NVDA Earnings Options Backtest: Put Spreads and a Poor Man's Jade Lizard

NVIDIA had just been added to the Option Omega backtester, and it reported earnings the same day this video was recorded. Troy McNeil brought four backtests to Dan Sheridan. Troy’s short version: selling puts into NVDA earnings has worked in this backtest, and in their view the overnight drop in implied volatility is a big part of why.

All four trades open shortly before the close on earnings day and close right after the next open, win, lose or draw. The video was recorded on February 25, 2026, the day of NVDA’s report, so the results below run through the prior earnings date.

The backtest setup

Every test used the same entry and exit rules. Troy stressed that the entry minute was not optimized. He picked a random minute toward the end of the day.

Setting	Value
Underlying	NVDA
Date range	February 2020 (the COVID period) to February 2026
Trade days	earnings announcement days only (Wednesdays)
Entry	3:46 PM ET
Exit	9:32 AM ET the next morning
Size	1 contract
Costs	entry, slippage and closing settings applied
Filters	none (no rule to skip a bad open)

The idea was to sell premium while volatility is inflated ahead of the report, then exit as soon as the market opens, when implied volatility has usually dropped.

Test 1: the 2-day put spread

The first test sold a put credit spread two days to expiration. Troy’s summary, which Dan agreed with: over this period, selling puts in NVDA has worked. That was the theme of all four tests.

Test 2: the 9-day put spread

Next, Troy moved the expiration out to nine days. The results were very similar.

The November 19, 2025 earnings trade shows why. Both spreads were opened at the same minute:

Expiration	Strikes	Credit
2 days	175/170	97 cents
9 days	almost the same	$1.17

Moving out a week bought only a little more credit (20 cents, or $20 per contract) at almost the same strikes. As Troy put it, volatility does rise in the 9-day expiration ahead of earnings, but it is dwarfed by what happens in the front expiration. It is a clear look at how much the front-expiration volatility gets “juiced.”

Test 3: the 16-day put spread

At 16 days, the strikes finally changed. The short strike sat lower, giving more room to the downside, and the credit was sometimes about 20% higher.

The read in the video: for earnings like this, two expirations out is where implied volatility may not be as elevated. It is still elevated, just less than in the first two expirations.

Why the next-morning exit matters

The put spread’s payoff model shows how much room an IV crush can give the position. Assuming implied volatility drops sharply after the report, Troy said NVDA could fall about nine points and the spread could still make money, depending on how far it drops by Thursday’s open.

In that model, it takes a major move down to start losing. That can happen, and the spread shown could lose about $400. Troy’s point was that earnings put spreads have some built-in help as long as the size stays reasonable.

Test 4: the 2 DTE poor man’s jade lizard

A typical jade lizard sells a put and a call, buys a call above for upside protection, and leaves the put naked. The show does not do naked premium, so this version adds a long put.

Leg	Setting
Sell put	42 delta, 2 DTE
Sell call	50 delta, 2 DTE
Buy put	15 strikes below
Buy call	5 points above

The result leans long delta and carries risk only to the downside. It was described as combining a put spread with the payoff of a butterfly. Another way to see it, also raised in the discussion, is a broken wing butterfly: no risk to the upside and plenty of risk to the downside.

The appeal, as Troy put it, is the comparison with the put spread. Rather than risking about $400 to make about $100, the jade lizard’s payoff on a rally may be similar to a normal put spread, and it may make a bit more if NVDA does nothing, since both short options can lose value fast in a volatility crush. It still carries plenty of risk to the downside.

Troy said the trade tends to collect a good-sized credit early on. Margin is larger than the credit, but he called the credit-to-margin ratio pretty good. Both agreed the widths are worth experimenting with.

Dan’s take

Dan liked the concept and gave two reasons.

• Collecting enough on winners. With earnings gaps, he said, you do not want one loser wiping out seven or eight winners.
• Not playing “the max payoff game,” in his words. He liked getting out right at the open. He has never been tempted by jade lizards because most he has seen are 60-day trades, which are not his cup of tea. A version that exits the next morning is different.

Caveats

• Small data set. Six years of quarterly earnings is only a couple of dozen trades at most, and Dan flagged the small data set directly.
• No filters. Nothing in the rules skips a trade if NVDA opens sharply lower.
• Annoying losers. Some days the stock drops just enough to lose.
• Defined, not small, risk. The put spread shown could still lose about $400.

Key takeaways

• Selling put spreads into NVDA earnings, opened at 3:46 PM ET and closed at 9:32 AM ET the next day, worked in this backtest from February 2020 to February 2026, a small set of earnings dates.
• Going from 2 to 9 days to expiration barely moved the strikes and added only a little credit (97 cents vs $1.17 on November 19, 2025).
• At 16 days the strikes moved lower and the credit was sometimes about 20% higher.
• In Troy’s payoff model, with IV crushed after the report, NVDA could fall about nine points and the spread could still profit at the next open.
• The 2 DTE poor man’s jade lizard has no upside risk and avoids naked premium by adding a long put, but it carries plenty of downside risk.

You can run earnings tests like these on NVDA and other single stocks in the Option Omega backtester, and view the payoff of each structure with the modeling tools. Start a free trial to build your own.

Watch the full video: WATCH THIS Before NVDA Earnings This Afternoon (Backtest Results).

Backtest results are hypothetical and do not guarantee future performance. Options trading involves substantial risk.