Earnings Season Options Strategy: How to Trade Expected Moves with High Probability Setups

Earnings Season Strategy: How I Trade Big-Name Reports Like JPMorgan and

This week kicks off, what will be, one of the most closely watched earnings seasons in recent memory. Things begin Thursday morning, when Citigroup (C) reports before the opening bell. Then, on Friday, we’ll see a wave of major financial names — including Morgan Stanley (MS), JP Morgan (JPM) and Wells Fargo (WFC) — all releasing results before the market opens.

Earnings season always brings a flood of headlines, price swings, and market noise. But rather than trying to predict how a stock will react to an earnings report, I take a different approach. My focus is on probabilities — not opinions.

I use a data-driven strategy that looks at how options behave leading into and out of earnings. Specifically, I track how implied volatility (IV) builds up before the announcement and then contracts sharply once the news is out. This “IV crush” is the most consistent pattern in options trading, particularly around earnings, and for those with a plan, it creates opportunity where others see risk.

Instead of guessing whether a stock will beat estimates or fall short, I simply look at the statistics that defines the asset: historical price reactions, current IV levels, and the expected move priced into the options market. If the setup is right — meaning volatility is high, liquidity is strong, the range is well-defined, and the amount of premium makes sense from a risk/reward standpoint — I’ll use strategies like the iron condor (and a few others) to trade the event with a statistical edge.

As we move through this earnings season, I’ll continue to break down these opportunities, focusing on the names that offer the best conditions for high-probability trades. It’s not about being right every time — it’s about putting the odds in your favor and managing risk with discipline. Stay tuned!

Why Options Volatility Matters

I don’t try to predict which way a stock will move after earnings. That’s a coin toss dressed up as analysis.

Again, I rely on simple statistics.

Earnings season brings uncertainty — that’s a given. And it’s that uncertainty that drives up implied volatility. Whether speculators are betting on a move or hedging against one, the demand for options increases around earnings announcements. As a result, options premiums rise, especially in the days leading up to the announcement.

That’s where I focus. That’s my window of expertise.

Each earnings cycle, I look for setups where inflated options pricing in assets with highly-liquid options markets creates opportunity. I’m not chasing news or momentum. I’m looking for mispriced risk — and using a quant-based approach to trade it. One I’ve used for almost a decade.

This strategy depends on probabilities, not predictions. It leans on the law of large numbers and strict risk management. Especially during earnings season, the key isn’t just finding a statistical edge — it’s knowing how to manage that edge through sequence risk and proper position sizing. I can’t emphasize enough how important risk management techniques are when using this shorter-term approach.

That’s what I’ll be covering throughout this season. No noise. Just the numbers.

One of My Go-To Earnings Trades: The Iron Condor

One of my go-to strategies for earnings season is the iron condor — especially on highly liquid names like JPMorgan (JPM). For those new to it, this is a neutral strategy that benefits when the stock trades within a set range after earnings — taking advantage of elevated implied volatility and the post-report volatility crush.

Why does it work? Because of how options behave around earnings. Leading into a report, implied volatility (IV) and demand rises as traders position for potential surprises. Once the announcement hits, that uncertainty disappears — and so does the IV. That sharp drop in option premiums, known as IV crush, creates a clear edge for premium sellers.

The iron condor is built to take advantage of that.

• Step 1: Identify the expected move.
  This is how far the market expects the stock to move after the earnings announcement. You can find it using implied volatility or by checking the at-the-money straddle price.

• Step 2: Sell a call spread just above the expected move.
  This is a bearish position that profits if the stock doesn’t move too far up.

• Step 3: Sell a put spread just below the expected move.
  This is a bullish position that profits if the stock doesn’t move too far down.

• Step 4: Collect premium from both spreads.
  If the stock stays within the range you’ve defined — between your short call and short put — both spreads expire worthless, and you keep the full premium.

• The goal:
  Structure the trade just outside the expected move. This increases your probability of success by giving the stock room to move — but not too much.

• Why it works during earnings:
  Implied volatility is elevated before earnings, which means richer premiums and better reward-to-risk setups — especially when the stock doesn’t move as much as the market priced in.

Let’s use JPM as an example. Ahead of its upcoming earnings report, the stock is trading around $234.34, and the options market is pricing in an expected move of about $±14 for the near-term expiration cycle. I’m not planning on taking this trade given the recent market turmoil. I want to see how the initial wave of earnings react before putting hard-earned capital to work.

That gives me a clear framework: place the short strikes just outside that $28 range — one bear call spread above, one bull put spread below. The further out you go, the higher your probability of success (though the premium collected will be smaller).

For a full breakdown of how I structure these trades — including strike selection, IV rank filters, and risk management — check out my Featured Report on Trading Iron Condors.

Why Probabilities Matter More Than Predictions

I also like to look at historical earnings data to gauge typical price reactions. For instance, JPM’s average move post-earnings is just 0.55%. But I’m more interested in the “Worst and Best Reactions” of 10.45% to -11.70%. Knowing that history helps me avoid getting into risky trades where the odds just aren’t there.

*images courtesy of Slope of Hope

Constructing the Trade

Knowing the expected move:

On the call side, I might sell the 260 strike (with a delta around 0.08), which gives me an 93% probability of success. Probability of touching the short call strike prior to expiration is only 13%.

On the put side, I’ll look at the 210 strike (with a delta around 0.14), with a chance of staying out of the money — about 84%. Probability of touching the short put strike prior to expiration is only 31%.

Together, that gives me a potential range of 210 to 260 for the iron condor. With 5-point wide spreads and a premium of roughly $0.75, I’m looking at a max return of 17.6% and a max defined-risk of $4.25 per contract.

The breakeven points on this trade are 209.25 and 260.75 — both comfortably outside the expected move range of 220 to 248.

That’s exactly the kind of setup I’m looking for: positioning well outside the expected move to increase the probability of success. Historically, about 80% of earnings reactions stay within the expected move, so by setting up my trade just beyond those levels, I’m stacking the odds in my favor.

The Trade (Iron Condor on JPM)

Simultaneously:

• Sell to open JPM April 17, 2025, 260 calls

• Buy to open JPM April 17, 2025, 265 calls

• Sell to open JPM April 17, 2025, 210 puts

• Buy to open JPM April 17, 2025, 205 puts

Net Credit: ~$0.75, or $75 per iron condor
Margin Requirement: $425 per iron condor
Max Return: 17.6%
Break-evens: 209.25 and 260.75

Risk Management Is Non-Negotiable

Because these trades are short-term and tied to a single event — the earnings release — position sizing isn’t just important, it’s everything. You don’t have the luxury of time. Once the announcement hits, the market reacts fast. There’s rarely an opportunity to adjust or manage your way out. You’re either right, or you’re not — and that means every trade needs to be small enough that it can’t harm your portfolio in a meaningful way.

Think of it this way: You’re not betting on one trade to make your quarter. You’re building a system. And in that system, no single trade should have the power to derail your long-term performance.

As always, if you have any questions please feel free to email me or ask in the comments section below.

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Probabilities over predictions,

Andy Crowder