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In the Media

Monday, August 7th 2023

Matt Discusses Earnings Season With Reuters

Higher profit for straddle owners this season


ORATS publishes an earnings season report that follows the performance of owning straddles before earnings and comparing the implied move in the stock to the actual move. This earnings season has been profitable to straddle owners.

Saqib Iqbal Ahmed at Reuters interviewed Matt Amberson, Principal of ORATS, today about the current earnings season.

ORATS publishes an earnings season report that tracks the performance of the implied move in the underlying stock after earnings are announced.

Using the straddle prices and proprietary calculations that estimate the shape of the distribution of earnings moves, ORATS nets the expected value of the straddle after earnings against the current price to get an accurate representation of the market’s expectation of stock movement. Straddles profit if the stock moves in either direction greater than the implied move.

ORATS tracks the weekly performance of these straddles during earnings season.

Usually, the performance of straddles is poor in the first two weeks, improves in weeks 3 & 4 and is break-even in weeks 5 & 6 as earnings season winds down.

This earnings season has been kind to options holders with a +8% profitability estimated by comparing the actual moves to the implied moves in the stock.

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