So I didn’t play ROKU and it was for one specific reason. There was almost no OI on calls. It heavily favored puts.
We need equal OI on calls and the puts side. On Thursday when I was looking at plays, the clear play was HOOD.
P.s. I only pick one earnings play a day based on highest OI and volume.
HOOD had a LOADED chain on calls and puts.
This is why I’m interested in PFE tomorrow.
This is also the same reason why I didn’t play AMZN last week.
Following this. Super helpful and great strategy. Thanks!
Whether they have OI or not the skew tends to have the puts at substantially higher IV regardless though.
Is there a theory behind why you need high OI? I would think just day-of volume matters since you want liquidity for the trade. Though OI and volume do tend to be correlated.
I also tried this last week on a few different names and it does seem to be pretty solid, but I did also have a few losers so I’m trying to refine the idea a bit.
I’d guess this strictly boils down to the sentiment. There are tons of companies who most know will hit their EPS. And the same goes for ones that won’t. ROKU everyone expected it to be shit after Netflix. So the put IV was high. AAPL most thought would beat and i had a few calls that I sold day of for pretty strong gains. That’s why I think the strangle is such a good play both sides IV increases and if underlying moves it just solidifies your gains to one side
Hmmm, I’m not entirely sure. I’ll be honest I’m quite new to this play. I studied it the week before, read a research paper about how strangles are generally profitable leading up to earnings, and then gave it a go last week.
Every play I went with tickers that had equal OI and high volume on the strikes and they performed extremely well.
All 5/5 plays hit. Every play had high OI on call and put side on the OTM strikes. This also leads to tight spreads. As I recall ROKU spreads were terrible.
Agreed. As long as your spread is delta neutral, you won’t lose money except to theta. But as I’ve seen, IV GREATLY overpowers any theta. Especially on the plays early in the week.
Good point, the high OI ones do tend to lead to narrower spreads, that’s pretty important especially if you’re trying to put on size on this trade.
I also would like to point out an anomaly from my plays last week. It was UPS.
As I said, every other play experienced a large IV drop at open, which is where you’d want to enter of course.
See here below, UPS just went straight up. Within 20 minutes puts were up 60%, and calls were up 40%.
This is just for additional info. As I said this only happened once, but it might be beneficial to add 20% of the position at open. If we get the IV drop (most likely) I’ll add the other 80%.
I want to try your strangle strategy but not sure what you mean by terrible spread. If two OTM strikes have similar delta, do you want them to have the same OI? Would you play with a 10k OI call and 2k OI put if the delta is neutral?
No not necessarily. What I want is good OI. I want to see people buying calls and puts.
For instance on ROKU puts had like 6000 OI, the call with the same delta? Like 200… this is not good.
Now for PFE tomorrow we can see that OTM strikes have great OI on the put and call side.
What we need to do is wait till tomorrow morning, and pick the best strikes possible.
This means: as equal delta as possible on the call and put and high OI. We want to be buying what EVERYONE else is buying.
The reality is that 95% of people hold through earnings. Just look at OI the day after earnings release… it’s usually higher than the day before.
As I said I will post exactly which strikes I’m taking tomorrow morning with deltas, OI, etc
Edit: OI doesn’t have to be the same. For instance PFE the put strike im looking at has 9000 OI, the call strike has 4000 OI. This is good.
I’m talking about massive discrepancies, like how I mentioned ROKU above.
I’d start with a small position and see how it goes!
I love that this is picking up real well.
Since you’ve only been on this strat for a short while, kindly post screenshots of your Percentage Gains from those tickers you mentioned above:
More eyes will follow this now, so it will add to your rep when they see recorded % from your account, as I do mine.
No need for the $ values, % will suffice the readers.
Will do homie! I’ll be able to post the gains tomorrow AM or after close. Girlfriend wants to watch a movie and for me to get off my computer 
see you guys in the morning let’s get it this week!
do you buy your strangles the day of the earnings or a few days before?
Always the day of. I watch the IV indicator carefully for the first 5 minutes and then make my entries.
Sell within the last 10-5 mins before market close.
Sometimes I cut half if the profits come fast, I did this for SNAP and UPS.
This is great stuff, @Ryndir ! Will try to emulate sometime this week.
Morning all! These are the strikes I am taking for today’s earnings plays.
PFE
43.5P Delta of -0.073, 9130 OI
53C Delta of -0.058, 4312 OI
These aren’t exactly delta neutral, but i’ve been watching them all morning and they are getting very close.
MOS
Took a closer look at MOS, and i’m going to do a smaller position here. OI isn’t crazy but IV is historically high on MOS.
50P Delta of -0.045 593 OI
74C Delta of 0.059 695 OI
Spreads aren’t the best so do not slap the ask at open. If you have the TOS app to watch IV, that’s great. I’ll post a picture when I see the IV drop and make entrys. Good luck all today.
Do you also average down on this kind of play or just buy and hold after the IV dip?
Following this thread/play as I’m already in PFE, but more cause this is also exactly the kind of the thing I’ve been wanting to get into. For a brief second, the Delta on the 43.5p/53c strangle was exactly 0, that’s what we want to try and catch, right?
Absolutely! Sometimes IV will drop further in the morning, but always picks up in the last 90 minutes. I’ve had two entrys on PFE this morning.
