I started seriously trading earning events this year. Took some time to understand them.
Volatility usually (slowly/rapidly) rises before an event, e.g., earnings. This has been measured and researched heavily (sources below). Post event IV drops, selling just before the event and capturing this IV (crush) can be a source of profit.
My options journey started in 2018, but I made my first serious earnings trade this year in April (out of all the years) on MSFT.
My steps involved getting the right observations, analysis, setting up the trade, placing it, risk analysis, and managing the trade +1 and +2 days after earnings.
# The MSFT Trade on Apr 2026
MSFT earning date: **29th April 2026**, after market close (AMC)
**Thesis**: If earnings is on day T, then IV is elevated than normal within T-5 and T-1. The volatility is a combination of normal volatility and the event vol. Due to an unknown outcome, the option prices are / could be overpriced. The question is by how much and is it overblown? Will the IV crush make sense?
**Setup**: Sell a strangle on MSFT on day T-X, for the "nearest" contract expiring on T+X (usually Friday). Many sources analyze selling straddle, but I am still not comfortable going ATM for large movers in these times!
**Day of trade**: I placed the trade on 23rd April, 5 days before 29 Apr day of Earning. No specific reason for picking T-5 days for MSFT.
# The day of 23 Apr
1st May Friday contracts, **On the day IV 39%**
1 Short Call at 425. Credit: 11.52
1 Short Put at 415. Credit: 11.68
**Total Credit: $ 2,320**
Interesting, short put was tested on the same day, but I kept the trade open.

https://preview.redd.it/buf9an2ox6rh1.png?width=714&format=png&auto=webp&s=1eecbdda806ffda5f00b83713bbf82b7c11e2a23
# On 30th morning
The stock touched both strikes a few times within T-5 to T but held it through to see what happens.
29th Apr Earnings announcement was positive, with a 5.13% surprise. Doesn't matter. It opened 3.3% lower than previous close at 410! Short put ITM by $5!

https://preview.redd.it/vvj6x86rx6rh1.png?width=789&format=png&auto=webp&s=7b2e21cadf678dbcac8b93088ed9086107bc20d7
**What did my position look like?**
1st May Friday, **ATM IV 27% (less from open!)**
1 Short Call at 425. Debit: 0.27
1 Short Put at 415. Debit: 11.66 (IV crush + Put breach = nearly the same price)
Profit on Close: 2320 - 1195 = **$ 1,127**
# Learning from MSFT and future research vectors
The put could have easily gone by another -3%, and made no money. If that had happened, I would have closed the trade at breakeven and just purchased MSFT!
Waiting a day after seems to be something I want to research. T+1 and T+2 till the contract expiry has recoveries, but the problem is rising gamma as another drastic change can completely kill the position, e.g., look at MSFT earnings on 29th Jul and AMD May earning event.
Historic Realized Move vs Historic IV for the Friday contract from T-15 onwards is something I am looking into for each event. Market dynamics, regimes, hype etc. has a huge impact on earnings. Some platforms give that answer, but its not in a way I can use it easily in my trade setup.
Of course it doesn't work all the time (again, see MSFT Jul and AMD May earnings). This is why analysis, setup and risk management are needed for the trades. I had to move between three different platforms to get the setup.
Decided to make something for myself which is connected to IBKR for recent, and live data. Sharing the work in progress with the community soon.
# Plan for October
I've started building a simple view for myself to track key dates, and historic moves. I am adding in older implied moves, however knowing that past variance and vol data is usually useless - it still gives an idea on how certain tickers and industries behave on earnings.
My personal criteria (130 companies):
* 100B+ Market Cap.
* No ADR tickers. But kept exceptions like ASML, BABA and TSM.
* Removed Class C shares like GOOG
* Removed international listing which have local listings, due to low volume
* Removed TSX Canadian listings due to volume
* Semi-annual reporting companies
Removed
* tickers with low historic moves like foreign oil, pharma, and insurance.
The list will be auto-updated every quarter as companies move in and out of the 100B mark, for example ADBE recently dipped to 98B.
Sharing the dates and historic moves with the community for October. Work in progress to include historic implied move for the Friday contract on the earnings week for each ticker.

https://preview.redd.it/77jumcysx6rh1.png?width=1133&format=png&auto=webp&s=00fa5d708216420c46ffcd12bf08c8de596c1c36
# Selected resources, some are math heavy
[Video: Understanding Realized and Implied](https://www.youtube.com/watch?v=kmAE9ZhQ0jU)
[Risk Premiums and Non-Diversifiable Earnings Announcement Risk](https://www.hbs.edu/faculty/Shared%20Documents/events/14/Barth.Risk_Premiums_and_Non-Diversifiable_Earnings.pdf)
[Earnings announcements and equity options](https://business.columbia.edu/sites/default/files-efs/pubfiles/6051/DJ_2006.pdf)
[Trading Volatility by Colin Bennett](https://www.trading-volatility.com/Trading-Volatility.pdf)
EDIT: According to one paper, LONG straddles performed much better **in some cases**. Direct quote from the paper:
"Furthermore, we find the **positive** **straddle** **returns** are more pronounced for **smaller** **firms**, firms with less analyst coverage, higher past jump frequency, higher kurtosis and more volatile past earnings surprises. This finding suggests that when the firm’s **information environment is less transparent**, or when there is more noise in the firm’s signals, **investors are more likely to underestimate the uncertainty** around earnings announcement days." Source: Gao et al, [https://eng.pbcsf.tsinghua.edu.cn/\_\_local/B/7B/EF/9C90E5DE82928B64858EFBA685C\_E7B3C45C\_4183B.pdf?e=.pdf](https://eng.pbcsf.tsinghua.edu.cn/__local/B/7B/EF/9C90E5DE82928B64858EFBA685C_E7B3C45C_4183B.pdf?e=.pdf)