Jeff Augen describes in his book http://www.amazon.com/Volatility-Edge-Options-Trading-Strategies/dp/0132354691 the following idea: Buy strangles on volatile stocks before earnings. The idea is to buy a strangle on stocks having a history of volatile post-earning moves few days before earnings and sell just before the earnings. IV is usually increases sharply before earnings for those stocks, and the increase should compensate the negative theta, at least partially, so even if the stock doesnât move the trade should be around breakeven or slightly profitable, worst case the loss should be limited to 15-20%. If the stock moves, the strangle can be sold for a profit, without waiting for the last day before earnings. Has anyone used this strategy?