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Hey Everyone, I just signed up for Volatility HQ to run some data on something I've been doing on my own and the reason I came to this service. I will use the stock KR to explain what I'm saying (by the way it also seems to be the best fit for my theory based on a quick search). What I understand the theory of the hedged straddle to be is to set a long straddle on the lowest possible RV decliners to get the cheapest possible chance at gamma gains. I have been trading something similar for a while now but using longer term options that have less time decay as well as less IV % bump. Now that I've signed up for Vol HQ I can compare both options directly. Here is a chart for the straddle RV with the first expiration after earnings as well as a chart with a long straddle with the expiration 100+ days after earnings. The first chart with the short term options has the RV decline from 9.1% to 6.8%, thus needing a gamma move or a strong hedge to counter this decline if the stock stays put. But the second chart with the long term options of 100+ days starts at 17.8% RV and ends in 30 days at 18.3% RV. Is this not free exposure to gamma? (NOTE: being new to Volatility HQ I could not figure out how to turn off the short strangle hedge in the Advanced Options area so they may be skewing results, but when I adjusted the short strangle % nothing changed)

I'm looking at the Nov 23 ATM ($36) straddle right now, and the bid ask is $3.25/$3.60 which seems illiquid to me. But, if you could easily bid $3.30 and get filled, that would be ok. With a spread (bid/ask) this wide, I wouldn't feel comfortable paying the mid point as the trade already has enough risk built into it to add possibly .25 cents getting in, and maybe the same getting out. And that's assuming you can even easily get filled at the mid point. Win or lose, I feel like you are giving up way too much before the trade even plays itself out. But, I haven't done this trade so I'm just viewing it from the sidelines. If you have been profiting then that's great. It seems to me that the best chances are with using options that have 2-5 days left on them, because they seem to be the most liquid, and have the most gamma,....like when you did the the Nov 16 options. Also, you would need to be very strict about only holding for 1-2 days at most, maybe even only a 1 day shot, which is why it is SO important to not give up any additional money in the slippage.