Ok first of all I hope you guys all have a good laugh at my expense when I explain the predicament I got myself in. I am laughing at myself as well but just out of darn stubbornness I want to see a way out of this with paying as little learning money as required. Last week - following some books I had been reading and in the context of the low volatility environment we are in - I thought to do a small experiment regarding Vega, double calendars and earnings. The fundamental idea is simple: - running up to earnings the volatility of options goes up - this is a continual process but accelerates as of 7-10 days before the announcement; - it is frequent that stocks are kind of stable in their pricing as of a week or so before earnings as the market awaits the outcome; - a double calendar is vega positive - so increasing volatility benefits a double calendar; - double calendars have broad P&L (as long as IV doesn't collapse) and it seemed hard to lose one's shirt; - obviously you get out of the trade before the earnings announcement and for the rest you fix the trade as per your normal rules for Calendars if necessary. Now what I wondered was how differently options react if you do this with weekly options or on a stock that has just the regular monthly one. Back-testing is wonderful of course but as anyone will tell you nothing is more clarifying than doing things in real. So I looked on my Google Calendar which gives me all earnings announcements for stocks I have ever for whatever reason been interested in and as luck would have it there were two stocks that met my requirements with earnings next week: KR (which has weeklies) and JKS (which doesn't). Now I hear you cry, What is JKS? Yeah - errm - its the largest Chinese solar company which I have traded options on in the past. Mind you those were straight out - very profitable - bull plays with just a bunch of humble calls. The great solar boom got clouded at some point and I lost interest in them though they still show up on my screens because of history. In my defense I have to say I don't have any record in my journal of liquidity issues - I trade conservative volumes- on my calls in 2014/2015/. Mind you I never traded the earnings then either. Anyway - I set up the following trade on 28th of August: sell 8 C SEP17 26 @ 1.00$ buy 8 C OCT17 26 @ 1.90$ sell 8 P SEP17 23 @ 1.10$ buy 8 P OCT17 23 @ 1.95$ Net debit: $1400+80$ commissions The strikes were set taking into account implied volatility and SD with a margin of error and when I entered the trade there was certainly a bid/ask spread larger than on KR but nothing particularly shocking. I plunked in the middle prices and got filled relatively quickly. I admit I didn't check open interest... I projected what would happen in my options software and as long as volatility didn't plunge I wasn't risking much of a loss and possibly looked forward to a profit if volatility moved. Now darnit - the day after I opened my trade the stock started trending strongly in fact since Monday 8/28 its up 16%. Volatility also increased despite the rise which means that I wasn't totally wrong however with such a change the very basis of what I was trying to compare was being undermined. Now I didn't panic - in fact at current volatility I am hypothetically still in profit even. Also hypothetically though the put side doesn't fulfil its function any-more so it should be closed out or moved up and maybe the call side too. I looked to intervene as of Tuesday near closing time - that's when I noticed bid-ask spreads had suddenly widened considerably. I put it down to the jump of the day, the fact its a Chinese stock trading in big volumes in Asia (so US closing time is really deep night for them) and just generally that. Now before you rush to look at the closing prices and check the bid/ask spread - what your screens will show is NOTHING like what is quoted during the day. Yesterday the bid/ask on the OCT put at one point was 0.75/4.30 or something of that ilk. A trade flashed by of 1.10 but it never got quoted even though at that point I was trying all the time to get out of my position for prices reasonably close to theoretical values. I was doing all the logical things such as setting prices at reasonable levels compatible with the options pricing model (as calculated by my software) - I even went quite a bit beyond. Absolutely no joy - loads of volume appears offered but like I said the bid/ask spread is murder. I then did start checking open interest and realised that the options with the widest spreads were the ones that had open interest that amounted to anything. At the close bid/ask suddenly narrowed real fast but still beyond a reasonable trade - the SEP put stands at 0.35/0.75$. Now I have the impression the MM wants to take me beyond earnings on Thursday and pound me with the volatility crush but maybe that's just me feeling victimised. Things is I have the ground moving under my feet on this trade and though adjustments are perfectly possible to correct the positions I cannot execute them when bid/ask spreads are where they are. I tried a bunch of things yesterday but execution is really not taking place. So the question is what to do?