Checked 2,422 earnings prints. Options overprice the move 57% of the time. Most people buying earnings straddles are paying for a swing that never shows up.

Checked 2,422 earnings prints. Options overprice the move 57% of the time. Most people buying earnings straddles are paying for a swing that never shows up. everyone buying straddles into earnings assumes the options market has the move priced right. so I checked — 2,422 earnings prints, implied move going in vs what the stock actually did. 57% of the time the real move came in SMALLER than what was priced. that's IV crush in one sentence. most of the time the move just doesn't show up, and you paid full price for a lottery ticket that was overpriced before the drawing. the interesting part is it's not uniform — some names run hot against their implied move over and over, some basically never earn the premium. I put the per-ticker history in a free tool, no signup, # google search "ALGOXFLOW earnings analyzer" if you want to check your name before the next print instead of guessing.