the 25delta (outofthemoney) for that expiration. 25Delta Put: buying or selling 1 put on the strike nearest to the 25delta (outofthemoney) for that expiration. 75Delta Call: buying or selling 1 call on the strike nearest to the 75delta (inthemoney) for that expiration. 75Delta Put: buying or selling 1 put on the strike nearest to the 75delta (inthemoney) 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 25delta (outofthemoney) strike and 1 put on the 25delta (outofthemoney) strike for that expiration. Ratio Call Spread: sell 1 call on the atthemoney strike and buy 2 calls on the 25delta strike for that expiration. Ratio Put Spread: sell 1 put on the atthemoney strike and buy 2 puts on the 25delta strike for that expiration. BuyWrite ATM: buy the underlying stock and sell 1 call on the atthemoney strike for that expiration. BuyWrite 25Delta: buy the underlying stock and sell 1 call on the 25delta (outofthemoney) strike for that expiration. Call Butterfly Spread: sell 2 calls on the atthemoney strike, buy 1 call on the 25delta strike (outofthemoney), and buy 1 call on an inthemoney strike which is equidistant from the atthemoney Put Butterfly Spread: sell 2 puts on the atthemoney strike, buy 1 puts on the 25delta strike (outofthemoney), and buy 1 puts on an inthemoney strike which is equidistant from the atthemoney Iron Butterfly Spread: sell 1 put outofthemoney, buy 1 put at a deeper outofthemoney strike, sell 1 call outofthemoney, and but 1 call at a deeper outofthemoney 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 25delta call and put strike for the short strikes, and the 15delta call and put strikes for the long strikes, assuming they are equidistant pricewise. 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 outofthemoney strike and 1 call on an inthemoney strike, and then buy 1 call on a deeper outofthemoney strike and 1 call on a deeper inthemoney 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 outofthemoney strike and 1 put on an inthemoney strike, and then buy 1 put on a deeper outofthemoney strike and 1 put on a deeper inthemoney 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 outofthemoney, buy 1 put at a deeper outofthemoney strike, sell 1 call outofthemoney, and but 1 call at a deeper outofthemoney 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 25delta call and put strike for the short strikes, and the 15delta call and put strikes for the long strikes, assuming they are equidistant pricewise. 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 nearterm expiration and buy 1 option on the same strike for a farterm expiration. For a Credit Calendar Spread, buy the nearterm and sell the farterm. 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 
Note: EST denotes estimated date
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 = AttheMoney (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 atthemoney price for that expiration. ATM Call: buying or selling 1 call on the strike nearest to the atthemoney price for that expiration. ATM Put: buying or selling 1 put on the strike nearest to the atthemoney price for that expiration. 25Delta Call: buying or selling 1 call on the strike nearest to the 25delta (outofthemoney) for that expiration. 25Delta Put: buying or selling 1 put on the strike nearest to the 25delta (outofthemoney) for that expiration. 75Delta Call: buying or selling 1 call on the strike nearest to the 75delta (inthemoney) for that expiration. 75Delta Put: buying or selling 1 put on the strike nearest to the 75delta (inthemoney) 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 25delta (outofthemoney) strike and 1 put on the 25delta (outofthemoney) strike for that expiration. Ratio Call Spread: sell 1 call on the atthemoney strike and buy 2 calls on the 25delta strike for that expiration. Ratio Put Spread: sell 1 put on the atthemoney strike and buy 2 puts on the 25delta strike for that expiration. BuyWrite ATM: buy the underlying stock and sell 1 call on the atthemoney strike for that expiration. BuyWrite 25Delta: buy the underlying stock and sell 1 call on the 25delta (outofthemoney) strike for that expiration. Call Butterfly Spread: sell 2 calls on the atthemoney strike, buy 1 call on the 25delta strike (outofthemoney), and buy 1 call on an inthemoney strike which is equidistant from the atthemoney Put Butterfly Spread: sell 2 puts on the atthemoney strike, buy 1 puts on the 25delta strike (outofthemoney), and buy 1 puts on an inthemoney strike which is equidistant from the atthemoney Iron Butterfly Spread: sell 1 put outofthemoney, buy 1 put at a deeper outofthemoney strike, sell 1 call outofthemoney, and but 1 call at a deeper outofthemoney 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 25delta call and put strike for the short strikes, and the 15delta call and put strikes for the long strikes, assuming they are equidistant pricewise. 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 outofthemoney strike and 1 call on an inthemoney strike, and then buy 1 call on a deeper outofthemoney strike and 1 call on a deeper inthemoney 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 outofthemoney strike and 1 put on an inthemoney strike, and then buy 1 put on a deeper outofthemoney strike and 1 put on a deeper inthemoney 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 outofthemoney, buy 1 put at a deeper outofthemoney strike, sell 1 call outofthemoney, and but 1 call at a deeper outofthemoney 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 25delta call and put strike for the short strikes, and the 15delta call and put strikes for the long strikes, assuming they are equidistant pricewise. 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 nearterm expiration and buy 1 option on the same strike for a farterm expiration. For a Credit Calendar Spread, buy the nearterm and sell the farterm. 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.

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.
Historical outcomes do not guarantee any future results. Historical outcomes are used as guidance for further research.
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.