English
Auf die Warteliste
Die Bücher... aber nicht gratis
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatistikMarktstatistiken und Edges1,327StrategienBackgetestete Strategien18Research PapersDie Studie hinter den Algos301DokumentationProBuilder-Referenz27Algo-EntwicklungsprogrammKurse und Lektionen24Alles hier fließt in die 24 AlgosDie Algos ansehen

Statistik › Einzelaktien › Earnings straddles

Buying earnings straddles pays, until you weight by what you can actually trade

Equal weighted exit at announcement: 2.60%+2.60%Equal weightedexit at announcementOpen interest weighted exit at announcement: 1.10%+1.10%Open interest weightedexit at announcementEqual weighted exit day after: 2.10%+2.10%Equal weightedexit day afterOpen interest weighted exit day after: -0.67%-0.67%Open interest weightedexit day after

Delta-neutral at-the-money straddle returns on US single stocks, 76,848 observations, January 1996 to December 2013. Weighting by dollar open interest moves the portfolio toward the options you could actually size a position in, and most of the return goes with it.

Buying at-the-money straddles three days before an earnings announcement returned 2.60% by the announcement, and the implied volatility run-up behind it is well measured. Weight the identical portfolio by dollar open interest and the five-day version turns negative and loses significance.

+2.60%Equal-weighted straddle return, three days before to the announcement
-0.67%The five-day version weighted by dollar open interest, insignificant
+4.7 ptsRise in at-the-money implied volatility from day minus 30 to day minus 1
-0.33%The announcement day itself, equal weighted and insignificant

Nur für Mitglieder

Der restliche Teil dieser Seite ist für Mitglieder

Below this point there are 5 sections, 1 table and 2 named sources, roughly 500 words of it. Every figure carries the source it came from and the date the data is from.

Sie können weiterhin jede Statistik in der Bibliothek kostenlos durchsehen. Die Einleitung und die Zusammenfassung sind immer offen.