Best option strategy for after earnings

Discussion in 'Options' started by Ghost of Cutten, May 17, 2013.

  1. From the other thread where several replies mentioned the problem with vol crush after earnings. Let's say you know the direction, and that the move will be 5-30%. What is the most optimal option spread or strategy to profit from this?
  2. OTM flies or calendars.
  3. It depends on what the options are implying. If the move is 5% and options are implying 30 then you sell gamma. if the move is 30% and options are implying 5% then you buy gamma.
  4. Actually if IV collapsed significantly after earnings an outright purchase of a call/put might make the most sense.
  5. Attempt to profit from the vol "pump up" before the number. :cool: