Options Backtesting Research

Jul 26

Google options analysis for Q2 2016 earnings

While the options market has predicted the magnitude of Google's earnings moves successfully more often than not (52.6% of the time) over the past six years, when it's wrong, it's been wrong significantly. The few large losses from selling volatility in advance of Google earnings make the average historical return of the strategy negative.

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Jul 26

Facebook options analysis for Q2 2016 earnings

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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