15. Enhanced Strategies
In the preceding five chapters, we analyzed the impact of five factors on the performance of long and short straddles and strangles around earnings announcements: implied volatility, historical absolute earnings announcement returns, market capitalization, valuation, and industry membership. The analyses show that among the five factors, implied volatility and market capitalization have the most significant impact on the long and short straddles/strangles. Both factors are negatively related to the performance of long straddles/strangles, and positively related to performance of short straddles/strangles. Volatility buyers do better by focusing on low implied volatility options and options of small-cap stocks, whereas ...
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