Oct. 27, 2016

Options Backtesting Results

Historical average return: -$44.07 (backtested over 6.1 years)
Historical success probability: 49.1%

Summary

Options on Exxon are pricing in just a 2.2% move over the next week after third quarter earnings are released tomorrow. This compares to the 3.1% expected before second quarter results in July. Options backtesting of earnings straddles shows that they would be historically unprofitable at present pricing as Exxon's average earnings move was 2.7% since 2010.

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