Waterfall P&L Decomposition & Pricing Accuracy
Earnings Straddle Analyzer
12-quarter straddle performance, fair value comparison and waterfall P&L decomposition — separate IV crush, theta decay and directional move to find the pricing edge.
No account needed to look at it on AAPL. Live market data on every plan, and you can cancel any time.
The screen
What the module
actually shows.
A real capture, not a mockup. Click it to enlarge, then open the same screen live on AAPL.
ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
Free on AAPL, no account. Trial: no charge if you cancel before it ends.
What is Earnings Straddle Analyzer?
Earnings Straddle Analyzer The Earnings Straddle Analyzer decomposes straddle P&L into IV crush, theta decay and directional components, comparing market pricing against forecast and smooth models.
ApexVol Terminal
Options analytics, live.
Chains, IV rank, expected move and dealer positioning for 5,500+ US stocks and ETFs.
- Live chains and Greeks
- IV rank and percentile
- Expected move and GEX
- Screener and strategy P&L
Free on AAPL, no account. Trial: no charge if you cancel before it ends.
Inside the module
Every panel,
and its job.
What the screen opens with, part by part.
Waterfall Decomposition
Break P&L into IV crush, theta and directional components
Fair Value Comparison
Market vs forecast vs smooth straddle pricing
Hit Rate
How often actual moves exceed implied moves
Edge Score
Quantified seller vs buyer edge from historical data
Why it matters
What this buys you
on the desk.
How traders read Earnings Straddle Analyzer when they are looking for an edge worth taking.
Decompose the P&L
The waterfall breaks straddle returns into three components: IV crush, theta decay and directional move. Know exactly what's driving profitability.
Compare Pricing Models
See the actual M1 straddle price vs the model forecast and smooth models. If the market price exceeds the forecast by 50%+, the straddle is likely overpriced.
Track the Edge Score
The edge score quantifies how often actual moves exceed implied. A seller edge above 50 means straddle sellers have historically won more often than not.
How it works
From a ticker
to a decision.
The order the screen expects you to work in.
-
Select ticker
Enter any US stock or ETF
-
Review data
Analyse the key metrics and charts
-
Identify signal
Find the actionable insight
-
Execute
Use the signal to inform your trade
Use cases
When you would
reach for it.
- Earnings Vol Selling
- If edge score favours sellers and the market straddle exceeds forecast by 30%+, sell the straddle for a statistical edge.
- Earnings Vol Buying
- If the straddle is cheap vs forecast and the ticker historically moves more than implied, buy the straddle.
Questions
What people ask
about this screen.
What is the edge score?
A 0-100 score based on historical data. Above 50 favours straddle sellers (actual moves tend to be smaller than implied). Below 50 favours straddle buyers.
How is the waterfall calculated?
Straddle P&L is decomposed into three additive components: the impact from IV crush (vol collapsing post-earnings), theta decay (time value lost), and the directional stock move.
Keep reading
What traders open
next to this.
Read next
Run it, do not just read it
You have read the screen.
Now run it.
Earnings Straddle Analyzer is one pane of the Terminal, and it opens on AAPL without an account. Every plan points the same module at the other 5,500 tickers.
Real market data, not a sandbox. Open Earnings Straddle Analyzer on AAPL.