NEW YORK, Aug 8 (Reuters) - An options strategy that

bets on individual stocks logging larger-than-expected moves

after corporate results was winning big this earnings season but

is among many that has been derailed by this week's volatility

spike.

The strategy involves buying options straddles - which

combine a put and a call options purchase - on shares of a

company ahead of its earnings report. Data from ORATS showed the

strategy worked especially well in the two weeks prior to this

one, when post-earnings stock moves tended to be larger than

what was priced in the options.

But a burst of dizzying stock turbulence earlier this week

caused the prices of the options to rise, making it more

difficult for traders to realize a profit. It was one several

strategies - including short volatility and dispersion trading

strategies - that thrived in calm markets but were thrown

off-kilter when U.S. economic worries and the unwinding of a

global yen-funded carry trades shook stocks this week.

"The rule of thumb is that earnings straddles are more

profitable when the volatility is low," ORATS founder Matt

Amberson said. "When there are more macro events ... then the

earnings move tends to be less than is expected by the market

straddles. A good example is this earnings season."

For the first week of earnings, shares of companies that

reported results, on average, swung 21% more than that implied

by options, making buying options straddles a winner 56% of the

time, the data showed.

For the subsequent two weeks, the stocks of reporting

companies moved 62% and 33% more than what options straddles had

priced, delivering win rates of 62% and 58%, respectively.

This week, however, stock swings for reporting companies

came in at only 86% of the move priced in options straddles,

dragging down the win rate for the strategy to 50%, the lowest

for any week this earnings season, ORATS data as of Wednesday

showed.