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I've been very interested in this post-earnings put spread idea since it was posted a while ago. So now that the margin calculation is fixed, I did a more extensive backtest. I screened for the 100 most liquid stocks 3 years ago (to avoid any survivorship bias), and tested the same trade on all 100 of them over a 3 year period. I sold a 50/20 delta put spread 2 days after earnings and closed 29 days after, using closest 30 DTE (in practice you get something between 30 and 60 DTE). No profit target or stop loss. The results are in the spreadsheet attached, which compares the strategy to buying and holding the same stocks (dividends were not accounted for. The results are really good. I'm tempted to believe there really is a persistent anomaly here, and it's not just a convenient uptrend magnified by options delta). Bear in mind that the average returns at the bottom are 3 year total returns. You'd have to calculate the CAGR to get an apples to apples comparison, and there are multiple ways to approach that, so I left it out. CML Post Earnings put spread backtest.xlsm