Netflix reports earnings tomorrow and we all know how NFLX has performed so far this year. You can hear both sides arguing strongly about this name especially as we get closer to earnings release event. On a similar thought process, there are traders who lean on selling premium or buying premium for earnings reports. Basically one is betting it will move more than anticipated and other side simply stating that it will move less than anticipated-pocketing the options premium built into options prices. Some historical perspective before we dig further (data for the last 12 qtrs) Historical straddle prices : 16.5% ( Range : 12.4 % to 20.5%) Historical underlying Move : 18.36% ( Range : 4.4% to 42.2%) Straddle Prices in Std Dev : 7.0 ( Range : 4.6 to 8.95) Now letâs look at where do we currently stand Straddle Price : 11.65% Straddle Price in STD DEV: 4.2 Presently if one looks the current straddle prices it seems they are at the lowest ever in last 12 qtrs. One can make an argument they are cheapest ever so premium buying makes more sense especially after the explosive move we witnessed in GOOG last week , Other side can argue - its priced cheap for a reason - identifying premium selling as trade. Vol crush is the biggest risk to a premium buyer which works in favor of premium seller. It is worth considering how much vol crush is expected after the earnings are released Oct Weekly 69.67 Nov WKLy 1 68.22 Nov 21.63 Dec 12.5 Jan 8.3 As I looked across the tenor, Jan options got my attention. They are currently priced at 47.36 IV levels, which is the lowest level for 90 day options right before earnings release. Vol crush of 8.3 points brings IV level to lowest in last 4 years as well as realized vol (90 day). Average realized vol in this name for a 90 day period is close 64%. Additionally, movements in NFLX on earning release and days after earnings release have made premium buying profitable except for last July. My trade thesis for being long gamma and independent of directional move is based on multiple reasons. No one argues the fact that it a highly expensive stock from and is priced for perfection. If it is able to maintain marketâs growth expectations, momentum can push this stock to unprecedented levels. If there is miss in growth expectations , market will re-price it and investors who have enjoyed the rally so far will like to push their profits which it-self can lead to a downward spiral- increase in short interest which will put a bid to IV in option prices.