Does anyone put on any non-directional (in terms of price) short vol plays before earnings release sucn as but not limited to short strangles? Sometimes before earnings calls the volatility on some options gets pretty out of whack, so much so that they're pricing in price moves in the underlying of 30%+. Has anyone had any experience selling these types of options? Something tells me that if an option is being priced like that it's being priced for a reason. Ik
Ever since the introduction of Reg FD horizontal volatility skew between front and back month expirations has increased markedly as stocks approach their earnings reporting dates. This provides many opportunities to set up calendar spreads with great risk/reward attributes.