https://www.msn.com/en-ca/money/top...-earnings-fueled-us-stocks-swings/ar-AA1otrHp https://gyazo.com/211ac1afbede901ca8b0903c8e1f6c47
It shows that there are weeks and types of markets where the earnings trade does better on average than other times.
The best takeaway is to avoid times of elevated market-wide volatility if you like going long earnings straddles.
Have you looked at ways to hedge the the non-earnings part of the earnings straddles against declining market volatility? Vix puts, short index straddles?
No. The non-earnings part gets whacked after earnings and that swamps any market change. One of the processes that sets our calculation apart is that we backtested the distribution of earnings moves to create our best estimate of the remaining straddle value after earnings.