I've been trading a while and have an idea for a strategy that may profit from earnings.
I'm open to feedback and input on the strategy, but what I'm looking for is a list of tickers that historically have had the biggest moves after earnings reports to focus on them.
The general idea of the strategy is to open a diagonal or calendar spread, buy a long dated ITM leg then sell short OTM leg for a shorter duration which will help lower the cost of the long leg. Given enough time the long option cost can be lowered from the short leg credits and possibly get to a zero net cost by the time the ER date occurs.
Timing the long leg to expire a week or two after a future ER, even a year of more away, would give a lot of time to collect and reduce the cost. Not opening a short leg when an ER is coming up and then being ready to close the long option based on a profit amount. This would be for both calls and puts so any big move up or down might be profitable.
I've tried this a few times opening trades about 6 months out and have had decent results, but would like to set up a rotating series of trades farther out in time.
What I cannot seem to find is a list of the 10 to 20 tickers that have historically had the biggest moves after ERs. NVDA has had big moves recently, but what other liquid tickers suitable for options have had bigger ER moves over the last 5 years? Any ideas for how to find a list of these tickers would be appreciated!
ER Strategy Idea – Historical List of Big Movers needed
byu/paradigm_shift_0K inoptions
Posted by paradigm_shift_0K
1 Comment
I just wanted to point out that if you set the expiration of the long leg more than 3 months after the front-month ER, you might cover more than one ER. And you mentioned pausing trades on the front leg short before (I am assuming) each intervening ER, which is fine, but combining those two things together makes your strategy be about everything EXCEPT for ERs! It’s more like an anti-ER trading strat, right?
> What I cannot seem to find is a list of the 10 to 20 tickers that have historically had the biggest moves after ERs.
I’m not sure you really want the biggest moves. You really want the biggest rallies, right? Plenty of ERs have downside surprises that tank the stock in a huge move downwards. There are also good or as-expected ERs that tank the stock from profit taking.
Have you checked these usual suspects for historical earnings move rankings?
MarketChameleon.com
Barchart.com
https://tools.optionsai.com/expected-move