Options traders historically overestimate Amazon earnings moves

July 26, 2016

Options Backtesting Results

Historical average return: +$584.83 (backtested over 5.8 years)
Historical success probability: 67.2%


The options market has historically overestimated the magnitude of price moves in Amazon stock immediately after earnings reports. Selling volatility through AMZN earnings straddles would have been profitable 67% of the time over the past six years.

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