Facebook options analysis for Q2 2016 earnings

July 26, 2016

Options Backtesting Results

Historical average return: +$76.66 (backtested over 4.0 years)
Historical success probability: 58.1%


Options traders have priced in bigger earnings moves than have actually been realized over the past four years for Facebook. Selling FB earnings straddles has positive historical expected value and would have been profitable 58% of the time.

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