Work in progress. This project is focused on identifying trading opportunities with a statistical edge. We are selling volatility after earnings announcements and buying volatility before earnings. Both strategies can be explained by behavioral finance and are likely anomalies with a chance to persist over time.
- 📉 Short Put Options: Post earnings announcements
- 📈 Long Straddles: Prior to earnings when IV is low
- 📦 Box Spreads: Between earnings seasons
| symbol | date | when | sector | market_cap | close | hv_current | iv_current | vol_premium | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | PRGS | 2025-01-21 | After market close | Technology | $2.7B | $62.94 | 18.39% | 38.35% | 2.09x |
| 1 | NFLX | 2025-01-21 | After market close | Communication Services | $366.8B | $842.37 | 25.38% | 44.03% | 1.73x |
| 2 | STX | 2025-01-21 | After market close | Technology | $20.7B | $95.07 | 28.43% | 43.90% | 1.54x |
| 3 | UAL | 2025-01-21 | After market close | Industrials | $35.3B | $106.11 | 37.47% | 56.25% | 1.50x |
| 4 | TEL | 2025-01-22 | Before market open | Technology | $43.6B | $143.69 | 15.95% | 23.91% | 1.50x |
| 5 | PG | 2025-01-22 | Before market open | Consumer Defensive | $379.5B | $160.50 | 14.48% | 20.81% | 1.44x |
| 6 | TRST | 2025-01-21 | After market close | Financial Services | $618.0M | $32.22 | 29.60% | 41.90% | 1.42x |
| 7 | UCB | 2025-01-22 | Before market open | Financial Services | $4.0B | $32.61 | 30.97% | 42.03% | 1.36x |
| 8 | COF | 2025-01-21 | After market close | Financial Services | $72.8B | $188.44 | 25.54% | 34.56% | 1.35x |
| 9 | TDY | 2025-01-22 | Before market open | Technology | $22.1B | $472.08 | 15.68% | 20.85% | 1.33x |
| symbol | next_earnings_date | earnings_time | sector | market_cap | iv_current | iv_before_mean | deviation_from_before | iv_after_mean | deviation_from_after | iv_before_std | iv_before_count | iv_after_std | iv_after_count | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0 | CBOE | 2025-02-07 | Before market open | Financial Services | 20390.7400 | 0.2123 | 0.3317 | -0.1194 | 0.2460 | -0.0337 | nan | 1 | 0.0519 | 13 |
| 1 | KIM | 2025-02-07 | Before market open | Real Estate | 15025.2667 | 0.2187 | 0.3141 | -0.0954 | 0.2716 | -0.0529 | 0.0357 | 12 | 0.0149 | 2 |
| 2 | FTV | 2025-02-07 | Before market open | Technology | 27377.7459 | 0.2516 | 0.3195 | -0.0679 | 0.2336 | 0.0180 | 0.0254 | 4 | 0.0400 | 11 |
| 3 | AVTR | 2025-02-07 | Before market open | Healthcare | 14816.9677 | 0.5147 | 0.5383 | -0.0236 | 0.3604 | 0.1543 | nan | 1 | nan | 1 |
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Top 10 Upcoming Earnings:
- Ratio of current implied volatility to historical volatility
- Potential candidates for short puts
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Historical IV Deviation:
- Measures difference between current and historical pre-earnings implied volatility
- Negative values indicate current IV is lower than historical pre-earnings IV
- Potential candidates for long straddles
- This is an experimental trading bot
- Always perform your own financial research
- Past performance does not guarantee future results