Short Straddles - Exploit Earnings Option Volatility Crush

Short Straddles - Exploit Earnings Option Volatility Crush

Should we call this trade Priceline Earnings Explosion or Volatility Implosion. Splice and dice it any way you want, there is no doubt this trade is on Steroids. The trade takes advantage of a very specific Volatility Arbitrage situation noticed in Priceline on the day it was reporting earnings. This was a case of mispricing Implied Volatility on the next Option series. A fairly complex Short Straddle strategy, that worked like a gem. Only because the analysis leading up to the trade was Spot On the mark. Believe it or not, this sort of opportunities come up all the time during Earnings reports season. Once you learn this strategy and approach well, you can create very nice 1-day trades based on the Volatility Crush

Short Straddle Earnings trade on Priceline PCLN. Proper analysis identifies excellent Volatility arbitrage opportunities

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What you will learn

• How to Exploit Implied Volatility behavior during the Earnings Cycle
• Understand the Risks and Rewards of Naked Option spread selling
• Learn to provide the appropriate safety mechanisms in such a trade

Rating: 4

Level: Expert Level

Duration: 39 mins

Instructor: Hari Swaminathan