From the other thread where several replies mentioned the problem with vol crush after earnings. Let's say you know the direction, and that the move will be 5-30%. What is the most optimal option spread or strategy to profit from this?
Best option strategy for after earnings
- Thread starter Ghost of Cutten
- Start date
OTM flies or calendars.
It depends on what the options are implying. If the move is 5% and options are implying 30 then you sell gamma. if the move is 30% and options are implying 5% then you buy gamma.
Actually if IV collapsed significantly after earnings an outright purchase of a call/put might make the most sense.
