/> Earnings IC Screener - Frenzy Capital

Earnings IC Screener

Screen upcoming earnings for safe short iron condor opportunities based on historical move data.

Screener results are algorithmic and for informational purposes only. Scores do not constitute trading recommendations. Past performance is not indicative of future results. See Terms §17.

Filter Criteria
Results Found

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Upcoming earnings matching filters

Avg Safety Score

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Higher = safer for selling premium

Avg Breach Rate

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Earnings-specific breach rate

Avg Expected Move

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Current straddle as % of price

Screening Results
Symbol Date Days Time Safety Earn Breach Max Overshoot Consistency Exp Move % Straddle $ Price IV Rank IV Prem Beta Obs Best EV Strikes
Click "Screen" to find earnings IC opportunities

Earnings Iron Condor Strategy Guide

Strategy Overview

Sell iron condors into earnings, exploiting the tendency for options markets to overprice expected moves. Historically, ~94% of earnings moves come in under the ATM straddle. This screener identifies the safest upcoming earnings for this strategy by analyzing each symbol's historical move patterns.

Key Metrics

  • Safety Score: Composite ranking: consistency x IV_premium x (1/beta). Rewards symbols that consistently undershoot expected moves, have rich options premiums, and low beta.
  • Earnings Breach Rate: Percentage of past earnings where the actual move exceeded the expected move (straddle price). Lower is better. This is distinct from the general IC screener breach rate which includes all trading days.
  • Max Overshoot: Worst-case ratio of actual/expected move across all historical earnings. A value of 2.0x means the worst earnings move was double the expected. Use the filter to exclude symbols with extreme blowout history.
  • Consistency Score: Combines breach rate and variance: (1 - breach_rate) x (1 / (1 + stdev)). Higher scores mean the symbol's earnings moves are both small and predictable relative to the straddle.
  • Expected Move %: Current ATM straddle as a percentage of stock price. This is the market's implied earnings move right now.

Blowout Risk Management

  • Set Max Overshoot to 1.5x or lower to filter out symbols with any history of exceeding expected moves by more than 50%
  • Require 5+ observations for reliable statistics
  • Prefer symbols with Consistency Score above 0.7
  • Use wider wings (further OTM) for higher-overshoot symbols to limit max loss
  • Size positions so max loss per trade is <2% of portfolio