Best Stocks for Earnings Straddles: 10 Biggest Moves
Ten names ranked by the earnings move options are pricing, each shown against the average move that ticker has actually delivered.
The Short Answer
An earnings straddle is a bet that the stock moves more than the options already charge for. That makes the implied move useless on its own — a 12% implied move is only expensive or cheap relative to what that specific company has historically done. The comparison is the entire trade.
This screen ranks by implied earnings move and shows the historical average absolute move beside it, so the ratio is visible rather than assumed. A name pricing 12% that typically delivers 6% is a straddle seller's candidate; one pricing 8% that routinely delivers 11% is a buyer's. Both live on this list, and which is which changes every quarter.
ApexVol screens 399 optionable names for this list, requiring a $5+ share price and 1,000+ contracts of average daily option volume before ranking. Ranked by ORATS implied earnings move (a percentage of share price, not dollars), shown against absAvgErnMv, the historical average absolute earnings move for the same name. Requires $5+ share price and 1,000+ contracts average daily option volume.
Options price a 24.9% earnings move against a 21.8% historical average — a ratio of 1.1x. IV rank 39.
Options price a 19.0% earnings move against a 19.8% historical average — a ratio of 1.0x. IV rank 63.
Options price a 18.6% earnings move against a 12.8% historical average — a ratio of 1.5x. IV rank 40.
Options price a 18.2% earnings move against a 18.0% historical average — a ratio of 1.0x. IV rank 83.
Options price a 18.1% earnings move against a 17.6% historical average — a ratio of 1.0x. IV rank 84.
Options price a 18.1% earnings move against a 11.2% historical average — a ratio of 1.6x. IV rank 74.
Options price a 18.0% earnings move against a 18.7% historical average — a ratio of 1.0x. IV rank 77.
Options price a 17.8% earnings move against a 5.8% historical average — a ratio of 3.1x. IV rank 92.
Options price a 16.9% earnings move against a 8.4% historical average — a ratio of 2.0x. IV rank 91.
How We Ranked These Strategies
Ranked by ORATS implied earnings move (a percentage of share price, not dollars), shown against absAvgErnMv, the historical average absolute earnings move for the same name. Requires $5+ share price and 1,000+ contracts average daily option volume.
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Frequently Asked Questions
How do I know if an earnings straddle is too expensive?
Compare the implied move with what the stock has actually done on past earnings. If options price 10% and the name has averaged 5% over its recent history, the straddle needs an unusually large reaction just to break even. That ratio is shown for every row on this list.
What is IV crush and why does it matter here?
Implied volatility inflates ahead of earnings and collapses the moment the news is out. A long straddle can be right about direction and still lose, because the volatility component of both legs deflates simultaneously. The move has to exceed what was priced, not merely happen.
Should I buy or sell the earnings straddle?
That depends entirely on the implied-versus-historical ratio, and this list contains both cases. Structurally, implied moves tend to be priced slightly above realised ones, which favours sellers on average — but the losses when a seller is wrong are far larger than the wins, so position size decides the outcome.
Is the implied move a percentage or a dollar amount?
A percentage of the share price. ORATS reports implied and historical earnings moves in percentage points, and both figures on this page use that convention directly with no conversion.
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