WHICH EARNINGS STRADDLES TO SELL? A MACHINE LEARNING APPROACH
Options trading strategies in volatility and options over 1996–2024, studied by Loya in 2026 with tree ensembles. The abstract mentions a Sharpe ratio, alpha, profits, an out-of-sample test and transaction costs but not a benchmark, multiple testing or the size of the universe.
“Sorting events into quintiles, the top quintile (sell) earns 8.88% per event (𝑡 = 11.03) versus 0.66% for the bottom quintile (avoid), producing a spread of 8.21% (𝑡 = 7.45) with a four-factor alpha of 9.45% (𝑡 = 8.15).”
AssetVolatility and optionsoptions, single stocks
StrategyOptions strategiesevent-driven strategies
TechniqueTree ensemble
Sample window1996–2024
Also stated: Sharpe ratio, Alpha, Profit, Fundamentals, Options-implied, out-of-sample test, costs
Missing from abstract: benchmark, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodOptions trading strategies by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Call Calendar Spread on Overnight Option Strategy by Tang et al. | 2026 | ||||
| Volatility Disagreement in the Options Market by Bali et al. | 2026 | ||||
| Profitability of Delta-Neutral Option Strategies on Nifty 50 and Constituent Stocks: Evidence from 2019-2024 by Pillai | 2026 | ||||
| Engineering the Mean-Reversion Delay in Dispersion Trading: A Market-Implied Finite-Dimensional Proxy for High-Dimensional Correlation Manifolds by WANG | 2026 | ||||
| Volatility Arbitrage via Dispersion Trading & Implied Correlation in Indian Equity Index Options by Nunes | 2026 |