How I Use AI to Trade Through Earnings, 84.74% Returns So Far

The Setup

I notice that options get expensive before earnings due to uncertainty. The opportunity: when IV overestimates the actual move, the excess premium evaporates post-earnings. This is called an IV crush. The key is filtering for the RIGHT earnings events.

What the AI Found

1. 1.Screening 5,388 stocks matching basic criteria (US market, >$1B cap, primary listing). Pulling 2 years of historical earnings data and analyzing overnight price consistency around each report.
2. 2.Filtering for negative term structure slope below -15%: finding PEP (-36.2%), WFC (-20.1%), C (-19.2%), ABT (-18.0%), GS (-16.4%), MS (-15.4%), JPM (-15.0%) among the top candidates.
3. 3.Cross-checking IV/RV ratios: looking for stocks where implied volatility is pricing in 25%+ more movement than recent realized volatility. These are the ones where fear is most overpriced.
4. 4.Building ATM short straddle setups on the top candidates with nearest post-earnings expiry, showing premium collected, breakeven range, and risk profile.

The Trade

ATM short straddle on filtered earnings candidates. Selling both the ATM call and ATM put with the same expiration (nearest after earnings). Entry 15 min before close the day before earnings. Exit within 15 min after open the next day.

The Result

Over 2 years of trading this strategy: CAGR of 84.74% vs SPY's 25.62%. Win rate of 65%. Average return per trade ~10%. Max loss on a single trade is 90%. Max drawdown ~25% over a 2-month period. The edge is entirely in the overnight IV crush: get in, get out, no holding.

The Prompt

Screen for stocks: US markets, primary listing, no OTC. Market cap above $1B. Sort by market cap and take the top 100.

Pull their earnings data from the past 2 years. Then analyze intraday price action around each earnings date to identify stocks with consistent movements.

From that list, filter out which stocks have upcoming earnings, and stock stocks with:
1. Negative term structure slope below -15%. Formula: (IV 40-45 days out - IV nearest expiration) / IV Front × 100%
2. IV/RV ratio above 1.25

For the stocks that pass all filters, show me the ATM short straddle setup on the nearest post-earnings expiry. Include the premium collected, breakeven range, and max risk.