Table of Contents
Part I: Introduction 1
Chapter 1: Earnings Announcements: Opportunities and Risks 3
Chapter 2: Option Strategies for Earnings Announcements: An Overview 11
Chapter 3: Liquidity Risk: Bid-Ask Spreads 23
Part II: Options Strategies for Earnings Announcements: Let the Data Speak 39
Chapter 4: Bullish Directional Trades 41
Chapter 5: Bearish Directional Trades 59
Chapter 6: Long Volatility Trades 79
Chapter 7: Short Volatility Trades 95
Chapter 8: Buy Volatility before Earnings Announcements 109
Chapter 9: Ride the Post-Earnings-Announcement Drift 121
Part III: Advanced Analysis: Improving the Odds of Winning 135
Chapter 10: Implied Volatility 137
Chapter 11: Historical Earnings Announcement Returns 151
Chapter 12: Market Capitalization 161
Chapter 13: Valuation 169
Chapter 14: Industry Effects 183
Chapter 15: Enhanced Strategies 195
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