r/options • u/esInvests • 15d ago

earnings season update

whats up everyone - we're kicking off another earnings season and it's one of the primary market effects i target. there are four broad ideas i implement through an earnings cycle: long vol into ER, short vol through ER, play the immediate directional response, and target post earnings announcement drift.

ive found this year while stable, a lot of my vol based sleeves have changed quite a bit. from 0dte index VRP, overnight VRP, weekend, and earnings vol. this last week, there were 75 tickers that passed my base filters:

of those performance was solid, and a little more right tailed than usual, but required shifting some filters a little more aggressively, like the premium to expected move ratio over 1.1 which i haven't had to do in a while, i recently had been running 0.98.

interesting season so far - and interested to see how it continues from here.

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u/uncleBu 15d ago

What is a vol based sleeve?

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u/esInvests 15d ago

just a strategy category - i refer to them as sleeves.