It was a tough 2020 for many things, owning straddles around earnings announcements included.
According to ORATS earnings data, straddle owning last earnings season was especially tough.
ORATS performs extensive studies of the implied earnings move from the options straddles versus the actual moves.
Usually, as in the historical average of earnings moves below, the win rate for straddle holders is 40% and the return for options holders is slightly below break-even (100%), currently the last 12 quarters are at 96%, bottom right hand corner.
The last earnings season that started in October, only had 24% win rate and returned only 70% to options holders.
July’s earnings season had a 28% win rate and returned 78%.
April was more normal with 37% wins and returned 90%.
Last year's January season was 40% wins and 91% returned.
See Matt Amberson's quote in Reuters Wall St Week Ahead article here.
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