Research Specials LIVE

Earnings Versus Short Premium

Research Specials LIVE

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Anton and Michael G. discuss two popular trading strategies at tastytrade: short, delta-neutral premium trades and earnings trades.

The Study:
  • SPY premium trades
    • SPY
    • 45 DTE
    • 2005 – 2018
    • 16 Delta Strangles
    • Managed at 21 DTE
  • Earnings Trades
    • AAPL, AMZN, GS, IBM, GOOGL
    • 5 DTE
    • 2010 – 2018
    • 16 Delta Strangles
    • Managed Day After Earnings
  • Recorded Average P/L and Average Standard Deviation (Risk) of P/L of both strategies.
Results:

Looking at the distribution of P/L for SPY premium trades and earnings trades we see significant differences in both the average P/L and variance of P/L. SPY trades have a positive average performance while earnings trades are practically 0. However, when we look at the number of opportunities available for earnings trades and short premium trades in SPY we see significant increases in the number of tradeable opportunities with earnings.

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