In the early days of this earnings period, however, those pursing a pure call-buying strategy have enjoyed an incredible bonanza.
Investors who bought call options on the first 13 percent of the S&P 500 companies to report earnings have seen a return of 105 percent on the premiums they laid out, Goldman's Katherine Fogertey, John Marshall and Vishal Vivek said in the report. They looked specifically at calls with striking prices that were close to the price of the stock and set to expire in the near future.
Particularly profitable trades have included buying options on BlackRock, Regions Financial and Bank of America.
For instance, when BlackRock was trading at about $335 two days before its prebell earnings report, the April 340-strike call could have been snatched up for $3. BlackRock then rose on its earnings report, and three days after that hypothetical purchase, the option expired at a value of $18 — for a 500 percent return in under a week.
Of course, not every trade will work out that well. And Goldman's strategy has undoubtedly benefited from the general rise in stocks over the course of earnings season, as well as the particular bounce in financials, the first major group to report.
But the options research team say a general call-buying strategy will continue to be a winning one, given the general nature of market sentiment.
"The options market has lowered the expectation for earnings moves over the past 2 weeks despite strong returns on option buying this earnings season," the strategists wrote in their report Wednesday. "We believe this presents an even more compelling opportunity to buy calls ahead of results."
Erin Gibbs of S&P Investment Advisory says there's a fundamental reason this strategy has been so effective now.
"For this quarter, we're looking for most of the earnings coming in the second half of the year, so it's also about guidance," which takes on particular salience as tough questions are being asked about the state of the U.S. and global economy.
"It's just sort of one of these extreme fundamental quarters where we expect more volatility," Gibbs said Thursday on CNBC's "Trading Nation."
Still, some traders remain skeptical.
While he believes that Goldman has indeed found a market inefficiency, Boris Schlossberg of BK Asset Management said that "the Murphy's rule of trading is that once somebody points out the trend, it's pretty much over."