Part III: Advanced Analysis: Improving the Odds of Winning
We have examined the outcomes of several of the most common option strategies around earnings announcements, including both directional and volatility plays. Our analysis of the data has yielded many interesting and sometimes counter-intuitive findings.
A distinct feature of these analyses is that these strategies were applied to all options meeting the indicated liquidity requirements without consideration for security selection (the only exception was the post-earnings-announcement drift strategy, where predictions of future stock returns were based on earnings announcement returns). In this section, we investigate several signals that are potentially useful to help improve the odds ...
Get Option Strategies for Earnings Announcements: A Comprehensive, Empirical Analysis now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
