STRATEGIES

Earnings DTE Comparison — Is 1-Week Too Much Decay?

Question: On Friday before earnings week, which expiration do you buy?

A 1-week option has heavy theta: you buy on Friday, hold through earnings, and by exit Friday there is ~zero time value left. A 2-week option has 7 days of time value remaining at exit, and a monthly has 3-4 weeks. This backtest compares all three DTE choices across three strategy structures.

Entry: Friday EOD before the earnings week
Exit: Friday EOD of the earnings week (5 trading days later)
DTE buckets tested:
• Weekly 1w — first Friday after entry (~7 DTE)
• Weekly 2w — second Friday after entry (~14 DTE)
• Monthly — 3rd Friday of entry month if ≥7 days away, else next month's 3rd Friday
Strategy structures: Runup Call (ATM), ATM Straddle, 2% OTM Strangle
Position size: $500 per trade (contracts = floor($500 / (debit×100)), min 1)
Sample: 10 tickers (JPM, BAC, C, WFC, MS, BLK, GS, ASML, PGR, PNC) — each ticker's most recent past earnings with chain data

VERDICT — DOES LONGER DTE WIN?

PER-TICKER DETAIL

Disclaimer: Backtest uses real historical option marks from the entry and exit Fridays. Sample size is limited to 1 past earnings per ticker (the most recent Q4 2025 / Q1 2026 earnings inside the option data window). Real fills will differ due to spreads and slippage. Past performance does not guarantee future results. The relative comparison between DTE buckets is more meaningful than the absolute P/L numbers, since IV regime and earnings move magnitude change from quarter to quarter.