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"Calendar Spread"
See this post for my previous insight on this trade. Below is the timestamped tweet of the position I entered for as an earnings trade for BIDU:
April Weekly/May 120/125 Put Diagonal ($0.53), 145/150 Call Diagonal ($0.69), and 135 Call Calendar ($1.95) at a total price of $3.17 per position. [...]
The basic idea of the event-driven volatility trading strategy highlighted here is to profit from the pre-earnings run-up of IV and post-earnings volatility crush. With an unclear sense of post-earnings price movement, the idea here is to structure a delta-neutral spread that can benefit from the post-earnings volatility crush.
First, the frequency distribution of the [...]
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