So I'm trying to think of ways to profit from declining IV pre earnings. If I'm short a straddle, then the problem is IV will drop, but the underlying will move. Short Calendars solve the problem, but I'm long the front month, which is (-vega), so I may not get the profit I'm forecasting. What I was thinking, is two OTM butterflies. One OTM Call Fly One OTM Put Fly So for example, take FSLR, which has a high IV, whose earnings are due fairly soon. Spot is $109.60 I'm thinking: Long FEB10 70/90/110 Put Fly and Long FEB10 110/130/150 Call Fly Aside from high commissions and slippage, is this a bad strategy? I guess the risk is, if the underlying doesn't move post earnings, and IV drops.