March 20, 2017

Options Backtesting Results

Historical average return: +$11.42 (backtested over 8.2 years)
Historical success probability: 62.4%

Summary

Options traders are pricing in a 5% move in Nike's stock after they report earnings tomorrow. This is nothing unusual as options traders have priced in an earnings move within the tight range of 4-6% since 2012. Options backtesting shows that selling volatility in advance of their earnings has generally only been a mildly profitable strategy.

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