EARNINGS:
Only one underlying makes my cut for a earnings announcement volatility contraction play: GPS (25/70/14.9%),* which announces on Tuesday after market close, so look to put on a play in the waning hours of Tuesday's session.
To me, it's small enough to short straddle, with the pictured setup paying 3.72 (.93 at 25% max). Alternatively, go short...
8/25 bar broke out the trend channel line forming from 7/8 and 7/26 high and 8/26 was reversal bear bar. put the short stop entry right below 8/26 low. the stop loss is right above 8/26 high.
... for a 2.49 credit.
Metrics:
Max Profit: $249/contract
Max Loss: $251/contract
Break Evens: 14.51/19.49
Delta/Theta (Currently): -8.91/3.12
Notes: Couldn't post this yesterday due to the number of "Update" posts I did ... .
High implied at 87.5% with earnings to be announced today after the close. A classic risk one to make one iron fly which I'll look to...
Gap inc long into earnings, the commentary could move the stock more than results.
Stock has a high 17% short interest
Gap fill at $20.50 a possible target
