Earnings Straddle Screener Excel: Rank Q2 2026 Implied Moves Before Earnings Week

Earnings straddle screener excel is exactly what you need when the Q2 2026 reporting calendar hits all at once and you want to know, at a glance, where the options market is pricing a big post-earnings move and where that move looks expensive or cheap. The week of July 14 opens the season with the money-center banks, then Netflix, Taiwan Semiconductor, UnitedHealth and ASML follow, and by the final week of the month the megacap technology names all report within days of each other. Trying to eyeball implied volatility one ticker at a time in a broker screen is slow and error prone. A single spreadsheet that pulls live implied volatility, realized volatility, IV Rank and the next earnings date for your whole watchlist, then ranks every name by its expected move, turns hours of manual checking into one refresh.

This guide walks through how to build that screener in Excel, what each number means, and how to read the signal it produces. It also comes with a free premium, dashboard-style template you can download at the bottom, built with MarketXLS functions so every cell updates live.

Earnings straddle screener excel: the numbers that matter

Before the template, here is the quick reference table the whole screener is built around. These are the columns that let you compare one earnings name against another on a like-for-like basis.

An earnings straddle is a direction-neutral position. You buy the at-the-money call and the at-the-money put with the same strike and the same expiry. The trade does not care whether the stock goes up or down after the report. It cares about the size of the move. If the stock moves far enough in either direction, one leg of the straddle gains more than both legs cost. If the stock sits still, the position loses the premium you paid. That is why a straddle screener is really a volatility screener: you are hunting for names where the market may be underpricing or overpricing the earnings reaction.

Why an Excel screener beats a broker screen for earnings season

Broker platforms show you implied volatility on the option chain for one symbol at a time. That is fine when you are looking at a single trade. It falls apart during earnings season, when twenty or thirty liquid names report inside two weeks and you want to sort them by expected move, filter for the ones reporting in the next seven days, and compare implied to realized volatility across the whole group.

Excel is the natural home for that kind of cross-sectional work. Once the data lands in a grid, you can sort, filter, add conditional formatting heatmaps, chart the spread between implied and realized volatility, and size positions from a single account-size input. The key is getting reliable data into the grid without copying and pasting. That is the job MarketXLS functions do. Each function is a normal Excel formula that returns a live value, so =IMPLIEDVOLATILITY30D("TSLA") sits in a cell the same way =SUM(A1:A10) would, and it refreshes when you refresh the sheet.

The approach: implied move versus realized move

The central hypothesis behind an earnings straddle screener is simple to state and important to understand. Options prices contain a forecast of future volatility. Back that forecast out of the price and you get implied volatility. Separately, you can measure how much the stock has actually moved over the recent past. That is realized, or historical, volatility. The relationship between the two is where the edge, if there is one, lives.

When implied volatility is high relative to realized volatility, the options market is pricing a bigger move than the stock has recently been making. Premium looks rich. Sellers of that premium are being paid well to take the other side, though they carry the risk of a large gap. When implied volatility is low relative to realized volatility, or low relative to its own one-year range, options look cheap and a long straddle buyer is paying less for the same potential move.

None of this is a guarantee. Implied volatility is usually elevated into earnings precisely because a real catalyst is coming, and stocks frequently do gap hard on results. The screener does not tell you a trade will work. It tells you where the market is pricing the largest expected moves and where the implied-to-realized relationship is stretched, so you can focus your research. Treat every output as a question to investigate, not an answer to act on.

The two ratios that drive the signal

The template leans on two related but distinct measures.

The IV to HV ratio compares 30-day implied volatility to 30-day realized volatility. A reading around 1.0 means options are pricing roughly what the stock has been delivering. A reading of 1.3 or higher means options are pricing a meaningfully larger move than recent history, which is common right before a scheduled report. A reading near or below 1.0 into earnings can flag a name where the straddle looks inexpensive relative to how the stock has been trading.

IV Rank answers a different question: is this stock's implied volatility high or low for this stock. It places today's implied volatility on a zero to one hundred scale versus its own trailing one-year range. An IV Rank of 80 means implied volatility is near the top of where it has been all year. An IV Rank of 20 means it is near the bottom. Because it is self-referential, IV Rank lets you compare a naturally calm utility against a naturally jumpy semiconductor without the raw volatility numbers drowning out the signal.

The screener combines them into a plain-English signal. When IV Rank is at or above your sell threshold, the signal reads SELL PREMIUM, flagging names where defined-risk premium-selling structures may deserve a look. When IV Rank is at or below your buy threshold, it reads BUY STRADDLE, flagging cheap-looking names. Everything in between reads NEUTRAL. You control both thresholds from a single input cell.

MarketXLS implementation: the formulas behind the screener

Every data point in the template is a live MarketXLS formula. Here are the exact functions, each verified against the current function library, that power the screener.

=LAST("NFLX")                     Current price and straddle strike anchor
=EARNINGS_DATE("NFLX")            Next scheduled earnings date
=IMPLIEDVOLATILITY30D("NFLX")     30-day implied volatility
=STOCKVOLATILITYTHIRTYDAYS("NFLX")  30-day realized volatility
=IMPLIEDVOLATILITYRANK1Y("NFLX")  1-year IV Rank (0-100)
=IMPLIEDVOLATILITYPCT1Y("NFLX")   1-year IV percentile (alternative rank)
=AVERAGETRUERANGE("NFLX",14)      14-day ATR for expected-range context
=BETA("NFLX")                     Beta versus the market

From those raw inputs the workbook derives the rest with plain Excel math, so the logic is transparent and you can audit every cell:

• IV to HV ratio is =IMPLIEDVOLATILITY30D(ticker)/STOCKVOLATILITYTHIRTYDAYS(ticker), computed from the two volatility cells so the units cancel cleanly.
• Days to earnings is =EARNINGS_DATE(ticker)-TODAY(), which drives the "reporting this week" filter and the countdown.
• Implied move is =IMPLIEDVOLATILITY30D(ticker)*SQRT(horizon/365), where the horizon in days comes from an input cell. This approximates the one-standard-deviation move over your chosen window.
• Straddle debit estimate is =Price*ImpliedMove, a modeled approximation of the at-the-money straddle cost.
• Signal is a nested IF on IV Rank against your two threshold cells.

Because the derived columns reference the input sheet, changing one cell, such as shortening the option horizon from 30 days to 7 for an earnings-week straddle, recalculates the implied move and straddle debit for every name in the list at once.

What's inside the premium template

This is not a bare grid. The download is a professional-grade, dashboard-style workbook with ten sheets, each designed to be presentation-ready when you open it. Here is the full walkthrough.

1. Cover. A branded title page with the 2026 edition label, the data date, a table of contents and a book-a-demo link. Gridlines are hidden so it reads like a product cover, not a spreadsheet.
2. How To Use. A six-step tutorial that explains every input cell and every formula by name, so you are productive in five minutes.
3. Dashboard. The headline sheet. A row of seven KPI tiles across the top reports stocks screened, how many report within seven days, average IV Rank, average IV to HV ratio, the largest implied move, and the count of sell-premium and buy-straddle signals. Below the tiles sit two embedded charts, one ranking implied move by ticker and one comparing implied against realized volatility. At the bottom is the full screener table with a red-to-green color scale on IV Rank, data bars on implied move, arrow icons on the IV to HV ratio, and highlighted rows for names reporting this week.
4. Inputs / Controls. Every yellow cell is editable. Set account size, risk per trade, the option horizon in days, and the IV Rank buy and sell thresholds. A dropdown chooses a Conservative, Base or Aggressive scenario, and a second dropdown picks the focus ticker used by the analysis sheets. The inputs flow into every downstream sheet.
5. Scenario Analysis. A what-if grid that shows how a long straddle on your focus ticker performs across post-earnings moves from minus fifteen percent to plus fifteen percent, with a red-to-green color scale on the profit and loss row, traffic-light icons on the return row, and a payoff chart.
6. Strategy / Options. A straddle setup table for the whole watchlist, listing the strike, the straddle debit, the upper and lower break-even levels, the maximum loss per contract and a profit target for every name, alongside the signal and a one-line note.
7. Portfolio / Allocation. A position-sizing calculator that converts your account size, risk-per-trade and scenario multiplier into a suggested number of contracts and a capital allocation across the top implied-move candidates, visualized in a donut chart.
8. Correlation / Comparison. A color-coded comparison of implied versus realized volatility for every name, with a volatility-premium column, a plain-English read of rich, cheap or fairly priced, and a scatter chart where each dot is a stock.
9. Methodology. A one-page explainer of the model, the formulas, the data sources and, importantly, the limitations.
10. Glossary & Disclaimer. Definitions of every term in the workbook plus the educational-only disclaimer.

Every sheet carries a MarketXLS footer and a "MarketXLS Functions Used in This Sheet" box so you always know which formula produced which number.

Sample versus live template

Two files ship together. The sample workbook is pre-filled with static values captured on the data date, and every data cell carries a comment showing the MarketXLS formula that produced it. It is the fast way to see the finished design and understand the logic. The live template contains zero static market data. Every price, implied volatility, realized volatility, IV Rank and earnings date is a live formula that refreshes when you press Refresh with the MarketXLS add-in installed.

Reading the Q2 2026 watchlist

The template ships pre-loaded with a Q2 2026 earnings watchlist spanning the banks, semiconductors, healthcare and the megacap technology names, all liquid enough to trade options around. A few patterns are worth calling out as illustrations of how to read the screener, not as trade ideas.

The bank complex tends to show moderate implied volatility and mid-range IV Ranks. Banks report first and their moves, while real, are usually smaller in percentage terms than a high-multiple technology name. The screener reflects that with lower implied moves and NEUTRAL signals for most of the group.

The high-beta technology and communication names tend to carry the largest implied moves and the highest IV Ranks. When a streaming or semiconductor name shows an IV Rank in the seventies or eighties, the screener flags SELL PREMIUM, which is the model's way of saying options look expensive relative to this stock's own year. That is a prompt to study defined-risk premium-selling structures and to respect that the expensive pricing exists because the market genuinely expects a large reaction.

The point of the watchlist is not to tell you which name to trade. It is to show you how the same set of formulas ranks very different stocks on a consistent scale, so you can drop in your own tickers and get the same treatment.

How to customize the screener for your own watchlist

Swapping in your own names takes under a minute. Replace the tickers in column A of the Dashboard screener, and every formula that references that row updates because each function keys off the ticker text. Add rows if you want more names, and extend the conditional-formatting ranges to cover them. Adjust the option horizon on the Inputs sheet to match the expiry you actually trade: a shorter horizon shrinks the implied move and the straddle debit, since less time means a smaller expected range. Set your IV Rank thresholds to match your own tolerance, for example a stricter sell threshold of 80 if you only want the richest premium flagged.

If you prefer IV percentile to IV Rank, the =IMPLIEDVOLATILITYPCT1Y(ticker) function is documented on the methodology sheet and can be swapped into the signal logic. For an expected-range cross-check, =AVERAGETRUERANGE(ticker,14) gives you the 14-day average true range in dollars, which you can compare against the dollar implied move to see whether the option market is pricing something far outside the stock's normal daily range.

One caveat applies when you change that horizon input. The implied move column scales implied volatility by the square root of time, which holds up well inside a single expiration but drifts once you compare one expiration against another. Pricing the at-the-money call and put straight from the chain removes the drift entirely. Our companion straddle calculator for Excel works through that build on a live chain and measures the gap, where the square root shortcut understated the longer-dated straddle by 34%.

Common mistakes the screener helps you avoid

Even with clean data, earnings straddles trip up traders in predictable ways, and a screener that puts every number side by side makes those traps easier to see.

The first mistake is paying up for a move that is already priced in. A stock can gap ten percent on results and still lose money for a straddle buyer if the options implied an eleven percent move going in. The implied move column exists precisely so you never buy a straddle without knowing the break-even move the market has already baked into the premium. If the implied move is larger than any historical earnings reaction the stock has produced, that is a caution flag, not a green light.

The second mistake is ignoring the volatility crush. Implied volatility is almost always elevated into a report and collapses the morning after, once the uncertainty resolves. That collapse works against a long straddle even when the stock moves, which is why the IV Rank and IV to HV columns matter as much as the raw price. A name with a stretched IV Rank is exactly the name most exposed to a post-earnings volatility crush.

The third mistake is oversizing. Because straddles can lose their entire debit in a single session, position sizing is not optional. The Portfolio sheet ties every suggested contract count back to your risk-per-trade input so no single earnings bet can quietly become an outsized share of the account. Set the risk budget once and let the workbook enforce it across the watchlist.

FAQ

What is an earnings straddle screener? An earnings straddle screener is a tool that ranks a list of stocks reporting earnings by how large a move the options market expects, using implied volatility, and compares that expected move against how much the stock has actually been moving. It helps you spot where an at-the-money straddle, a direction-neutral long-volatility position, may be cheap or expensive ahead of a report.

How is the implied move calculated in Excel? The implied move is approximated as implied volatility multiplied by the square root of days to expiry divided by 365. In the template this is =IMPLIEDVOLATILITY30D(ticker)*SQRT(horizon/365), where the horizon in days comes from an input cell. Multiplying that percentage by the stock price gives the dollar implied move, which is roughly the cost of the at-the-money straddle.

What is a good IV Rank for selling or buying a straddle? There is no universal number, which is why the thresholds are input cells you control. A common convention is to treat an IV Rank at or above 70 as a premium-selling environment, where options look expensive for that stock, and an IV Rank at or below 30 as a premium-buying environment. The template flags SELL PREMIUM and BUY STRADDLE on those defaults, and you can tighten or loosen them.

Does the template update automatically? The live template does, once you have the MarketXLS Excel add-in installed and you press Refresh. Every price, volatility figure, IV Rank and earnings date is a live formula. The sample workbook holds static values captured on the data date so you can review the design without the add-in.

Which stocks does the screener cover? It ships with a Q2 2026 watchlist of liquid, optionable large-cap names across banks, semiconductors, healthcare and megacap technology. You can replace any ticker in column A with your own, and every formula in that row recalculates for the new symbol.

Is a long straddle a good earnings strategy? A long straddle profits only if the stock moves more than the combined premium you paid, in either direction. Because implied volatility is usually elevated into earnings, straddles can be expensive, and a muted reaction can lose the whole debit. This template is an educational tool for comparing expected moves and volatility pricing. It is not a recommendation, and options trading carries substantial risk, including the total loss of premium paid.

The bottom line

An earnings straddle screener excel workbook turns the chaos of Q2 2026 earnings season into a single, sortable view of where the options market is pricing the biggest moves and where those moves look rich or cheap. By pulling live implied volatility, realized volatility, IV Rank and earnings dates into one grid with MarketXLS functions, you replace tab-by-tab broker checking with one refresh, and you get a dashboard that surfaces the handful of names worth a closer look. The signal it produces is a research starting point, never a recommendation, and the methodology and disclaimer sheets are there to keep that front of mind.

Download both files below, drop in your own tickers, and let the formulas do the volatility math for you.

Download the templates:

• - Pre-filled with data as of July 12, 2026, and a formula comment on every data cell
• - Live-updating implied volatility, IV Rank and earnings dates

To see the live options and implied volatility functions in action across your own watchlist, explore MarketXLS or book a demo. You can also browse the full MarketXLS function library to build your own volatility and options models in Excel.