Today we take a closer look at the overall performance of strangles and iron condors during earnings. Since earnings are random in terms of movement, there can be large outliers that affect the average P/L.
The study shows that the strangles have high win rates, but relatively flat average P/L because of the large outlier moves. We also found that defining our risk with iron condors does not significantly outperform the strangles.
Since earnings are unpredictable and short strangles show mixed results, we can instead look at IV rank and other metrics to strategically trade the highest priced options during earnings season.