Option Strategies for Earnings Announcements: A Comprehensive, Empirical Analysis


Preface to Option Strategies for Earnings Announcements

Write a review Rate this item: Preview this item Preview this item. Option strategies for earnings announcements: Ping Zhou ; John Shon Publisher: Upper Saddle River, N. English View all editions and formats Rating: Subjects Options Finance Price-earnings ratio. View all subjects More like this Similar Items. Find a copy online Links to this item Safari Books Online. Allow this favorite library to be seen by others Keep this favorite library private.

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Editorial Reviews. From the Back Cover. “This is a remarkable book that I would recommend to Option Strategies for Earnings Announcements: A Comprehensive, Empirical Analysis - Kindle edition by Ping Zhou, John Shon. Detailed strategies supported by comprehensive analysis of the actual data: not cherry-picked. Option Strategies for Earnings Announcements: A Comprehensive, Empirical Analysis [Ping Zhou, John Shon] on www.farmersmarketmusic.com *FREE* shipping on qualifying .

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Similar Items Related Subjects: Linked Data More info about Linked Data. That is a significant amount of data that you would never have the time or desire to pore over yourself. We help you rise above the din, and boil this data down to powerful information. In easily understandable tables, we arm you with the knowledge of how various options trades fare on an empirical basis. Have you had the general sense that, say, short near-the-money straddles, entered a day before earnings announcements and exited the day after earnings announcements, were a winning play?

Well, no more guessing or having a general sense. Our conservative analysis shows that short straddles had a median two-day return of 1. However, the mean two-day return was in fact negative, —3.

Option strategies for earnings announcements : a comprehensive, empirical analysis

This suggests that well over half of the short straddles were winning plays given that the median is positive , but that a few large losing trades brought down the average returns, perhaps not surprising given that short options strategies have a fat left tail. But what is this information worth to you—the fact that the median returns are 1. Is it enough for you to know that the overall median returns were 1. Or would you like to know how the strategies fared in certain industries and certain years? A short straddle entered in the manufacturing industry in a boring, uneventful year like is probably different from the same strategy for a financial firm in and We document these differences to inform you about how options-based strategies fare in different industries and different years.

This precision in information is what we aim to offer the careful reader.

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It helps arm you with knowledge that enables you to fully understand the odds of your trade being profitable based on real historical data. The second purpose of this book is our presentation of what-if scenarios. In each chapter, you will find a specific options strategy.

Earnings Option Trades - The 4 Key Things You Have To Do

Our baseline analysis is always of at-the-money or near-the-money options with the closest expiration date. We also set a standard holding period of two days. Though this baseline analysis is certainly interesting, a natural question that arises is how the distribution of returns would differ if the trades were executed using a different strike price, or a different expiration month.

How would the trades differ if we extended the holding period? We answer all of these questions in our extended analysis by presenting each of these alternative what-if scenarios.

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These robustness tests also further ensure that our baseline results are not some empirical anomaly. Also, there are several ways of exploiting earnings announcements. For instance, we can consider three general time-related windows around the announcements.

The most straightforward is the two-day window capturing the actual announcement. However, we also examine potential trades that occur days or weeks before the earnings announcement, to potentially exploit the buildup of implied volatility before the earnings announcement.

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The book is divided into three parts. In Part I Chapters 1 to 3 , we lay down the foundational work by explaining the unique features of earnings announcements, the structure of the analyses, and the important issues related to the liquidity of options, measured by bid-ask spreads. Your list has reached the maximum number of items. It would take me forever to create this type of analysis and was very much worth the price of the book. For example, they identify hidden patterns and potential opportunities based on valuation, industry, volatility, analyst forecasts, seasonality, and trades that immediately follow earnings announcements.

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