What is an earnings straddle?

Buying an at-the-money call and put before a company reports and holding them through the report. It gains if the stock moves enough either way to outweigh the drop in implied volatility that usually follows the news, and loses otherwise.

How is the straddle return worked out?

From the end of the trading day before the stock reacts to the end of the reaction day, at bid-ask midpoints, with a stock position that offsets the straddle's starting delta. The gain or loss is divided by the straddle's time value, so a straddle that more than doubles shows above +100%.

Which companies are included?

Companies with a confirmed, regular report date this season and a straddle result for each of their last 12 reports over about three years. Projected dates and preliminary, guidance-only, revised or rescheduled releases are left out.

What does 3-Yr Avg mean?

The current season and the 11 quarters before it taken together: the average return across all those straddles, and the average number of gains and losses per quarter.

Who can use Earnings Straddle Performance?

Everyone can see the charts and tables for all the companies. Premium and Premium Earnings members can also narrow them to the stocks in SPY or QQQ.

Does a strong season mean the next earnings straddle will make money?

No. These are past results across many companies; each report can move a stock more or less than its options priced in.

Feature guide · Updated November 12, 2026

Earnings Straddle Performance

Earnings Straddle Performance shows how at-the-money straddles held through each company's earnings report did this season - the share that gained, the average return and the spread of results - next to each of the previous 11 quarters and their 3-year average. The page is open to everyone; Premium and Premium Earnings members can narrow it to the stocks in SPY or QQQ.

Open Straddle Performance

1 · What it is

What is Earnings Straddle Performance?

A straddle - an at-the-money call plus an at-the-money put - gains when a stock moves more than its options priced in, and loses when the move is smaller or implied volatility drops after the news. Earnings Straddle Performance, titled Quarterly Earnings Option Straddle Insights on the page, shows how a straddle held through the report did for the companies we track that report this earnings season: how many gained, how many lost and the average return, against each of the 11 quarters before and their 3-year average.

2 · How we build it

How the straddle results are measured

Which companies. Companies with a confirmed, regular earnings date in the current season - not a projected date, and not a preliminary, guidance-only, revised or rescheduled release - and a straddle result for each of their last 12 reports, all within about three years.
Which season. Reports from January to March count as the fourth quarter of the year before, April to June as Q1, July to September as Q2 and October to December as Q3. In November 2026 the page shows Q3 2026.
The straddle. The at-the-money call and put in the nearest expiration that lasts through the day the stock reacts to the report, bought at the midpoint of the bid and ask at the end of the trading day before and valued the same way at the end of the reaction day. For a report after the close the reaction day is the next trading day; otherwise it is the report day.
The return. The straddle's gain or loss, plus a stock position that offsets its delta at the start, divided by the straddle's time value - the part of its price above what the options would be worth if exercised right away. Because time value is the base, a return can be above +100%.
Quarter by quarter. Each company's 12 most recent results are lined up by quarter: the latest counts toward the current season, the one before toward the previous quarter, and so on. 3-Yr Avg covers the current season and the 11 quarters before it.
Updates. The page is rebuilt about every 10 minutes, so the current season's figures change as companies report. There is no date picker.

These are past results across many companies, not a forecast. A season in which earnings straddles did well does not mean the next one will make money.

3 · Questions it answers

What you can find out

How are earnings straddles doing this quarter?

The paragraph at the top and the Performance of Option Straddles table give the number of companies, the share of straddles with positive and negative returns and the average return so far this season, next to the previous quarter and the 3-year average. See this season's results

Is this a good or bad earnings season for straddle buyers?

The two charts show the gains and losses, and the average return, for each of the last 12 quarters and the 3-year average, and the page says where this season's average return ranks among them. It is labeled Strong Performance when the average return is positive and both it and the share of gains are at or above the 3-year average, and Weak Performance in the opposite case. Compare the quarters

How often did earnings straddles double, or lose most of their value?

Earnings Straddle Distribution of Returns counts the straddles that lost more than 75%, 50% or 25%, and those that gained more than 0% up to more than 150%, with a histogram in 25% steps, this season against the 3-year average per quarter. See the distribution

How did straddles do on the stocks in SPY or QQQ?

Premium and Premium Earnings members can set Filter Symbols to SPY Holdings or QQQ Holdings and click Reload to see the same figures for those stocks only. Filter by ETF holdings

How did straddles do around one stock's past reports?

This page adds up many companies. For one stock, its Option Strategies page under Earnings shows how straddles and other strategies did around its past reports, and Implied Move Charts compare its implied move with its past moves. Trading around earnings

4 · Where to find it

Where to find it

Menu: Earnings › For Premium Users › Earnings Insights › Straddle Performance, or go straight to /earnings-option-straddle-historical-insights. Its companion, Earnings Stock Moves, shows the same view for the stocks' own moves after their reports.

Everyone sees the charts and tables for all the companies. The Filter Symbols choice - All Symbols, SPY Holdings or QQQ Holdings - is for Premium and Premium Earnings members; everyone else sees a preview notice and the filter locked.

What each chart and table shows

Chart or table	What it shows
Performance of Option Straddles	This season: % Positive, % Negative, Avg Return and the number of companies
Positive and Negative Straddle Returns by Quarter	How many straddles gained and lost in each of the last 12 quarters, and the 3-year average per quarter
Average Straddle Returns by Quarter	The average return in each quarter and over the 3 years
Quarter table	% Positive, % Negative and Avg Return by quarter, with the 3-Yr Avg
Cumulative Distribution of Straddle Returns	How many lost more than 75%, 50%, 25% or anything, and how many gained anything up to more than 150%
Histogram Count of Straddle Returns	How many fell in each band: 25% steps from -100% to +100%, then +100% to +150%, +150% to +200% and above +200%

FAQ

What is an earnings straddle?: Buying an at-the-money call and put before a company reports and holding them through the report. It gains if the stock moves enough either way to outweigh the drop in implied volatility that usually follows the news, and loses otherwise.
How is the straddle return worked out?: From the end of the trading day before the stock reacts to the end of the reaction day, at bid-ask midpoints, with a stock position that offsets the straddle's starting delta. The gain or loss is divided by the straddle's time value, so a straddle that more than doubles shows above +100%.
Which companies are included?: Companies with a confirmed, regular report date this season and a straddle result for each of their last 12 reports over about three years. Projected dates and preliminary, guidance-only, revised or rescheduled releases are left out.
What does 3-Yr Avg mean?: The current season and the 11 quarters before it taken together: the average return across all those straddles, and the average number of gains and losses per quarter.
Who can use Earnings Straddle Performance?: Everyone can see the charts and tables for all the companies. Premium and Premium Earnings members can also narrow them to the stocks in SPY or QQQ.
Does a strong season mean the next earnings straddle will make money?: No. These are past results across many companies; each report can move a stock more or less than its options priced in.

Trading around earnings Earnings Implied Moves Earnings Option Strategy Screener Earnings Stock Moves this quarter

Terms on this page

Straddle IV crush Time value Delta

Market Chameleon provides data, not investment advice.