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I've screened 2,000+ earnings events over 4 quarters.
In 81% of cases, options overpriced the move.
The average implied move was 9.1%.
The actual move? Just 5.5%.
That 3.6pp gap is real money — here's how to capture it.
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CalendarsEdge
51 posts
CalendarsEdge
@CalendarsEdge
Earnings calendar spreads. Avg winner +22% ROI overnight. Daily scans during earnings. Track record: https://t.co/O1zTL6rvVl
Присоединился Aralık 2013
43 Подписки18 Подписчики
@elonmusk dude, just play the game Kenshi, its much more enjoyble in your life, and strugle, fuck your rockets,its harder
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Mostly true. What matters is securing the long-term future of consciousness, both on Earth and other heavenly bodies.
We cannot just focus on Earth, because there are irreducible external (eg massive meteor) and internal (eg global nuclear war) cataclysmic risks.
The Moon is faster to make self-growing, but is more susceptible to problems on Earth. Mars will take longer to make self-growing, because it is so hard to reach, but is more secure from Earth disasters for that same reason.
Both the Moon and Mars should have self-growing civilizations. Making this happen is the prime directive of SpaceX.
Jaynit@jaynitx
Former SpaceX astronaut Garrett Reisman reveals the single prism Elon Musk runs every major decision through "He measures pretty much every major decision by whether or not it brings the day when we have a self-sustainable colony on Mars sooner or later" "That's the prism by which he makes every single decision he makes" "He's got an idea and he'll keep pushing, and he gives us aggressive timelines that we have to work to" "We work really hard to try to meet them. It's hard when you're doing stuff that's this complicated to predict exactly how long it's going to take" "We end up falling a little bit behind, but we do our best"
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$HPQ calendar spread: +40% overnight. +$1,200.
Entry: $1.00 (2/22 DTE)
Exit: $1.40
30 contracts, B-grade
Vol diff was 91pp. 2 DTE short leg. 26k option volume. Clean in, clean out.
Season hits positive territory for the first time since trade #5. Was down -$1,913 at the low.
19 trades: 10W/8L/1F, +$244.
Drawdowns are temporary. The system works if you survive them.
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$ORA: -11% (-$315) B-grade
$SGI: +11% (+$680) A-grade
Net: +$365. Position sizing doing its job.
SGI was the top candidate — 37% IV crush, IV rank 100%, edge +5.2%. First half closed at $4.25, stock moved lower, second half at $4.00.
A-grade win (+$680) > B-grade loss (-$315). That's the system.
Season: 9W/8L/1F, -$956
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Tough day. 3 losses, 1 win.
$SWKS: -30% (-$900). Stock gapped -12%. Edge was there but the move was beyond implied.
$LOGI: -6% (-$180). Stock -4%. Small, controlled loss.
$TRMB: -23% (-$720). Model said breakeven but couldn't get filled. Low liquidity trap.
$NVO: +25% (+$780). Stock +3%, 107k option volume. Clean exit.
Lesson: liquidity is a filter, not a nice-to-have. TRMB had 384 volume. NVO had 107,000.
Season: 8W/7L/1F, -$1,321
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Three calendar spreads, three winners.
$BMRN: +9.2% (+$544) — A-grade
$RVTY: +22.0% (+$648) — B-grade
$CCJ: +13.0% (+$420) — B-grade
Combined: +$1,612 in one day.
Season clawing back from the drawdown. Was -$1,913, now -$301.
12 trades, 7 wins, 4 losses, 1 flat. 64% win rate. The system works — you just have to survive the losing streaks.
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Two trades, two B-grades, two completely different outcomes.
$SIMO: -52.4%
Stock jumped +33% on earnings. Calendar lost $1,455.
On straddles this would've been catastrophic. On a calendar — painful but capped. -0.5% portfolio impact.
$CTSH: +5.6%
Stock dropped -2%. Small win, +$170.
17 DTE back leg and low liquidity limited the upside.
This is exactly why I switched from straddles to calendars. You survive the blowup moves.
Season: 4W/4L/1F, -$1,913
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$GLW calendar spread: -10.2%. A-grade setup.
Entry: $8.04
Exit: $7.22
P&L: -$574
This was one of my top candidates — edge +6.3%, crush 21%, weeklies. But GLW gapped -10% at open, recovered to -5%.
A-grade doesn't mean guaranteed win. It means best risk/reward. Loss was -10% on the position, -0.2% on portfolio.
That's why sizing matters.
Season: 3W/3L/1F, -$628
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$SAP calendar spread: breakeven. First A-grade of the season.
Entry: $3.40 (8/22 DTE)
Exit: $3.40
Margin: $6,120
Setup was textbook — edge +4.1%, crush 26%, vol diff 25pp. But stock gapped +7%.
The 8 DTE back leg saved me. Enough time value left to exit flat instead of taking a loss.
Longer DTE = less upside, more protection. Trade-off worked.
Season: 3W/2L/1F, -$54
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$CSX calendar spread: -21.3%.
Entry: $1.08
Exit: $0.85
P&L: -$322
Passed almost every filter — edge, crush, vol differential all looked great.
Bigger lesson: paid $1.08 when model said $0.95. Overpaid 14% on entry. New rule — if I can't get filled between mid and model price, I skip.
Season: 3W/2L, -$54. All C-grade.
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$BSX calendar spread: +25.1% overnight.
Entry: $1.83
Exit: $2.29
P&L: +$368
Stock gapped +7% on earnings — normally kills a calendar. But the vol differential was 48pp (98% vs 50%). Front leg got crushed, back leg held.
Closed at open. Didn't get greedy.
Season: 3W/1L, +$268. All C-grade so far.
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$TSCO calendar spread: -62.5%. Here's the breakdown.
Entry: $1.12
Exit: $0.42
P&L: -$910
C-grade setup — IV crush and term structure looked fine, but the edge between implied and historical move was thin. Basically a mid-cap stock with large-cap level overpricing. Not enough cushion.
Stock gapped -5% and kept falling. Too far from strike.
Lesson: short DTE can't save a trade with thin edge. Need 3.5pp+ gap to justify entry.
Season: 2W/1L, -$100
Posting the losses too. That's the deal.
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$PNC calendar spread: +15.6% overnight.
Entry: $6.75
Exit: $7.80
P&L: +$210 (C-grade, 2 contracts)
This was a C-grade setup — narrow implied vs historical gap, low IV crush. Minimal sizing.
But the near leg had only 3 DTE. Short-dated theta decay did the work even without a big crush.
Season: 2/2, +$810 (both C-grade — bigger setups ahead)
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First live trade of earnings season.
$JNJ calendar spread:
Entry: $2.90
Exit: $4.10
ROI: +41.4% overnight
IV crush was only 13% — but the near leg had just 4 days to expiry. Fast theta decay did the heavy lifting.
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@BeyondOption Calendar spreads let you do both at the same time — sell the expensive near-term IV and buy the cheaper far-term. Best of both worlds around earnings. You're short the crush and long the time value.
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When to BUY options:
→ You expect a big move (earnings, FOMC, macro event)
→ IV is low (options are cheap)
→ You want defined risk
When to SELL options:
→ You expect the stock to stay range-bound
→ IV is elevated (options are expensive)
→ You want to collect premium over time
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Calendar spreads work especially well around earnings — not just seasonality. The near-term IV gets inflated before the report while the far-term stays relatively stable. After earnings, the near leg gets crushed and the spread widens. In my dataset it's overpriced 81% of the time. Very consistent edge.
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8. Seasonality Trading
Identifies recurring market patterns based on time factors (year, month, week, etc.). For example, the Calendar Spread Strategy exploits seasonal trends by taking positions in futures contracts or options with different expiration dates.
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Top 10 Algorithmic Trading Strategies (and how they work) 🧵
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Interesting that #3 is 'never traded earnings' — I took the opposite path. 141 earnings trades over 4 quarters. The trick is not buying options into earnings (that's where IV crush kills you). It's selling the overpriced IV through calendar spreads. Defined risk, avg winner +22% overnight. Different approach, same discipline.
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Top 10 things that made me $200K last year:
1. Sold puts every single red day
2. Closed every trade at 50% profit
3. Never traded earnings
4. Kept 30% cash at all times
5. Only used 3 core tickers
6. Checked IV before every trade
7. Followed green EMA clouds only
8. Funded LEAPs with house money
9. Scaled position sizes slowly
10. Never broke a single rule
Rules aren't restrictions.
They're the reason I win.
Comment "WIN" to learn how to get all my trades daily.
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(5/5) The real lesson from 141 trades:
The edge was always there — earnings IV IS overpriced.
The question was never IF you can profit from it. It was HOW to capture it without blowing up.
Straddles found the edge. Condors tried to contain it. Calendars solved it.
Full data on every trade: calendarsedge.com
#options #earnings #calendarspread #thetagang
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(4/5) Act 3: Calendar spreads (Q4 2025)
23 trades. +$5,145. Profit factor 1.44.
The key shift: max loss = debit paid. Period. No gap risk surprises.
Avg winner: +22% on margin
Avg loser: -15%
Winners are bigger than losers. You only need 41% win rate to break even. I'm running at 52%.
This is the strategy I trade today.
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(1/5) I blew up my best strategy and had to rebuild from scratch.
141 earnings trades. 3 different strategies. 4 quarters.
Here's what I learned — and why calendar spreads ended up being the answer.
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