In the past 12 earnings reports, the maximum fluctuation range has been 12%.
The IV (Implied Volatility) of $Tesla Motors(TSLA)$ ATM (At-The-Money) options is 112%, and the expected move on the earnings day is approximately 29.71, which translates to a range of $221.80 to $281.22.
The best strategy for earnings season is to sell a strangle to short volatility.
The safe range for this strategy is to sell a put at prices below $220 and sell a call at prices above $280. Positions can be closed after the earnings report because IV tends to drop significantly after the report.
Currently, the Open Interest (OI) for Tesla at the 265 strike has over 40,000 contracts.
过去12个财报日最大波动12%。Tesla ATM 期权的IV是112%，财报日当天tesla Expected Move≈29.71。也就是$221.80 to $281.22.
最适合财报季的策略是sell strangle，做空波动率。安全范围为 sell put 220以下的价格，sell call 280以上的价格。在财报后可以平仓，因为财报结束后iv会大幅下降。
目前TESLA OI 看 265的 OI 有超过4万张。
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- happygo·07-24Awesome strategyLikeReport