日度归档：2025年2月16日

量化投资

How I make 47% profit on NFLX earnings

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Earnings season in the US stock market is arguably one of the most thrilling investment games.

After earnings releases, stock price volatility can be extreme – 5% movements are normal, 10% swings are common, and some even exceed 20%.

This leads many to try ‘betting on earnings.’ However, this approach requires correctly predicting market direction after earnings, which is notoriously difficult to systematize.

Today, I’ll introduce a strategy that doesn’t require directional prediction but instead profits from volatility – the Straddle strategy.

The principle of a Straddle is simple: simultaneously buying both call and put options with the same strike price and expiration date.

However, timing the purchase and selecting the right expiration date for the Straddle requires careful consideration.

Let’s take a simple example from NFLX’s earnings on January 21st. According to the APP: Market Moments data, NFLX’s historical average post-earnings movement is around 8%:

At that time, purchasing one Straddle required a minimum movement of 7.x% to be profitable. Based on historical data, this had a high probability of success. My purchase cost was approximately $6,478.

Eventually, NFLX exceeded earnings expectations and opened up over 12%. If you sold within the first hour of trading, you could profit over $3,000, representing about a 47% return.

However, if NFLX hadn’t exceeded expectations and opened with less than a 7% move, you would have suffered losses due to the sharp decline in implied volatility. With only a 5% move at open, you would have lost around $1,200.

Therefore, analyzing historical volatility is crucial. However, buying Straddles with longer expiration dates provides more margin for error. Take Tesla’s recent earnings as an example:

According to APP: Market Moments search results, Tesla’s most recent earnings volatility was unusually low at just 2.x%. If you had bought a same-week expiring Straddle, with a cost basis of 10.x%, you would have suffered significant losses due to implied volatility collapse.

However, if you had chosen a late February expiring Straddle, given Tesla’s subsequent market performance dropping to $325, assuming your Straddle strike price was $389, the decline of 325/389-1 = 16.45% would have still resulted in a profit.

Two key factors for buying Straddles are:

  • Purchase Straddles with sufficiently distant expiration dates to provide a longer buffer period.
  • Historical earnings volatility should be high enough to exceed the minimum movement needed for the current Straddle to be profitable. You can view upcoming earnings releases or search historical earnings volatility for all US stocks in the APP: Market Moments:

You can scan the QR code below to download:

量化投资

我是如何在美股NFLX财报上盈利 47% 的

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美股的财报季可以说是最紧张刺激的投资游戏之一。
因为美股的财报出来后，股票的波动率特别大，5% 是正常现象，10% 是司空见惯，更有甚者能达到 20% 以上。
因此有很多人就会尝试去：”赌财报”。而赌财报这种方式需要你判断正确财报后市场的方向，这其实是很难发现规律的。
今天给大家介绍一种策略，不需要判断方向，改而采用判断 “波动率”的方式去盈利，那就是Straddle策略。
Straddle 的原理很简单，就是同时买入相同行权价和相同到期日的看涨期权和看跌期权。
但是什么时候能买，买什么时间到期的Straddle 是很有讲究的。
举一个最简单的例子就是前段时间1 月 21 号NFLX 的财报，根据 APP: Market Moments的数据显示，NFLX 每次财报后的历史平均波动在 8% 左右：
当时购买一张 Straddle，最终到达能盈利的最小波动是7.x%，根据历史数据来看，胜率很高，当时我买入的成本大概是 6478 美元。
最终，NFLX 财报超预期，开盘涨超 12%，如果你能在盘中第一个小时出手，能盈利 3k 美元以上。盈利率大概是 47%。
当然，如果 NFLX 没有超预期，开盘涨幅低于 7%，那么你也会因为隐含波动率的大幅下跌而产生亏损，假如其开盘波动只有 5%，那么你会亏损 1200 美元左右。
因此，判断历史波动率非常重要，但是，如果你买更远期到期的 Straddle，你的容错性会高很多，以这一次特斯拉财报为例：
根据 APP: Market moments 的搜索结果展示，你可以看到最近一次特斯拉的财报波动率实在是太差了，只有 2.x%，如果你买当周到期的 Straddle，当时购买一张特斯拉 Straddle 需要的成本是10.x%，会因为隐含波动率的下跌大幅亏损。
但是，如果你选择买 2 月底到期的 Straddle，由于特斯拉在后面的市场表现中，最低探到 325 美元，假设你当初买Straddle 的行权价为389，这波特斯拉的下跌幅度则为325/389-1 = 16.45%，最终你也还是盈利的。
可以看到，买 Straddle 的2 个关键因素：
1. 购买足够远期的 Straddle，给你更长时间的缓冲垫。
2. 历史财报波动率要足够高，高过其当前 Straddle 能够盈利的最低波动率，这个你可以从APP: Market moments 中看到即将发布或搜索所有美股的历史财报波动情况：

你可扫描下方二维码下载：