Straddle screener for earnings and big moves

Supported filters

Earnings

Require an earnings report within N days, such as 14, to build an earnings straddle list, or exclude reports before expiration to find straddles that depend on some other catalyst.

Loss range (ATRs) (x)

The distance between the lower and upper breakeven in daily ATRs, with no scaling for time. The Long Straddles Into Earnings preset caps it at 5, so the stock needs to cover about two and a half typical days of movement in one direction to reach a breakeven.

Breakeven distance (ATRs) (x)

Distance to the nearer breakeven in daily ATRs. For a straddle struck at the money both breakevens are about the same distance away, so this is roughly half the loss range.

Distance to breakeven (%)

The same breakeven distance as a percent of the stock price. Compare it with the stock's past earnings moves: if it usually moves 8% on a report and the breakeven is 5% away, the straddle is cheap by that yardstick.

Max loss ($)

The debit for the pair, per straddle. A cap such as $2,500 keeps high-priced stocks from dominating the list and sizes each result to your account.

Return at +1 ATR move (%)

Return on the debit if the stock rises one expected move by expiration, where an expected move is daily ATR times the square root of days to expiration. A positive value means an ordinary move up already pays.

Return at -1 ATR move (%)

The same on a one-expected-move decline. For a straddle struck near the money the two figures are close; a large gap between them means the strike sits away from the stock.

Probability of profit (%)

Model-estimated probability the stock finishes outside the breakevens. Straddles are usually below 50%, which is normal for a trade that pays large when it works.

IV rank

Where implied volatility sits in its one-year range. Rank is often high before earnings; a straddle bought at a high rank needs a bigger move to overcome the volatility drop that usually follows the report.

Days to expiration (days)

Days to expiration. Shorter straddles are cheaper and isolate the event; longer ones leave time for a delayed move but cost more time value.

Stock price ($)

A minimum share price such as $20 avoids low-priced stocks where the strikes are coarse and one strike step is a large percent of the price.

Total option volume

Total option volume across the chain. Stocks heading into earnings often trade heavily, which is when tight markets on both legs matter most.

Bid-ask spread ($) ($)

The wider of the two legs' bid-ask spreads, in dollars. You pay the spread on both options going in and again coming out.

Screening walkthrough

1. 1. Pick the event window

   Require earnings within 14 days and set days to expiration so the options expire after the report; a minimum a few days above your earnings window is the simplest way to make sure of it. Then open the results and confirm the report date against each expiration, because the earnings filter looks forward from today, not from the option's expiration.

2. 2. Judge the price against how the stock moves

   Add loss range in ATRs with a maximum of 5, as the Long Straddles Into Earnings preset does, and sort ascending. The top of the list is the straddles that are cheapest relative to the stock's normal daily range. Add breakeven distance in percent as a column and compare it with the size of the stock's recent earnings reactions, which you can look up before the scan.

3. 3. Check what an ordinary move pays

   Add the return at plus and minus one ATR move columns. These show the result at expiration if the stock moves one expected move, daily ATR times the square root of days to expiration, in either direction. If both are negative, the straddle needs an unusually large move to pay off at expiration.

4. 4. Cap the cost and the markets

   Set max loss to the most you would pay for one straddle, such as $2,500, a stock price floor of $20, total option volume of 5,000 or more, and a bid-ask spread of $0.50 or less. Then switch to conservative pricing, which buys both legs at the ask, to see the debit you would actually pay.

Limitations and risks

• Every metric is calculated at expiration. Most earnings straddles are closed the day after the report, when the drop in implied volatility can erase much of a gain that the expiration math would show.
• Earnings dates can be estimates until the company confirms them, and the within-N-days filter does not check that the report lands before expiration. Confirm both before trading.
• Probability of profit is a model estimate derived from option prices using a lognormal model with the stock's at-the-money implied volatility. It does not model an earnings gap explicitly.
• The ATR filters use the stock's daily average true range without scaling for time. The one- and two-ATR scenario returns do scale by the square root of days to expiration.
• The screener builds straddles at strikes close to the stock price. Quotes are refreshed intraday and are a snapshot, not a live feed. The screener does not place orders or send alerts.

Frequently asked questions

How do I find straddles before earnings?

Set the earnings filter to require a report within the next 14 days, set days to expiration so the options expire after the report, and sort by loss range in ATRs ascending. The Long Straddles Into Earnings preset does this with a $2,500 max loss cap and liquidity filters.

Does the straddle price tell me the expected earnings move?

Roughly. The debit as a percent of the stock price approximates the move the options market is pricing in by expiration. It includes time value unrelated to the report, so it slightly overstates the event move for longer expirations.

Why can a straddle lose money even when the stock moves?

At expiration it needs a move larger than the debit to profit. Before expiration, falling implied volatility after an event lowers the value of both options, so a moderate move can still leave the pair worth less than you paid.

Straddle or strangle?

A straddle buys both options at one strike, costs more, and starts paying with a smaller move. A strangle buys an out-of-the-money call and put, costs less, and needs a larger move. The long strangle screener covers the cheaper version.

What does loss range in ATRs mean for a straddle?

It is the distance between the two breakevens divided by the stock's daily average true range. A value of 4.6 means the breakevens are 2.3 typical days of movement either side of the strike.

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