It turns out there is some edge in Goldman Sachs Group Inc (NYSE:GS) options over the last six-months and as far out as the last two-years, and the results are staggering.

It’s a reasonable analysis to do — to find a way to make money trading Goldman Sachs Group Inc options, but rather than betting on large move up in the stock, simply betting that there isn’t a large down move. That’s the place a lot of the financials find themselves now, and GS has a fascinating phenomenon within its options.

Let’s examine a short out-of-the-money put spread in GS over the last two years, and we’ll look at trading every week (weekly options). Here are the results:

A 103% return is fantastic, but there’s a lot of risk here, especially surrounding Goldman Sachs Group Inc earnings dates. So, let’s take the next step and do this same test, but eliminate earnings by essentially skipping the earnings week.

We can actually see the return is higher at 118% versus 103% even though we took less risk. That’s remarkable. We can also see that the trade had 79 wins and 22 losses, yielding a 78.2% win-rate. This is also our signal that there is edge.

We are examining selling the 30 delta put and buying the 10 delta put in Goldman Sachs Group Inc. In option speak, the delta is roughly the probability that an option will expire in-the-money. So, while a 30 delta put should end up in the money 30% of the time, that means selling it should be a winner 70% of the time.

But, we can see a 78% win-rate, meaning we have found, in the strictest terms, ‘edge.’ And edge, is the entire goal of option trading. As good as this looks, it turns out the news is actually better. This edge in Goldman Sachs Group Inc (NYSE:GS) puts, or edge in selling GS puts, has gotten stronger more recently.

Here are the results of selling that put spread over the last 6-months, and always avoiding earnings:

Not only are the returns incredibly high, but check out that win-rate percentage. We’re looking at 23 winning trades and 3 losing trades for a 88.5% win-rate. Remember, that 30 delta put should be a winner for a short seller 70% of the time. The edge is sustained, and getting stronger. The result is yet higher returns.

The key here is to find edge, optimize it — in this case by avoiding earnings risk — and then to see if it’s been sustained through time. For GS it has, and that makes for a powerful result. But, we don’t just want one strategy or one stock that has edge — we actually want a portfolio of them.