Any way to trade forward vol through earnings

[tooriginal]

Check out CRWD 1 week forward vol at 32%.

Realized 7 day (about 7 trading days between now and Sept 8th expiry) is almost never below 32%:

Outside of earnings a calendar spread would be a no-brainer. But earnings adds too much volatility to the returns.

Here is a very convoluted attempt to position through earnings. Transaction costs make it impractical:

My thinking is to have approximately zero gamma post IV reversion.

How would you position here?

 

[OptionsOptionsOptions]

I assume most people sell options "to trade forward vol through earnings".

 

[jfttoots]

@tooriginal did you find out an answer to your question?
Despite the trading costs, your "convoluted" setup is nice and wide.

BTW what is that "console 1/a" software? Is it a script that calcs forward vols?

 

[tooriginal]

I believe the market was right to discount vol over the period right after earnings:

 

[destriero]

I believe the market was right to discount vol over the period right after earnings:
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Well, ofc.

 

[Slow Learning Elf]

I assume most people sell options "to trade forward vol through earnings".

Strangle vs strangle is the most straightforward way to do that, just pick the right ratio.

 

[Quanto]

Strangle vs strangle is the most straightforward way to do that, just pick the right ratio.

What do you mean by "Strangle vs. stramgle"?

 

[tooriginal]

Well, ofc.

META looks like an example with post earnings vol at least as high as the period leading up to it as opposed to CRWD. 40 cycles not "all cycles" lol.

 

[Quanto]

META looks like an example with post earnings vol at least as high as the period leading up to it as opposed to CRWD. 40 cycles not "all cycles" lol.
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Same please also for daily Call options ATM IV and Put options ATM IV, or the avg from both.