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.
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.
Why This Matters for Your Trading
How professional options traders use Earnings Straddle Analyzer to find edge.
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 ORATS 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.
See It in Action
Waterfall decomposition separating IV crush, theta and directional P&L
12-quarter straddle performance: actual move vs straddle cost
Key Features
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
How It Works
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
If edge score favours sellers and the market straddle exceeds forecast by 30%+, sell the straddle for a statistical edge.
If the straddle is cheap vs forecast and the ticker historically moves more than implied, buy the straddle.
Frequently Asked Questions
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.
Related Features
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