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What's new: exit rules on the Daily Screener, and a look at the volatility term structure Two features shipped this week. They came out of the same complaint, which was mostly my own: the screener was very good at telling me when to get in and said almost nothing about when to get out, or about what volatility was doing while I waited. 1. The Daily Screener now understands exit rules Until now the screener answered exactly one question: if I enter on this date and hold to T-0, what did that return across the last N earnings cycles? That's a real question. It's also a strangely rigid one. It assumes you sit through the entire pre-earnings window no matter what the position does — that a trade up 30% at T-7 and a trade up half a percent at T-7 are the same trade, because you're holding both to the same day. Anyone who actually runs these knows that isn't how it goes. You take the money when it's there. So there's now an Exit rule control, and it's the first thing in the filter row. Hold to T-0 is the screener you already know. Take profit at +10% re-scores the whole board against a different plan: leave the moment the position is up 10%, and only hold to T-0 in the cycles where it never gets there. Every number on the page then answers the new question instead of the old one. That's the whole feature. What a cell tells you now With a target selected, each cell leads with how many past cycles reached it — one small block per cycle, filled where it hit — and the median return of that rule underneath. The block strip matters more than it looks, because it carries the sample size as well as the hit count, and the number of qualifying cycles isn't the same for every symbol. A newer listing might only have two or three on file. 2 of 2 and 8 of 8 are both perfect scores; only one of them is evidence, and now you can tell which without opening anything. Grey cells are their own answer: no cycle ever reached the target, so every cycle fell back to holding and the figure shown is just the hold-to-T-0 return. Not a target result at all. The example that convinced me This is COST, real board, last N cycles. Held to T-0, the 90-delta long call is a bloodbath across the first three entry days: −21.9%, −29.4%, −27.2%. On the old screener you'd skip it without a second thought, and you'd be right to. Switch the exit rule to +10% and the same three entry days read 6 of 8, 5 of 8, 3 of 8. The trade gets there. It just doesn't stay there. Held to the end it hands everything back and then some; taken at +10% it worked in six of the last eight cycles from that entry day. Click any cell for the receipts (Full details shows up on the right pane) [Subscribe to see more details] 2. Volatility term structure, through the pre-earnings window The second feature answers a different complaint: IV is up — is that my earnings, or is that the macro calendar? The volatility chart now plots the term structure across the run-up: the 7, 30, 60 and 90-day tenors together, plus the front and second expiry IV, from T-30 through to earnings. Seeing the tenors on one axis is the point. A front expiry pulling away from the back of the curve is the earnings premium building, and you can watch it happen day by day instead of inferring it from a single number. Flat separation means the premium isn't there yet. Macro events are marked on the same timeline — FOMC, CPI, PPI, PCE, jobs, GDP — which is what stops you misreading the chart. IV rising into your entry doesn't automatically mean the earnings premium is inflating; sometimes there's a CPI print sitting inside your holding window doing it instead. Those are two different trades and they deserve two different decisions. Where to find all this The profit-target view is now the default Daily Screener. Nothing is hidden — set the exit rule to Hold to T-0 and you have exactly the board you had last week, and the Classical View button next to the filters takes you back to the old layout entirely. There's also a Help button on the screener now that opens a full walkthrough in the side panel: how to read a cell, what the colors mean, and the win-rate-versus-hit-rate distinction above. Worth five minutes before you rely on the numbers. How I use it now Spread filter to the tightest bucket first — liquidity before edge, as always. Exit rule to +10%, Hit rate % to 60% or more. Scan for strong cells in the early columns. An entry day well before earnings gives the target room to get there. Open the cell and read the cycle list before committing to anything. If the hit rate rests on two cycles, I haven't found anything yet. As always: if there's a number you wish the screener showed, send me a message. That's how both of these got built. SO members on the ALL bundle: full core access to EarningsStudy is free through the partnership — just sign in at earningsstudy.com with your SO email. Everything above is historical and educational analysis, not a trade recommendation or financial advice. Options trading involves substantial risk. Historical figures are derived from end-of-day data and will differ from intraday markets and from your actual fills.
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😂 Dave has broken nothing. Dave has found things — which is worse, because then I have to fix them. Three in one week. At this rate I'm putting him on the payroll or blocking his account, I haven't decided! Now I'm back, come on Dave, still waiting for your questions ...2 points
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Two things from my side this weekend. A guide. I've written the document I wish every options tool came with: Reading OptionBench — 26 pages, one screen at a time, on what each number means, how it was computed, and where it stops being reliable. The two return conventions (observed exit vs target), why thin samples are greyed, how to read the entry × exit matrix, why a credit spread shows an expectation near zero at implied vol. Free, no account needed: https://optionbench.com/guide An article. When implied volatility hits its floor, does it come back up? — 6,600 episodes, 122 tickers, earnings controlled. The folklore is right: from a floor, IV rises within ten sessions 74% of the time against 57% from anywhere else, and the lower the start, the stronger the bounce. It also says why that isn't a strategy yet: https://optionbench.com/blog/implied-volatility-floor-mean-reversion The follow-up comes next: I tested the structures that are supposed to capture that rise — single leg, straddle, calendar, diagonal — one configuration each, declared before looking at the data, priced at the ask in and the bid out. The result isn't what the folklore says. It'll be published whichever way it reads. Questions and objections welcome, as always.1 point
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What happened was the front leg's closing quote: it blew out to $4.70 wide — and dragged the computed mid far enough to nearly double the measured debit, and with it the relative volatility reading: 0.55% became 1.00%. Two trading days later, on Monday, August 10, the close showed the other way a late snapshot drifts. RV always measures whichever strike is at-the-money at the moment of the snapshot — that's by design. In the final minutes the stock moved about half a point, so the closing snapshot's ATM landed one strike higher (275 instead of 270), where the calendar is structurally smaller. Fine so far. But then the closing quotes — more than $4 wide on the front leg — squeezed that calendar's measured value to $0.10, when the pre-close market had priced the same 275 calendar at $0.40. Stack the two effects and the close printed an RV of 0.10% against the pre-close reading of 0.50%. A jumpier anchor, measured through sleepier quotes. None of these numbers was a bug — we reproduced all four from the raw quote records before publishing this. They are what the two snapshots honestly reported. The difference, in every case, was fourteen minutes. Notice what the two distortions have in common besides their timestamp: one direction each way. The close didn't lean bullish or bearish on volatility — once too high, once effectively zero. And the Monday case generalizes: across the symbols we have re-verified so far, on about 1 in 18 entry days (5.6%) the closing snapshot anchored to a different at-the-money strike than the pre-close market did. Once you understand why the final minutes can do that, you understand something important about every backtest, every screener, and every "is this expensive?" judgment you have ever made from end-of-day options data. Note: This feature of “4pm compare” retires from the app after a couple of months. What actually happens at 4:00pm Most of us grew up treating the closing price as the official price — the number the newspaper printed, the mark your broker settles to. For stocks, that is roughly fair: the closing auction concentrates enormous volume into a single, hard-to-manipulate print. Options are different. An option's "price" on an end-of-day file is usually the midpoint between the last bid and the last ask — and the final minutes of the session are precisely when that midpoint is least trustworthy. Market makers carry every open position overnight, through whatever news lands after the bell, so as the close approaches they protect themselves the only way they can: they widen. Quotes that sat a few cents apart at 2pm can be several times wider at 3:59. Attention shifts to the closing auction in the underlying shares. Some quotes go stale; a few cross or collapse to nonsense for a moment. The market is not wrong at 4:00pm — it is simply half-asleep, with one eye on the exit. Measure a relative-volatility ratio, a spread-cost figure, or a backtest fill from that half-asleep market and the noise flows straight into your numbers — twice over. The wide quotes wobble every mid. And because "at the money" is defined by where the underlying sits at the snapshot, a late drift can hand the measurement a different anchor strike — correct by definition, but jumpier in the noisiest minutes of the day. Most of the time the distortion is modest. Sometimes — as our ADBE chart shows — it is enormous. And you cannot tell which kind of day you are looking at from the number alone. This is not a novel observation; it is why professional options-data vendors have long sampled the market before the close rather than at it. The industry's quiet consensus is that a quote captured while market makers are still competing beats a quote captured while they are packing up. When the close lies most: look at the calendar Now look at when our two ADBE distortions happened, because the timing is not random. The August 6 spike was the Thursday close immediately before Friday morning's jobs report. The August 10 crater sat at the Monday close heading into CPI week. Both distortions landed at closes adjacent to major macro releases — which is precisely when you would expect the final minutes to be at their worst. A market maker going home flat-footed into a jobs number or a CPI print has every incentive to quote defensively into that bell; the overnight risk they are pricing is at its maximum. The quotes are widest, the mids wobbliest, exactly on the evenings when an earnings trader most needs a trustworthy reading — because those are also the evenings you are deciding whether tomorrow's setup is cheap. This is why the RV charts draw the macro calendar directly onto the time axis — the JOBS, CPI, PPI, FOMC and PCE flags you see running along the top of every chart. A strange-looking reading next to a macro flag has a candidate explanation you can see at a glance; a strange reading in the middle of a quiet week deserves more suspicion. The pre-close snapshot removes most of the distortion. The macro overlay tells you where to be careful about what remains. The two features were built separately, but they answer the same question from two sides: can I trust this number, tonight? Why this matters more for earnings traders than anyone else Earnings trades live and die on small edges measured over short windows. When we ask "is this straddle cheap against its own history?", we are comparing today's price to a median built from dozens of past snapshots. If a meaningful fraction of those snapshots were taken from a distorted market, the median itself is polluted — and a setup can look cheap or rich for no reason except closing-quote noise on a handful of historical days. It also matters at the moment of action. Members who use the Daily Screener know the workflow: the screener surfaces the day's candidates, you pick your structure, and then you have to actually get filled. Under 4:00pm data, there was always an honest gap between the reference price on the screen and the market you would meet the next morning — the printed mid sat inside a spread you knew had been artificially wide. In practice, many of us (myself included) compensated by scaling in: several limit orders at different prices, using the fills themselves to discover where the real market was. That works, but it is a workaround — you are burning patience and partial fills to rediscover information that a better measurement would have given you upfront. A snapshot taken fourteen minutes earlier, while the quote competition is still alive, closes much of that gap. The reference mid is nearer to a price someone would actually trade with you. Spread-cost readings reflect the market you can participate in rather than the market's closing yawn. And the historical medians your judgment leans on are built from cleaner raw material, cycle after cycle. To be precise about what this does not do: it does not make any strategy win more often, and it does not turn a mediocre setup into a good one. It makes the measurements honest. What you do with honest measurements is still up to you. What we changed, and how you can audit it Starting this cycle, EarningsStudy computes relative volatility from a 3:46pm pre-close snapshot instead of the 4:00pm close. The migration is deliberately gradual — current-cycle symbols with earnings in the next 30 days first, earlier years following after verification — because when you change the ruler, you re-measure everything carefully before you trust it. And rather than swapping numbers quietly, we built the audit into the product. On the Calendar and Straddle pages you will find a 4:00pm compare checkbox: solid lines show the new pre-close data, dashed lines show the legacy close-based data for the same symbol, strategy, and cycle. On most names, most days, the two hug each other — reassurance that the history you have been using was broadly sound. And then there are days like ADBE's August 6 and August 10, where the dashed line spikes to a peak, then falls off a cliff, that the pre-close market never showed. Every one of those divergences is a day the old ruler would have misled you — and every one is now inspectable, down to the raw quotes, because we keep both snapshots until the verification is done. One honest caveat while the migration runs: until the historical backfill completes, some today-versus-history comparisons mix a 3:46pm present with a 4:00pm past. The differences are usually small, but they are not zero — which is exactly why the compare view exists and the legacy snapshot is preserved until every cycle is re-verified. If you find a divergence that looks strange, the Ask button inside the app sends it straight to me with the page attached; several members' reports have already sharpened the verification. The part I care most about This upgrade exists because a member insisted on it. @Bhavan1986 made the case that the closing snapshot wasn't good enough — and he was right. When I brought it to the contributors, @Kim, @Yowster and @TrustyJules backed it without hesitation. The better data roughly doubles what we pay for market data, and we are absorbing that rather than passing it on: nothing changes about any member's current rate. That is what the SteadyOptions–EarningsStudy partnership is for — the tools this community trades with should keep getting more honest, not just bigger. It sits in a line with the spread-cost column, the confirmed-date badge, and the per-cycle detail behind every median: the platform's job is to show you numbers you could actually have acted on, not numbers that flatter a backtest. Measuring the market while it is still awake is one more step in that direction. SO members on the All-services bundle: full core access to EarningsStudy is free through the partnership — sign up at earningsstudy.com with your SteadyOptions email. The rest can subscribe at an incredible introductory price of $39.99. EarningsStudy provides educational research and market information only — not investment, financial, or trading advice. Options trading involves substantial risk. Backtests and calculations may contain errors and should be independently verified.1 point -
Added: unconfirmed earnings dates are now marked on the tile. Following a point raised here yesterday — a setup indexed on an announcement date the company has not yet confirmed now carries a marker, both on the Opportunity Map and in the scanner rows. LEVI is the current example. Its 30 September date is not confirmed, so the T-15 entry day the setup is indexed on can still move, and every T-x with it. The flag itself is not new — it comes from the data feed leaving the report-time field empty, which is what an unconfirmed date looks like there. What was missing was surfacing it where a setup is actually read. That is fixed. Two things worth saying about why this matters beyond the display. If a date moves by several days, every entry and exit day on that cycle points at the wrong event. That is the obvious half. The less obvious half: a backtest that enters at T-15 uses the announcement date we know now. If that date was only confirmed at T-9, the trader standing at T-15 did not have it. Every pre-earnings backtest that indexes on the final known date carries that, mine included. Marking the live case is straightforward; measuring the historical version needs a source that archives when each past date became confirmed, which I do not have.
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New in OptionBench: the entry × exit matrix Pre-earnings scanners tell you what a setup returned. They rarely tell you when the return was there. I've added a matrix to the pre-earnings detail view — entry day down the side, exit day across the top. Each cell shows how often the target was actually reached between those two days, with the colour carrying the median return at the exit. The two numbers diverge more than I expected. On a CVS strangle entered at T-15 and held to T-8, 92% of cycles touched +10% on the way and 67% still held a gain at the exit. On AAPL entered T-15 and held to T-3, it's 75% against 25% — three cycles out of four offered the gain, one in four kept it. That gap is the argument for a take-profit, and I hadn't seen it stated in one figure anywhere. It reverses on a Calendar Put: 46% still in profit at the exit against 25% that touched +20%. A short-vol position drifts up on theta rather than spiking, so it rarely overshoots. The reversal is what tells you the gap belongs to the structure rather than to the arithmetic — checked on AAPL, AMD, NVDA, MU and CRWD. Cells built on fewer than 8 cycles are greyed with the count in superscript. On seven cycles a percentage can only take eight values, and one cycle moves it by 14 points. It's live now on the pre-earnings scanner, https://app.optionbench.com/dashboard/pre-earnings-scanner, pre-events tomorrow. Happy to hear where it's wrong.
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@Bekim's AVGO calendar — shared with his permission A member messaged me before market close today after closing out an AVGO calendar. Sharing it with his blessing (email address redacted): Scaling out in thirds at +10%, +15% and +20% — that's the part I'd highlight, more than the ticker. He didn't swing for the best cell on the board; he set staged exits and let the position pay him on the way through. Exit discipline like that is what makes a good setup a good trade. For anyone who wants to study the same setup after the fact, here's what the calendar matrix showed for AVGO in that entry window: Below is the Entry today row from return matrix. And the standard honesty note, because one message doesn't change the math: a well-executed winner doesn't validate a strategy any more than one loser invalidates it. The losing cycles are still right there in the cell popup, and the next person opening this trade should size for them. What history gives you is a fair price for the bet — the discipline in how you enter, size, and exit is what this member supplied himself. @Bekim found AVGO RV line is historically low this cycle & entered the trade. He is pretty new user to EarningsStudy, he is still learning how to use various options strategies. And EarningsStudy has plenty of back tested strategies. If you've run your own setup through the app — win or lose — We from SteadyOptions team would love to see it because the losses teach the thread as much as the wins do. NOTE: I entered AVGO a little earlier than Bekim did, and a run of bad news knocked the stock from ~420 down to ~360 in the span of three days. It's a good reminder for the calendar strategy: even a 100% win rate in past cycles doesn't guarantee the next one. But with proper positioning and re-centering, the P/L can still be managed — that's the part that comes with experience. SO members on the ALL bundle: full core access to EarningsStudy is free through the partnership — sign in at earningsstudy.com with your SO email. Historical/educational analysis, not financial advice or a trade recommendation. Options trading involves substantial risk.
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Hi Kim Can you please explain how this calendar week comparison table works and how the selection of the eg put strike distance in the graph is selected. Would according to the calendar week comparison in this case a call calendar 1 w be even better? Great site overall and so much to discover. Thank you.
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He's probably in need of a break from all my questions 😉1 point
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Enjoy your time away will try not to break anything while you are gone1 point
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When two engines disagree, and why that's the reassuring case A worked example from today's scan — not a trade suggestion, a look at how the pieces fit together. The ETF engine surfaced a QQQ bull call spread, 765/775, November expiry, $2.86 debit. It reads 82% probability of profit, $0.43 expected P&L, 15% expected return on capital at risk. The interesting part is what happens next. Push the same position into Trade Doctor and the numbers change: 76% POP, +$0.20 expected. Lower on both counts. That looks like two tools contradicting each other. It isn't, and the difference is the whole point. The engine simulates at realised volatility. It asks what happens if the underlying behaves the way it has actually been behaving. Trade Doctor reprices live at implied volatility — what the market is charging for that risk today. Implied normally sits above realised; that gap is the volatility risk premium, and it's why the second reading is the more conservative of the two. So a lower POP in Trade Doctor is expected. What you're checking is not whether the numbers match — they shouldn't — but whether the position survives the harsher assumption. Here it does: expected P&L stays positive at implied vol, 7% of capital at risk. On a debit position that isn't automatic. Plenty of setups screen well on the engine and collapse to zero expectancy once you price them at implied. Two other things the cross-check surfaces that the card alone doesn't. Both legs quote inside a 2% bid/ask spread, so friction won't eat the edge — on a $2.86 debit that matters. And the validation checklist flags five macro prints inside the trade window, including Core PCE at T-9. Everything else runs green; that one doesn't. What I'd take from it. The engine tells you a structure looks good. Trade Doctor tells you whether it still looks good when the market's own pricing is the assumption. Agreement between them isn't confirmation that a trade will work — nothing is — but disagreement in the wrong direction is a reason to stop, and that's worth thirty seconds before committing capital. For the record, this one is a directional bull bet: break-even at 767.86 with QQQ at 711. Both tools are part of OptionBench — the scanners surface the structures, Trade Doctor is the execution check you run before committing. Free 7-day trial if you want to run this cross-check on your own tickers: optionbench.com
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The right principle, and one the scanner tries to enforce rather than leave to memory. Every pre-earnings row carries a confirmation flag: when the provider hasn't marked the report time as confirmed by the company, the card shows an amber "unconfirmed" chip rather than presenting the date as settled. M has been flagged that way throughout. Straight about the current state though: the card still shows September 2. Macy's put out the September 10 confirmation an hour ago and my calendar feed refreshes each morning, so the corrected date lands tomorrow at the earliest. The chip says don't trust this date, which is right, but the date itself is stale until the provider catches up. I'm watching how long that takes. Every cycle in the sample knew its date; the live position doesn't. No amount of better data closes that asymmetry, and it belongs in the trader's head rather than in a win rate. On the narrow exceptions — cheap calendars, far-dated diagonals — those cards now show the executable debit next to the mid and the spread on each leg, after Yowster flagged the gap. If someone's taking date risk deliberately for cheap relative value, they should at least see what the fill really costs first.1 point
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