Earnings options are
systematically overpriced

Proprietary 10-factor scoring system

Each quarter, hundreds of upcoming earnings are run through a multi-layer quantitative scoring system. The system combines implied volatility analysis, historical earnings behavior, options market structure, and liquidity metrics to identify the highest-conviction calendar spread candidates. Only stocks that pass all criteria receive a trade.

• Implied vs realized volatility gap

  Compares the current options-implied earnings move against the stock's actual historical earnings behavior across multiple time horizons. Identifies stocks where the market is pricing in significantly more movement than typically occurs.
• Volatility rank and percentile

  Measures where current IV sits relative to its own historical range. Ensures entries occur only when volatility is elevated enough to provide a meaningful premium for sale.
• Term structure analysis

  Evaluates the IV differential between near-term and far-term options. A steep term structure is essential for calendar spreads — it drives the spread widening that generates profit after earnings.
• Post-earnings volatility crush

  Estimates the magnitude of IV collapse after the earnings event. Stocks with historically weak IV crush are filtered out regardless of other factors.
• Options market liquidity

  Screens for sufficient volume and open interest to ensure tight spreads and reliable execution. Illiquid options destroy edge through slippage.
• Expiration structure

  Verifies the availability of optimal expiration dates for both legs of the calendar spread. The timing of the near-term and far-term legs is critical to the trade mechanics.
• Price and market cap thresholds

  Filters out stocks that are too small or too cheap to trade efficiently with calendar spreads. Ensures adequate option chain depth and institutional participation.
• Historical earnings consistency

  Tracks whether the IV overpricing pattern is repeatable for each stock across multiple quarters, not just a one-time anomaly. Consistent overpricing = higher-confidence trade.
• Sector and correlation check

  Limits exposure to correlated names reporting on the same day. Prevents portfolio-level blowups from sector-wide earnings moves.
• Composite grade: A / B / C / F

  All factors combine into a weighted score. A-grade setups receive full position sizing. B-grade: reduced size. C-grade: minimal or skip. F-grade: no trade. This tiered approach concentrates capital on the highest-conviction opportunities.

The screening funnel

Quarter-by-quarter breakdown