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by Ping Zhou
Option Strategies for Earnings Announcements: A Comprehensive, Empirical Analysis
Title Page
Copyright Page
Dedication Page
Contents
Acknowledgments
About the Authors
Preface
Part I: Introduction
1. Earnings Announcements: Opportunities and Risks
2. Option Strategies for Earnings Announcements: An Overview
3. Liquidity Risk: Bid-Ask Spreads
Part II: Options Strategies for Earnings Announcements: Let the Data Speak
4. Bullish Directional Trades
5. Bearish Directional Trades
6. Long Volatility Trades
7. Short Volatility Trades
8. Buy Volatility before Earnings Announcements
9. Ride the Post-Earnings-Announcement Drift
Part III: Advanced Analysis: Improving the Odds of Winning
10. Implied Volatility
11. Historical Earnings Announcement Returns
12. Market Capitalization
13. Valuation
14. Industry Effects
15. Enhanced Strategies
Index
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Option Strategies for Earnings Announcements
A Comprehensive, Empirical Analysis
Ping Zhou
John Shon
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