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With long straddle, you are racing against time, also you are betting IV going up, at least won't drop because it is a long vega and short theta play. See attached chart, for Oct spy long straddle in the chart, with each day passing, you are losing $11.46, you need spy to go up 1.6% or down...

From tracking all my earning trades. For the past five years, I have kept a trading journal. Now I used google calendar to track all my trades, see attached for a image of the journal, 'tt' after ticker means real trade.

I guess you still didn't bother to look at the chart I posted, where does the short vega come from ?

Please see attached image, it is a long Vega and long Theta play. Even you set IV ratio to 3 ( which I think cover 50% of cases ), the combined IVs after ER is still increasing not decreasing. Also don't confuse Vega with IVs. Vega tells you how much you gain or loss from now on for each %...

Yes, and with higer strike. You need liquid options to trade CRB. We only choose the most volatile stocks to trade. I remeber the day when FLSR's front month IV dropped from 270% to120%, back month IV drop from 180% to 110% while far back month IVs barely budge.

Mark, The strategy is a long Vega, long theta play, but it does not mean any drop in the back month will hurt the position as long as the front month IV drops more, see below ?, the combined IV is gaining and it is only based on ratio 3. I have seen several cases where front month IV...

Image for after ER

You can specify different IVs for each leg before ER, the IVs for each leg depends on the ratio you set. See attached two images, one is for before ER, one for after. Note the changes in the Impl. volatility columns.

Please see attached image.

For realtim quote, check CME at: http://equivalentswdc.cme.com:443/index_6C.html They cover all the active traded futures options. for charts, I use IB's

Well, we have been playing stock earning using options for several years now. We usually initiate a Calendar spread just before a company's earning release, around 3:45 to isolate any non earning related factors such as market move. The strategy we use often is Calendar ratio backspread...

Here is a sample image.

Check it out at http://www.TheOptionsLab.com It is totally free for individual use.

With so many stocks with options available, can't you use a better example to tell your case ? intc going to 90 ? Are we back to 90s ?

Why ? competition lessens ???

Make sure the settlement price is still 0.9300, which you will get 30 minutes after futures settles.

OK, let's use flsr as an example. The recent ER for fslr is July 30, so the next ER will be more likely around Oct 30, which means you won't see a IV jump for Oct series. Since Oct and Nov series are not listed yet, their IVs are unkown today, see below Aug 72% fact Sep 59% fact Oct 59%...

A little correction, in my 2nd post, the IVs for Sep and Oct calls are incorrect. They are not 27%, they should be 31% for Sep call and 32% for Oct call instead. The risk profile does not change. See attached image.

Note that on the expiration date, the chart will look almost the same. The example I gave shows a bullish position, you might also contract bearish positions with Calendar Ratio Backspread. The trick is you need keep tweeking the number of lots and different strikes in the options lab...

Here is what the Calendar Ratio Backspread looks like