Dear Quant X Tribe,
With earnings season coming up, we went back to 17 years of data to see what actually works.
At the same time, Nasdaq is now exploring extended trading hours — potentially moving U.S. equities closer to a near 24-hour market. One thing is becoming clear:
price moves are no longer confined to a neat 9:30–4:00 window.
As access expands globally, timing around major events like earnings matters more than ever. That’s what pushed us to revisit how earnings trades really behave — not in theory, but in data.
Every earnings season, traders ask the same question:
“Up or down?”
And almost every earnings season, they walk away frustrated.
Not because earnings are random —
but because most people focus on direction instead of timing.
So instead of opinions, I went back to the data.
Not one quarter.
Not one market cycle.
Seventeen years of earnings. Over 13,000 trades.
And what came out of the research was surprisingly clear.
Three Earnings Straddle Strategies. Only One Had an Edge.
The study tested three different ways traders commonly use straddles around earnings:
❌ Strategy 1: Buy straddles 30 days before earnings
The idea sounds logical — rising IV should help.
But in reality:
Time decay overwhelms IV expansion
Extrinsic value erodes steadily
No meaningful pre-earnings price movement
Result: negative expectancy.
❌ Strategy 2: Sell straddles near earnings
This one is popular — until it isn’t.
The data showed:
Early assignment risk near expiry
Undefined downside (especially short calls)
Margin calls and forced liquidation during volatile earnings weeks
Result: unviable for capital preservation.
✅ Strategy 3 (the only one that worked):
Buy straddles one day before earnings, sell one day after
That’s it.
No forecasting.
No guessing beats or misses.
No holding for weeks.
Just one narrow window — E-1 to E+1.
We call this the Night Fury Strategy.
Not because it’s aggressive —
but because it’s fast, precise, and only active when the moment matters.
Just like a Night Fury, the power doesn’t show up all the time.
It shows up briefly — and then it’s gone.
The Night Fury Strategy
Here’s the exact structure used in the research:
Buy an at-the-money call and put
→ 1 trading day before earnings (E-1), at market closeSell the straddle
→ 1 trading day after earnings (E+1), at market closeExpiry: nearest weekly expiry after earnings
Capital tied up: ~2 days
No directional bias.
No IV predictions.
You’re positioning for the earnings gap, not the run-up.
The Results (Read This Carefully)
Across 13,120 trades:
CAGR: 108%
Sharpe Ratio: 2.2
Win rate: 41%
Average gain (winners): +62.9%
Average loss (losers): −26.9%
Worst single-week loss: −83.8%
This is not a smooth equity curve.
And that’s the point.
The edge doesn’t come from being right more often.
It comes from:
Large intrinsic value jumps across earnings
Winners that are meaningfully larger than losers
Capital efficiency (2 days vs 30 days)
But the trade-off is psychological.
You will:
lose more often than you win
experience streaks of small losses
need strict sizing discipline
This is not a “try three trades and judge” strategy.
It only works when treated as a system, not a bet.
In quant, we don’t fall in love with strategies.
We backtest ideas like this every other day:
different timing windows
different volatility structures
different risk profiles
Most ideas fail.
Some survive temporarily.
A few hold up — because the data keeps confirming them.
The Night Fury Strategy is one of those rare cases where:
the logic makes sense
the mechanics are simple
and the data is brutally honest
Not a signal.
Not a shortcut.
A framework.
Join Us Live — Quant X Accelerator (Tomorrow, 8pm)
If you want to learn how strategies like this are actually built, tested, and structured, we’ve prepared a Quant X Accelerator session for you. It will be our final session for 2025.
Inside, we break down:
✔ The 3 strategies refined over 20 years
✔ How we extract real edge from the market
✔ Why most traders lose even with good strategies
✔ How to structure rules so emotion can’t interfere
If you’re tired of trading on gut feel —
and ready to operate with clarity, discipline, and precision —
this is where your next upgrade begins.
To your growth,
Quant X Team - Where Data Becomes Alpha
Editor: Dareen Tan
Disclaimer:
The views shared here are for educational purposes only and reflect our team’s opinions. They should not be taken as financial, investment, or legal advice. Please do your own due diligence before making any financial decisions.
