Corporate events & settlement
What is an Earnings Straddle Play and how do I calculate the market's implied post-earnings move?
By Easy Money Scanner · Educational reference · Not investment advice
The short answer
An earnings straddle buys a call and put at the same strike and expiration to profit from a large post-earnings move in either direction, with the breakeven move calculated from the straddle's total premium relative to stock price.
How it works
The market's implied move is approximated by dividing the at-the-money straddle price by the stock price, giving the percentage move option prices are collectively pricing in for the earnings event.
An example
If a $100 stock's front-week straddle costs $6, the market implies roughly a 6% move; the trade profits only if the actual move exceeds that threshold after IV crush.
Risk & limitations
Implied volatility typically collapses immediately after earnings regardless of direction, so straddles can lose money even when the stock moves, if the move is smaller than priced in.
Examples are hypothetical, not trade recommendations. US contract and regulatory references do not automatically apply in Canada. Rules, margin requirements and broker policies can change; confirm them with the relevant authority and your broker.