Leaderboard

we did IBM with options expiring before earnings and GOOG with the short AND long leg AFTER earnings. Both made money, GOOG despite a 4-5% move IBM was between the strikes all the time. Looks like the GOOG style trade is more resilient to moves but depends on the 2w/monthly option to gain more (or lose less) than the weekly option. So we back test for that and pick names that were previously bad candidates for our long straddle strategies as they lost more in decays than IV rose. The IBM style trade is more expensive (in terms of premium) and as the market prices in that there are earnings in the long leg and no earnings in the short leg you depend on the stock not to move - so this is more like a classical calendar maybe with some support from rising IV due to earnings on the long leg.