Generally, I'm looking for underlyings whose implied is above the 70th percentile for the past 52 weeks and that have background implied of greater than 50% to play for a contraction in immediately following the announcement, with the go-to strategies being short strangles or iron condors.
Currently, there are four underlyings with good liquidity options that announce next week and whose is above the 60th percentile for the preceding 52 weeks: IBM , NFLX , UA , and EBAY . I'm screening for >60 implied rank at this point, since in these could still ramp up to my >70%, meaning that they might be worth keeping an eye on.
IBM -- Announces 10/17 after market close. The implied rank is now in the 85th percentile. Unfortunately, the background implied is far from being up to snuff at this point for me (28.3%).
NFLX -- Announces 10/17 after market close. Implied vol rank: 64th percentile; implied 56.6%. It's very nearly "there". Hopefully implied pops a little more right before .
UA -- Announces 10/17 after market close. Rank: 62; implied vol 41.7%. Needs more.
EBAY -- Announces 10/19 after market close. Rank: 93; implied vol 41.6%. Needs more.
After I look at implied percentile and the background implied , I look at what I can get out of a setup. Generally, I'm shooting for a 1.00 credit for either a short strangle or iron condor, since I look to take these off at 50% max profit (i.e., a .50 ($50)/contract profit). Alternatively, I look at whether a short straddle or iron fly would make sense if the underlying is just too cheap to yield a decent enough credit. With short straddles/iron flies, I generally look to get 2.00 in credit at the outset, since I tend to manage those at 25% max.