u/GammaReaper_

Me - gonna play but it's close. Gonna be long defined risk IC 2DTE.

Reasons

1. IV 3 pts cheap vs current IV less Vol crush
2. VRP is -1.9%, 25th percentile
3. Risky part - NVDA doesn't have a great track record surprise earnings/post EA moves. But when it moves, it moves.

But, with IV cheap and a nicely constructed, reward/risk IC (taking advantage of the vol surface), I'm in. Not for a lot - just 1% of my net assets.

Any one else long gamma on $NVDA or just the normal short sellers out there??

https://preview.redd.it/j3q2w0gjlc2h1.png?width=1345&format=png&auto=webp&s=e78f7417b53239afde15bc9041a8632581334c41

Yesterday I posted my thesis for going long vol into $PLTR EA.

https://www.reddit.com/r/options/comments/1t4135r/palantir_pltr_earnings_vol_setup_are_traders/

It was a tough call to put it on due to the large move - combined with a massive Vol Crush - required to make money. However I structured high reward/risk IC so took the leap.

The company beat and had a slight pop after the bell. The price started to fade and of 2-3 points off the close, with my IC not even close to being ITM.

However, in nearly all EA situations, the post-announcement, pre-opening bell trading is not indicative of post-opening trading. My steadfast rule for EA trades is to ALWAYS wait until 9:45 -10 am before closing out. The first 15 min after the open is characterized by wide b/a spreads and lots of zigging and zagging.

BY 9:45/10, price discover has settled in with tighter b/a spreads.

Today was a perfect example. After the opening bell, $PLTR immediately dropped another 2 points vs pre-opening to ~$140. It bounced a bit around 9:45 to ~$1.43 then traded lower 5 points, modestly below my long put strike. Not one to be greedy, at 10 am I exited at $1.11, down $0.22 from my opening price (-16%). It was a loser, but I saved at least $0.10 - $0.20 by biding my time and waiting to 10am rather than trying to trade immediately at the open.

More earnings trades on tap for today $AMD and $MSTR are always fun ones!

https://preview.redd.it/jj06e0o3wbzg1.png?width=1335&format=png&auto=webp&s=26bd371544cd95ec95ca931eedf80a380a082d14

Here's my setup:

PLTR Current Price $145.60

ATM Straddle Cost $14.20 PLTR
Breakeven Low @ Expiration $131.40 -9.8%
Breakeven High @ Expiration $159.80 +9.8%

Implied Vol 14% Expected Vol Full Crush (vol points) 65 (simple calc using 4DTE and 11DTE straddles)

Delta $0.98
Gamma $4.52
Vega $12.20
Theta $-176.10

Post earnings median opening gap +/-12% with a 12.2% standard deviation.
68% CI move = +/-24.2%.

Full vol crush = -5.4% of stock price.
Crush adjusted move +/-18.8%.

Implied move +/-9.8% - vs 18.8% - vol looks CHEAP!

However, it's PLTR - and therefore a tough call. On paper, the straddle is cheap with implied nearly half of the crush-adjusted historical move. But $14.20, +/-10% move is still a big number to overcome, and PLTR has a habit big moves or not so big moves (see chart below).

Conclusion: Vol is just too cheap to sit on my hands completely, so I'm willing to take a shot.

Lot's of ways to play this - my go to is defined risk (IC non-directional) rather than simply long straddle/strangle.

As always, the overnight move post EA is something I ignore, as the real price discovery occurs after the open in the morning. Until then, I'll be watching but not getting excited one way or another.

Update in the am after the open!

https://preview.redd.it/vn5aiiee18zg1.png?width=1345&format=png&auto=webp&s=ae7d39d3da86369777faea6a2dbf6e9e01572c51

$HOOD gapped hard lower overnight — $82.07 close to ~$72 at the open. During the 9:30 - 10am price discorvery, the price flailed around a bit, trading in a 2 pt range ~$71.5 - $73.5, before settling ~$71.6 a 10. . That's a 10.5-point move (-12.8%).

The 5/1/26 83 straddle could have been closed ~$10.23 with cost basis of $7.65. Closing IV ~82% vs opening 120%. In hindsight, the trade prints +$2.58 (+34%). But here's the thing: we made the right call sitting it out.

Going in, the EV wasn't there. While IV was under-priced, the required move was just beyond historical averages, so the proper decision was to sit this one out.

This is my trading discipline - run the analysis, analyze the results, trade accordingly, never deviate. The outcomes might be wrong sometimes, but the decision is always right. That's my edge.

Big tech earnings this afternoon. Plenty of opportunities coming. Let's go Reap them!

Passed on the straddle pre-earnings. Stock gapping -9.1% overnight to my low breakeven. But overnight moves don't always pan out at the open.

Will wait until 10 AM tomorrow to see what actually happens when price discovery settles. That's when Vol Crush starts to set in and we know if the directional move sticks or fills back in.

We'll know the final outcome in the morning. Standing by!

Here's my set up:

ATM Straddle Cost $7.65
HOOD Breakeven Low @ Expiration $76.35 -9.1%
HOOD Current Price $84
HOOD Breakeven High @ Expiration $91.65 +9.1%

Implied Vol 128%

Expected Vol Full Crush (vol points) 61.9

Delta $-1.48
Gamma $8.41
Vega $5.95
Theta $126.20

Post earnings expected range +/-15.8%.

Full vol crush = -4.4% of stock price.

Crush adjusted move +/-11.5%.

Implied move +/- 9.1% so options are cheap!

However, only 36% of last 11 EA opening gap exceeded implied move. When the stock moves, it moves. But when it doesn't it doesn't.

So tough decision to make on this one.

If full Crush occurs, expect to lose $3.70, or nearly 50% of the straddle price, so we'd need a big move to pay for it.

Conclusion: When in doubt - sit it out! There will be many more, more favorable set-ups before the earnings season is over.

https://preview.redd.it/2a5thpvffzxg1.png?width=1346&format=png&auto=webp&s=30e492958324e3a33df6a810d2c15207624b1e90