Selling Boeing earnings straddles has been unprofitable

July 26, 2016

Options Backtesting Results

Historical average return: -$111.01 (backtested over 5.7 years)
Historical success probability: 39.3%

Summary

The market has underestimated how much Boeing has moved immediately after earnings results over the past six years. Selling weekly straddles in advance of earnings would have only been profitable 39% of the time historically.

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