Pre-Earnings Long Straddles 8 Cycles

Long Straddle Pre-Earnings - Number of Cycles = 8, Winrate >= 70%, Return >= 15%

Expiration date is just after the earnings date.

Closing Day = GTC reached or, if not reached: Earnings date if AMC, the day before if BMO.

Trading days range: openings at T-15, T-10 and T-5.

Evolution of the trade from Buy Date to T-0.

Win Rate is when the GTC is reached or Return positive at the last day. GTC = 15%.

Cycles = [4, 8, 12, 16, 20]

WARNING: This scanner is a statistical study of past results and does not predict future behavior. Always make your trading choices with full knowledge. Math-Trading is not financial advice and is not responsible for any losses incurred by your trades.

Showing 26 results (Winrate > 70%, Cycles: 8, Return > 15%)

Ticker	Buy Day	Winrate (%)	Return (%)	RV Mean	N. cycles
CMCSA	T-15	75.00%	19.27%	0.0631	8
CMCSA	T-2	87.50%	27.28%	0.0478	8
GILD	T-15	100.00%	31.63%	0.0544	8
PLTR	T-15	75.00%	16.55%	0.1459	8
PLTR	T-10	75.00%	15.41%	0.1548	8
PEP	T-15	87.50%	23.59%	0.0424	8
GOOG	T-15	87.50%	17.69%	0.0697	8
UNH	T-15	87.50%	21.45%	0.0628	8
AMD	T-15	87.50%	16.10%	0.1124	8
AMD	T-10	87.50%	26.31%	0.0997	8
BLK	T-10	87.50%	21.64%	0.0441	8
ZM	T-15	100.00%	20.00%	0.0953	8
NET	T-15	87.50%	15.35%	0.1398	8
DOCU	T-15	100.00%	18.77%	0.1053	8
RTX	T-15	75.00%	22.21%	0.0537	8
GD	T-15	100.00%	44.95%	0.0427	8
TSM	T-15	87.50%	20.79%	0.0787	8
ADI	T-15	75.00%	17.24%	0.0715	8
ADI	T-10	87.50%	17.90%	0.0637	8
ISRG	T-15	75.00%	27.84%	0.0755	8
ZTS	T-15	100.00%	21.45%	0.0712	8
ZTS	T-10	100.00%	16.57%	0.0678	8
CVS	T-15	87.50%	22.39%	0.0753	8
NCLH	T-15	75.00%	16.61%	0.1076	8
MAR	T-15	87.50%	21.48%	0.0579	8
BK	T-5	87.50%	18.41%	0.0525	8

Earnings Date	Expiration	Last Close	Day of GTC/Final	ATM Strike	Straddle Value at Buy	Straddle Value at Sell	GTC Return (%)	Final Return (%)	Gain ($)	Call Delta at Buy	Put Delta at Buy	RV at Buy	IV at Buy