Earnings Option Strategy Screener

The goal of the Earnings Option Strategy Screener is to enable users to research an expansive set of data on how past earnings releases have affected the value of options in the marketplace.

How to Find It

The screener is listed on the main menu under the Earnings heading, where it says For Premium Users

How to Use It

The screener lists all symbols that have released quarterly earnings and that have listed options during those earnings announcements. All of the strategy results in the table are based on buying the options long and holding them over the specified timeframe. You can sort and filter the results in the table to narrow in on strategies you might be interested in:

  • 25-Delta Call is one single out-of-the-money option call for the nearest expiration to the end of the selected timeframe. We use a snapshot of the call's market value at the beginning of the timeframe and compare it to the call's market value at the end of the timeframe. You can see how often over the last 12 earnings (at most 12 earnings) the 25-delta call has gained value over the course of the selected timeframe near earnings. Typically, a stock would need to experience significant gains in price to result in a large gain in 25-delta call value around earnings.
  • ATM Straddle is one at-the-money straddle (1 call option, 1 put option) for the nearest expiration to the end of the selected timeframe. Often, straddles price in a great deal of volatility premium in the days leading into earnings. The change in straddle value around earnings is based on both a change in the stock price and a change in the symbol's volatility. A stock that does not move very much around earnings could experience low volatility, which would significantly decrease the value of the straddle after earnings.
  • 25-Delta Put is similar to the call, but with one out-of-the-money put. In this case, if the stock price experiences significant losses, it would likely result in large gains for the 25-delta put.

Explaining the Timeframes

A screenshot of the filter selections for the strategy timeframes

For the purposes of this report, the Day of Earnings Trading is considered to be the day immediately following the release of the earnings. So, if a stock were to release earnings on Monday morning before the open (BMO), then Monday would be the day of earnings trading (and similarly, Friday would be the day before earnings trading).

If a stock releases earnings results Monday after the close, then Tuesday would be considered the day of earnings trading, and Monday would be the day before earnings.

Before Timeframe Choices: You can select any of 2 Weeks Before, 1 Week Before, 3 Days Before, 2 Days Before, or 1 Day Before earnings. The option value snapshots would be taken at the end of the selected day.

Day of Earnings Trading: the option value snapshot is taken at the end of the day immediately following earnings trading.

After Timeframe Choices: You can select any of 1 Day After, 2 Days After, 3 Days After, 1 Week After, or 2 Weeks After earnings. The option value snapshots would be taken at the end of the selected day.

An example: if symbol ABCD announces earnings on Thursday May 10th, after the market close, then the day of earnings trading would be Friday May 11th, the next day. Selecting a timeframe of 3 Days Before to Day of Earnings would mean you're comparing the option value from the end of Tuesday May 8th to the end of Friday May 11th. If you selected 1 Day Before to 1 Week After, you'd be comparing the value from the end of Thursday May 10th to the end of Friday May 18th.

Explaining the Results

The results table is loaded with information. Here's a quick rundown of the results available -- many of which are filterable.

A screenshot of the filters available in the Earnings Option Strategy Screener

  • Days to Earnings is the number of trading days until the next earnings date, whether estimated or confirmed.
  • Days to Open is the number of trading days until the date representing the opening range for the selected timeframe. If there are 45 days until earnings and you are looking at an open range of 2 Days Before Earnings, this number will be 43.
  • Days to Close is the number of trading days until the date representing the closing range for that timeframe. If there are 45 days until earnings and you are looking at a close range of 2 Days After Earnings, this number will be 47.
  • # of Observations is the number of historical earnings events where we have found applicable data for this options analysis.
  • Win Rate % is the number of times, out of those observations, that the selected strategy gained value over the specified timeframe.
  • Avg Return is the average percentage return for the strategy over the specified timeframe.
  • Median Return is the median percentage return for the strategy over the specified timeframe. Using the median return can help counteract average returns that are skewed by 1 or 2 extreme results.
  • Best Return is the best return, percentage-wise, for that strategy over the specified timeframe. If all the returns are negative, the best return would be the negative value of the lowest magnitude.
  • Worst Return is the worst return, percentage-wise, for that strategy over the specified timeframe. If all the returns are positive, the worst return would be the lowest positive return.
  • Return Std Dev is the standard deviation of all the percentage returns within the observation set.
  • Sharpe Ratio is a figure which represents the average return divided by the standard deviation. A high, positive Sharpe Ratio would be considered to be a positive indicator -- high average returns with low standard deviations.

Take a look at the screenshot below with a sample result set from this screener:

A screenshot of the sample results from the Earnings Option Strategy Screener

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