Any way to trade forward vol through earnings

Check out CRWD 1 week forward vol at 32%.


Realized 7 day (about 7 trading days between now and Sept 8th expiry) is almost never below 32%:


Outside of earnings a calendar spread would be a no-brainer. But earnings adds too much volatility to the returns.

Here is a very convoluted attempt to position through earnings. Transaction costs make it impractical:


My thinking is to have approximately zero gamma post IV reversion.

How would you position here?

 

I assume most people sell options "to trade forward vol through earnings".

 

@tooriginal did you find out an answer to your question?
Despite the trading costs, your "convoluted" setup is nice and wide.

BTW what is that "console 1/a" software? Is it a script that calcs forward vols?

 

I believe the market was right to discount vol over the period right after earnings:

 

Well, ofc.

 

Strangle vs strangle is the most straightforward way to do that, just pick the right ratio.

 

What do you mean by "Strangle vs. stramgle"?

 

META looks like an example with post earnings vol at least as high as the period leading up to it as opposed to CRWD. 40 cycles not "all cycles" lol.

 

Same please also for daily Call options ATM IV and Put options ATM IV, or the avg from both.