Options values right before and after earnings dates
Are there web sites for free information concerning historical earnings release dates for major exchange-traded stocks combined with the historical movements of the respective ITM and OTM calls and puts options just right before and after these release dates? Thanks
Theo.
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2183 points
ChaosNantuko answered one year ago …
I looked around a while ago, and i didn't really see any unbiased information that looked at it statistically. I know investools allows you to view option price charts charts over time, in a way similar to stocks, but its only for options that haven't expired yet, and so you could only gather recent data, and it carries a hefty price tag.
I think if you want unbiased statistics, you'll probably have to gather the data yourself, recording the information you want the days before, on, and after expiration. Sorry i couldn't be more useful
314 points
Ifly answered one year ago …
Sorry I did not finish the answer.
Thinkorswim brokers now have option back testing. So once you have the earnings date you can get back dated option chains.
You can set a trade and then follow it through time to see how you would have faired.
The down side is I think you have to open an account with them, but considering that they are (in my opinion) the best on-line options trading brokerage out there, thats not all bad.
Ifly
