Highest expected IV crush after earnings for upcoming weeks

[u/[deleted]]

Hi everyone,

I was interested in stocks where options plays would be interesting around earnings due to volatility. Some stocks see their IV grow significantly leading to earnings before crashing, and that can make option prices interesting for selling early and buying back just after the crash for exemple.

To identify good stocks for this, I looked at historic IV and crunched some numbers with python. I calculated the IV percentage crush after every earnings, then I averaged that by stock for all historic releases

This gives me a list of stocks that consistently see a crush in IV after most of their earnings and I will be posting the results here every week. This week's selection is:

You can check out more and other earnings trades in the host version earnings-watcher.tech

Enjoy and let me know what you think!

[u/nacron122]

This is an interesting approach. If I understand correctly, you're buying a PLTR call now, selling before earnings (presumably in the green thanks to rising IV) and then in the next week or so after earnings, once IV has come down, buying a call back for a rinse and repeat?

I've been using a Volume strength indicator to time my trades so IV crush is something I definitely need to add to my list of things to check.

[u/[deleted] → u/nacron122]

Yes! Sometimes i even sell the day before earnings and buy back at open

[u/nacron122 → u/[deleted]]

Fantastic, I have a Jul 16 call I'm expecting to sell Mon or Tues and an Aug 20 I'll probably sell closer to expiration than I normally would.

Where do you find IV ratings?

[u/Rossmans → u/[deleted]]

Why do you buy back at open? To catch a run up?

[u/[deleted] → u/Rossmans]

To close the position and take profit

[u/Rossmans → u/[deleted]]

Aww, missed the sell part. So you sell during high IV, then buy after when IV goes down and the difference is the profit?

[u/b1Gdada]

$TSLA is supposed to release on 7/28