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I did a RC. Mar/June 55's. Will let you know tomorrow how it went.

On TOS, you can change IV as you wish for each month. Click on the wrench at the bottom of the screen, where you see the positions, then click on "More".

I agree with you, except that I don't think Vega is accurate just before earnings. Remember: Vega does not know that today is earnings. Yes, vega is always higher for back months because premium is higher. But just before earnings, there is a lot of "demand" for front month options, so premiums...

I don't know why TOS is flawed but this is very frustrating. Maybe someone here knows. My guess is that they use Vega for their calculation but just before earnings this does not work. I don't know. Tried to start a thread about it here but no one responded. Maybe you should send TOS a message...

OK, let's see what happens to volatility in back month/front month. My first guess would be that front and back would adjust to around 40%, which would not be good for the trade as front month would lose more, but let's see. I was looking at put backratio because I have a bearish bias. Problem...

SO, on this CROX trade, you are assuming that Apr's will suffer more from IV fall, than Mar's, right? Let's see what happens as it was not the case in the NTRI and the CMG. Did you look at RC and backspread ratio as well for this trade?

A couple comments: - On the simulation you sent from TOS for CRM, the date is 02/19. You need to change that. - About the short/long straddle: I think this would work in a "quiet" environment. But remember thaty it looks like before earnings front months are inflated more than back months...

Here is a simulation one week before expiration, and one with IV +30%. Not a good trade, if you ask me, especially if you expect volatility to increase. Anyway, if I can be brutally honest, these kind of spreads have very lillte advantages in this kind of situation. It is not because it is more...

You are looking at March expiration right? This trade is not profitable at $95. Or at $85 in fact, especially if IV goes up. What is your bias about AAPL until March? What are you expecting/ not expecting?

I agree with your points, but I think the issue is with the way risk/reward is changed during earnings. In #2, even if it is a short vega position (in your calculator), you might lose money from IV crush because front month is inflated and I think vega is not accurate.

You can still do the trade on GOOG now, but at $470, as this is apparently where they are going to pin it.

It seems that, especially around earnings, vega calculations are way off. We have noticed (see "BIDU's earnings" thread), that even if vega is higher for back months than front months (as it should be as they have more premium left in them), IV in the front months is the one that crashes the...

AAPl: premiums too low. I passed on the GOOG trade so far anyway, too far from $460. I might consider it later on, maybe with a ratio to bring the breakeven point closer to $465. Anyway, I looked at your suggestion of the straddle+RC. It's looking real good on simulation. But again, it would...

You make some really good points. I like your idea, I will look into it. My thoughts about front months getting crushed more than back month: even if Vega is smaller, there is more premium in the front month because there are in high demand ahead of earnings. What do you think? This is why might...

Ok, maybe I am thinking too much here. But what about this trade: - Buy 10 Mar/Feb calendar for 0.85 debit. - Sell 50 Mar /June calendar for 1.80 credit. I know, 10 of the Mar are sold and bought, but it is easier to look at it this way. Looks like the only way you would lose on this...

Looking at either selling a horizontal or buying a credit ratio backspread.

One last question, from anyone here who can help: I thought back month were more affected by IV. In fact Vega was much higher on June than on Feb. I think it was 7 or 8 yesterday. Then why is it that the Feb's are the ones that got crushed more?

Well, my Mar/June 40's did ok, because there were more in the money. WHy does it make a difference? When they are more in the money, back months suffer more from IV crush?

On BIDU, IV on the Feb 115's dropped from 112% to 76%. You are saying that IV drops more on the way down than on the way up even in these kind of situations? Because of fear? If that is the case, it might be good to create short horizontal spreads with a bias to the upside (maybe with ratio or...

Thanks for sharing. Will analyze all this later today. I am up $1,200 on the 20 spread on NTRI (Mar/June). Does not look like IV dropped that much. It is now 55% on the Mar's and 48% on the Jun's. Yesterday it was 65% and 54%. The Feb's $45 were 119% and now 83%.