Playing the Short Side on SPX
After some research, I’m looking into doing stock earnings plays using options to try and capture some volatility premium. I intend on selling either a single name OTM put, straddle, or OTM strangle the evening before the earnings release so that I can capture the IV crush once earnings is released. The following stocks have earnings for this week, October 16, 2017:
I’ve also created the volatility distributions for the above stocks below:
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