From Theory To Practice - June 25, 2021 - Post Earnings Announcement Drift

published 1 month ago by tastytrade, Inc.

In the world of academic finance, at least many years ago, there was a phenomenon known as “post earnings announcement drift”. The basic idea was that stocks that move substantially after their earnings announcement will oftentimes continue to drift in that direction. So given the outsized up move in NKE from last night’s earnings release, we decide to step in and add a Skewed Strangle - skewed to the upside.

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