Continental Resources (CLR) - Depressed Vol on Earnings Mover into Earnings Date

CLR is trading $80.98, up small with IV30™ down 0.8%. The LIVEVOL® Pro Summary is below.



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Continental Resources, Inc. is an independent crude oil and natural gas exploration and production company with operations in the North, South and East regions of the United States.

CLR caught my attention because the implied is depressed to my two favorite historical realized measures while earnings are due out right after Feb expiry. Let's start with the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



On the stock side, we can see nice run up of late from mid $40's to now over $80 in just ~four months. In that same time period, the implied has dipped from the mid 70%'s to the low 40%'s. As of this writing the implied is trading well below the HV20™ and HV180™. Specifically:

IV30™: 42.55
HV20™: 54.19
HV180™: 54.46

Looking back to the stock chart, we can see an over $8 pop on 1-25-2012.  Here's a news snippet from that day:

---
What: Shares of oil and natural gas exploration company Continental Resources (NYSE: CLR ) are gushing higher by 10% today following an update on the company's fourth-quarter output.

So what: The fourth quarter was kind to Continental. The company saw its production rate increase by 57% to 75,219 barrels of oil equivalent per day. It also increased its proven reserves by 39% to 508 million barrels of oil based on results from drilling in the Bakken shale region (of which it is the largest petroleum leaseholder) and in the Anadarko Woodford region in Oklahoma. The company also noted that it would hold off on drilling natural gas wells in the Bakken Shale region until at least 2014 because of the low price currently associated with the fuel. Continental's positive outlook also resulted in Standard & Poor's raising the company's debt level one notch to BB+.

Source: TheMotleyFool.com via Yahoo! finance -- Continental Resources Shares Popped: What You Need to Know, written by Sean Williams.
---

That's pretty good news, and the stock reaction has artificially elevated the HV20™ (and thus the implied looks depressed to that measure). Still, the 52 wk range in IV30™ is [33.74%, 74.54%], putting the current level in the 21st percentile (annual).

Let's turn to the Skew Tab.



There's actually not a whole lot going on here -- the skew shape is normal and all of the front three expiries show similar shapes. We can see that the ATM vol in Mar is elevated to the other months -- that's due to earnings which are due out on 2-22-2012.

Let's turn to the Options Tab.



We can see the ATM straddle in Mar is priced to ~43.50% which is just a touch above the IV30™. For the two days before earnings to the day after for the last two earnings cycles CLR has moved from $58.65 to $65.44 and from $65.38 to $54.20 for the Nov 2011 and Aug 2011 earnings reports, respectively. That's a mouth full -- the point being, the stock moved fairly substantially surrounding earnings the last two cycles.

This is trade analysis, not a recommendation.

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InterDigital (IDCC) - Elevated Vol Finally Lets Up; Vol Nears Annual Low After Stock Gap

IDCC is trading $36.45, up 1.1% with IV30™ down 2.9%. The LIVEVOL® Pro Summary is below.



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InterDigital, Inc. (InterDigital) is a holding company, and its various subsidiaries engage in technology research and development activities or in the prosecution, maintenance, enforcement, and licensing of patents.

This is a vol note on a stock I have written about a lot. I've included the links below -- the titles alone kinda tell the story:

11-28-2011: InterDigital (IDCC) - Elevated Vol... Again... Again...
11-7-2011: InterDigital (IDCC) - Elevated Risk, Calendar Vol Diff; Risk Building Again
7-12-2011: InterDigital (IDCC) - Elevated Vol to Wings in Front
7-19-2011: InterDigital (IDCC) - Elevated Vol Portended Company News

So basically, vol has been elevated and the stock has moved with enormous volatility. The 52 wk range in stock price is [$34.37, $82.14] and the 52 wk range in IV30™ is [39.03%, 139.61%]. The current IV30™ is in the 10th percentile (annual).

Let's turn to the Charts Tab (one year), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



On the stock side, we can see the tendency of the stock to gap -- both down and up. Sometimes it's earnings related, sometimes... it's not. This company, as the description reads, engages in "the prosecution, maintenance, enforcement, and licensing of patents." It's the valuation of its patent portfolio that has lead to many of the wild swings in the stock price.

The news from 1-24-2012 (the latest stock gap down) is... not good... here's a snippet:

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Shares of the technology license wrangler were set to open about 17% lower this morning. The company just told investors that its strategic review failed to scare up any buyers of its wireless patents over the past six months.

So there won't be a sudden gold rush; it's back to business as usual. Chairman Terry Clontz manages to put a positive spin on the failed sale, because it "helped to reaffirm our belief in the breadth and depth of the patent portfolio, the strength of the R&D team, and our technology vision for the future."

It's his job to stay positive, of course. The reality is a bit grimmer: The real gold-rush days of patent sales are now firmly behind us, and InterDigital missed the starting gun.

Source: TheMotleyFool.com via Yahoo! Finance -- Sorry, InterDigital -- You Missed the Starting Gun, written by By Anders Bylund (TMF Zahrim).
---

Yikes... It seems that both the stock gap down and the dropping vol make sense. This is a great example of how a stock can go down and vol may NOT go up.

Looking to the vol portion, we can see that the IV30™ has been dipping hard for the last several months and has continued that drop today.

Let's turn to the Skew Tab, below.



The most notable phenomenon I see is that IDCC exhibits an upward sloping skew to the OTM calls. That's not "normal" skew for the majority of stocks and reflects upside risk (potential) that's greater (more likely) than the downside, per the option market.

Finally, let's turn to the Options Tab, below.



The next earnings release seems to be scheduled for late Feb but outside Feb expiry. Having said that, the Mar options are priced just 0.6 vol points above Feb. All in all, IV30™ priced to the 10th percentile (annual) and dipping, and with earnings due out, seems... interesting.

This is trade analysis, not a recommendation.

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J.C. Penney Company (JCP) - Overhaul and EPS Guidance Push Stock and Vol; Skew Bends

JCP is trading $38.32, up 11.8% with IV30™ up 9.6% as of ~10:40am EST. The LIVEVOL® Pro Summary is below.



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J. C. Penney Company, Inc. (jcpenney) is a holding company. The Company is a retailer, operating 1,106 department stores in 49 states and Puerto Rico as of January 29, 2011.

The stock is popping based on a bunch of news. Here are some headlines, which actually suffice:

-- J.C. Penney jumps after saying 2012 EPS may beat at 2010 earnings
-- J.C. Penney unveils new prices, logo, store design
-- jcpenney Unveils Long Term Financial Outlook at Day Two of Launch Event in New York City

This overhaul ‘n stuff ‘n stuff has popped the stock near an annual high and has pushed the vol as well. Let’s turn to the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



On the vol side, we can see that while the implied has popped today, it’s still considerably below its recent highs in the last 6 months. In fact, the 52 wk range in IV30™ is [31.87%, 66.21%] – that puts the current level at the 29th percentile (annual). We can also see the stock pop today on the chart – this is a six month high. The 52 wk range in stock price is [$23.14, $40.23].

All of this is semi-interesting, but the attention grabbing phenomenon lies in the skew chart.



The skew in Feb has turned parabolic, with the upside skew bid to the news and the order flow. The next earnings release for JCP is 2-24-2012, which is after Feb expiry. That means the Mar options have an embedded vol event that Feb does not. Tricky…

The most obvious vol diff between the front two months is the upside. I’ve circled the divergence that has formed given that Feb has the parabolic shape, while Mar is “normal”, in that the upside skew is lower than the ATM..

Let’s turn to the Options Tab for completeness.



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. I can say that the ATM vols are ~44.2% and ~41.5% for Feb and Mar, respectively. But, looking at the upside skew, the vol difference increases rather substantially.

This is trade analysis, not a recommendation.

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Understanding Option Skew -- What it is and Why it Exists

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I've had requests for a few articles on basic and advanced option theory. Let's start with my favorite part of option pricing, the volatility skew.

What Does Skew Mean?
Volatility is often discussed as a single number. In the real world, the volatility of each strike price and in each month is different than the neighboring one. Skew is simply the volatility curve formed by plotting the individual volatilities of each strike. The shape of this curve is often referred to as the volatility “smile” or “smirk.”

Normal Skew Shape
Normally the skew forms a downward smile (or smirk) -- lower strikes have higher volatility than higher strikes. I’ve included a skew chart for IBM Jan 2012 options on 2-14-2011 below.



We can see the lower strike prices (OTM puts) have higher volatility than the ATM options and the OTM calls. This volatility smile shape exists for two reasons:

First, because of a basic real-life principle about the investing world: The vast majority of the equity positions are long. This is driven by rules that govern pension funds, mutual funds, 401(K)s, and the retail public, as well as a general phenomenon that investors prefer to own securities in the expectation that they will rise in price rather than sell them in the expectation that they will decline. These realities have a direct impact on options prices (and therefore volatilities).

A long investor makes two general options trades to hedge his or her long stock. The first is to purchase downside puts as insurance against a portfolio drop. This increases the demand for downside puts. Like all free-market prices, increases in demand create increases in price. Ceteris paribus, the only way to make an option more expensive is to raise the volatility.

The second hedging trade is to sell calls against long stock (covered calls). This acts both as an income-generating strategy and as a hedge for downside moves. Call sellers imply a decrease in demand for upside calls. This decreased demand lowers prices (volatility).

The second reason a volatility skew exists is that the market moves down faster than it moves up. Historically, bear markets are much more abrupt and realize outlying returns faster than bull markets. The more expensive OTM puts compared to OTM calls is simply a reflection by the options market that downside risk is greater than upside risk.

On a side note: Remember that the stock market doesn't create new rules, it simply reflects the rules of the universe. Our universe imposes on us the reality that creation takes longer than destruction -- so bear markets (destruction of wealth) are faster and more abrupt than bull markets (creation of wealth) and option skew reflects that reality... I got too esoteric right there, didn't I?...

Stock Price and Volatility Movement
Normally, when stocks go down, vol goes up because investors that are long stock buy puts for protection which creates greater demand for options.

Alternatively, when stocks move up, vol goes down because investors that are long stock sell OTM calls for income which creates less demand for options.

Abnormal Skew
For certain types of companies, the demand for upside calls is so great that the skew (vol) bends up for OTM calls as well -- this can either be speculative call buying (like a takeover rumor or earnings speculation) or a company where the upside risk is perceived to be as great as the downside (like Solar companies and Bio-techs).

Yahoo! is a company that has been a speculative favorite of late for a possible buyout. I’ve included the YHOO skew chart for the April 2011 options below.



Note how the skew for YHOO is parabolic. The downside bends up due to the phenomena presented prior. The upside skew bends up due to the order flow, which is pre-dominantly speculative call buying on takeover rumors.

For the naturally curious reader, solar companies and bio-techs can be great examples of the second type of company -- those that exhibit an upside skew shape (the market reflects as much upside risk as downside).

Now that we have an understanding of skew, we can move to the next article which describes how to use skew to trade options.

Next article: Trading Option Skew

This is trade analysis, not a recommendation.

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Acme Packet (APKT) - The Effect of a Pre-announcement on Earnings Vol

APKT is trading $30.36, down 3.2% with IV30™ unched. The LIVEVOL® Pro Summary is below.



Acme Packet, Inc. is a provider in session border control solutions, which enable the delivery interactive communications, such as voice, video and multimedia sessions, and data services across Internet protocol (IP), network borders.

Whoa, whoa, whoa.  I thought they made rockets for Wile E. Coyote?...

This is a vol note -- specifically to examine how the options market reacts when an earnings date approaches following a downward revision from the company just a few weeks prior. Let's start with the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



We can see the stock drop in early Jan. Here's a news snippet on that day:

---
Acme Packet, Inc. : Acme Packet reduced guidance, with 2011 revenue of $308 million - $310 million against consensus of $318 million. EPS are brought down to $1.03-$1.05 against consensus of $1.14. Shares were down -19.21%.

Source: WALL ST. CHEAT SHEET via Yahoo! finance, Acme Packet and National Instruments Among Biggest Stock Percentage Losers
---

The 52 wk range in APKT stock price is [$25.20, $84.50]. That stock drop is reflected in the HV20™ -- specifically a spike. Before that move, HV20™ was 54.44% and it's now 88.52%. With that move in HV20™, the implied is now trading below both of the historical realized measures. Specifically:

IV30™: 64.04%
HV20™: 88.52%
HV180™: 78.00%

The 52 wk range in IV30™ is [45.56%, 94.92%]. So, the current level is in the 36th percentile. All of this is in the context of the actual earnings report due out on 2-2-2012. But, it does make sense that vol could be less elevated than normal once a piece of the earnings puzzle has been revealed. Tricky...

It's a fair question to ask how much the pre-announcement has reduced risk (vol), if at all. I've included the IV30&#8482 on the day of earnings for the last four earnings cycles, below:

2011-10-20: 77.41%
2011-07-21: 70.14%
2011-04-26: 66.26%
2011-02-01: 76.9%
Mean: 72.68%
Median: 73.52%

With the current IV30&#8482 at 64.06%. But, keep in mind that IV30&#8482 should still rise as that single event approaches (i.e it should be at its highest level on 2-1-2012). The vol almost looks unaffected in that context.

Let's turn to the Skew Tab.



We can see the front month (with earnings) is elevated to the back months. So, while the overall vol level is near the lower third (for the year) and is depressed to the HV180™ and the "artificially" elevated HV20™, the front is still elevated to the back. In English, the back months are even more depressed than the front.

Finally, let's turn to the Options Tab.



Looking to the top we can see the monthly vols are 67.60%, 58.76% and 59.84%, respectively.

This is trade analysis, not a recommendation.

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Human Genome Sciences (HGSI) - Large Leveraged Bullish Bet in Small Cap Bio-tech Pushes Skew

HGSI is trading $9.73, up 6.6% with IV30™ up 6.7% as of ~11:10am EST. The LIVEVOL® Pro Summary is below.



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Human Genome Sciences, Inc. (HGS) is a biopharmaceutical company. The Company’s products are BENLYSTA (belimumab) for systemic lupus erythematosus (SLE) and raxibacumab for inhalation anthrax.

I noticed this stock after some massively bullish order flow in Feb. First, let’s look to the Stats Tab and Day’s biggest trades window in Livevol® Pro. Then I’ll give some color on the single trade (multi-leg) that caught my eye.





The company has already traded 600% of daily average volume and ~800% of its daily average call volume. The largest trade was:

"HGSI ppr buys 6700 Feb 11 Calls for .42, and sells 1900 Feb 8/9 Put Stupids at .66"

In English, a customer bought 6700 Feb 11 calls for $0.42 and sold 1900 of BOTH the Feb 8 and Feb 9 puts @ $0.66 (combined). That’s some bullish order flow.

That single trade doesn’t quite tell the whole story, though. Let’s turn to the Options Tab for a more holistic view.



I’ve highlighted the strikes in the trade. Note that the Feb 11 calls have traded over 15,000 times on essentially no open interest. I only see one strike in HGSI with an open interest above 6,000 (it’s below 7,000) – so the 15,000 calls today are substantially large for this issue.

Let’s turn to the Skew Tab and see price discovery in full effect.



Check out the Feb skew. While the 7, 8, 9 an 10 strikes are all below Mar (in terms of vol), the 11 strike is actually above Feb. That’s the buying interest on that line pushing the vol up and creating that upside skew. All of the OTM calls from $11 and up are priced to higher vol in Feb than the next two months. The Mar options are priced to higher vol than Feb for the ATM strikes because of an earnings announcement due out in late Feb or early Mar but AFTER Feb expiry (that's just a projection).

Let’s turn to the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. I will say that on the stock side, we can see HGSI was in the low $20’s not too long ago, but has seen a rather abrupt and disturbing drop by nearly 60% over the last six months. On the vol side, we can see that the implied is now trading above the two historical realized measures – but only because of today’s action. The 52 wk ranges in stock price and IV30™ are:

[$6.51, $30.15]
[34.10%, 129.94%]

The current IV30™ puts it in the 51st percentile (annual) – so right about perfectly in the middle.

This is trade analysis, not a recommendation.

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Apple Inc. (AAPL) - Contrary Opinion: Earnings Vol is NOT Low -- It's Priced to Perfection.

AAPL is trading $424.10, down 0.8% with IV30™ up 2.7%. The LIVEVOL® Pro Summary is below.



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I'm gonna skip the company description that normally precedes the blog because... well, because it's Apple, dude...

This is a vol note and analysis on AAPL the last trading day before the company releases earnings. In part this is due to reader demand, but there's another part that wants to clarify a certain point that I think has been misunderstood in some reports. Most notably -- AAPL earnings vol is not unusually low this time around. First, I'll demonstrate why that belief could be reasonably founded, then I'll demonstrate why while reasonable, it's not quite right, IMHO.

Let's start with the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



First, let's look to the stock portion. We can see the recent run up in AAPL stock -- certainly well covered in the news. Now to the vol portion. Here's the salient argument that can be made for the conclusion that AAPL implied vol is low going into earnings relative to prior releases and simply, relative to the past implied (not just surrounding earnings).

1. Check out the IV30™ right before the last earnings release (highlighted and circled). That actual level on close before earnings was 40.71%. Compare that to the 32.93% level today, and yeah, we're lower right now.

2. The 52 wk range in IV30™ for AAPL is [20.09%, 51.46%].  Said differently, the level today puts it in the 41st percentile relative to the last year. Again, the argument can be made that vol is low.

But, here's where the argument, IMHO, fails... and quite substantially. Let's look at the last two years (eight earnings cycles). This is just IV30™, with the "E" icon representing the earnings date(always AMC).



I've blacked out the vols other than the earnings dates for easier analysis. I have also drawn that green horizontal line to more clearly illustrate the current vol level drawn back for two years. What do we see?

First, I'll list the dates and the actual IV30™ levels:

4/20/10: 32.01% <--- corrected --->
7/20/10: 39.84%
10/15/10: 38.54%
1/18/11: 32.74%
4/19/11: 28.44%
7/19/11: 30.56%
10/17/11: 40.71%
1/24/12: 32.93%

1. Four of the last seven earnings cycles, AAPL showed lower vol than today. Of course, correspondingly, three of the last seven cycles showed higher vol. That's a pretty good argument that vol is not low right now, but rather fair value.

2. Using measures of middle, one is above and the other is equal to the current level and both are within two percentage points. Again, feels like fair value... quite noticeably fair. Even, scary fair...

<--- corrected --->
Today: 32.93%
Mean: 34.82%
Median: 32.93%

3. Looking a bit closer, two of those three instances where the IV30™ was elevated to the current level were the final calendar quarter (late October). That suggests a potential seasonal effect -- is there any reason to believe vol is elevated in October?... Hmm....

4. Finally -- let's look at the stock moves (and more importantly, the ATM straddle moves) one day after earnings. I computed this data using Livevol® Excel (LVE).



The far right hand side column is the key. It demonstrates that the one day front month ATM straddle has gone down seven of the last eight quarters. In fact, before last quarter, there was a streak of at least seven straight quarters where the straddle value went down. In English, AAPL implied vol (a forward looking measure) has tended to be priced higher than the actual realized movement. Note that last quarter was one of the three times when the IV30™ was priced above the current level.

If our sample of eight quarters drawn from the population demonstrates that AAPL earnings vol is usually a bit high, and the current level is higher than 4/7 of the last quarters and in between the mean and median, again we can make a strong argument that AAPL vol is not depressed right now -- even an argument that it's high.

In any case, regardless of what AAPL does this time around, with the information we have right now -- which is simply the past, the vol is not depressed, it's quite fairly priced.  This is a phenomenon we should expect given the visibility of this instrument.

I've included the AAPL Skew Tab and Options Tabs for completeness, but refrain from further comment other than this:

Whether or not AAPL vol is "fair" does not guarantee that the stock doesn't (or does) move more than the ATM straddle (or a multiple of the ATM straddle). The event tomorrow is a sample selected from an "unknowable" universe. The best we can do is analyze the past (which is also just a sample) and opine on the future from that sampled past.





This is trade analysis, not a recommendation.

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Dick's Sporting Goods (DKS) - Depressed Vol into Earnings, Stock Repurchase and Pre-announcement

DKS is trading $41.28, up 1.2% with IV30™ down 1.8% as of ~10:30am EST. The LIVEVOL® Pro Summary is below.



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Dick’s Sporting Goods, Inc. (Dick’s) is a sporting goods retailer offering a range of brand name sporting goods equipment, apparel, and footwear in a specialty store environment.

I noticed the stock today because of it’s depressed IV30™ -- that’s both relative to historical realized vol measures and to its own history. Let’s start with the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



On the stock side we can see the recent pop on 1-12-2012 of 12.5%. The news was pretty simple – a $200 million stock repurchase plan which quelled the bad news that a warm winter would reduce EPS by one or two cents in EPS for the fourth quarter. My source for that news was MarketWatch via Yahoo! Finance, written by William Spain.

On the vol side we can see that the implied is depressed to both the long-term historical realized vol and the short-term. The caveat being that the HV20™ is elevated now b/c of that move on 1-12-2012 – so in a sense, it’s an artificial level right now. The vol comps are:

IV30™: 30.91%
HV20™: 47.24
HV180™: 43.74%

The second measure by which that IV30™ is depressed is simply the annual range. The 52 wk range is [27.25%, 65.11%], putting the current level at the 9th percentile (annual).

Let’s turn to the Skew tab.



We can see that all three months show a normal shape with Feb ATM depressed to Mar and Jun. The next earnings release for DKS should be in early Mar – that volatility event is priced into the options and has pushed Mar (and Jun) above Feb.

Let’s turn to the Options Tab to see month to month vols as a blended average.



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. We can see Feb is priced to 29.44% while Mar is priced to 33.78%. Looking back to the vol comps and the 52 wk range in IV30™, that Mar number is still pretty low. It is, however, worth noting that since DKS disclosed how earnings would look in Jan, that Mar report should (or could) possess few revelations. In English, whatever “uncertainty” would normally be embedded in the news release has in a sense has been reduced. That means the vol should be somewhat reduced – and in fact, it is.

This is trade analysis, not a recommendation.

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Time Warner Cable (TWC) - Earnings Vol and Patterns

TWC is trading $69.21, up small with IV30™ up 10.6%. The LIVEVOL® Pro Summary is below.



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Time Warner Cable  Inc. is a cable operator in the United States with systems located in five geographic areas: New York State, the Carolinas, Ohio, Southern California and Texas.

TWC has earnings due out 1-26-2011 BMO. This is a vol note on some earnings tendencies which I found quite interesting. Before we dig deep, let's start with the easy stuff -- the Charts Tab (6 months). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



On the stock side, we can see the near-term rally -- the stock has gone from $57.41 to over $69 as of this writing. That's more than 20% in less than two months. On the vol side, we can see that the implied is trading below the long-term historical realized vol but above the short-term HV. Specifically:

IV30™: 25.31%
HV™: 18.22%
HV180™: 30.45%

But, taken one step further, the level of IV30™ is more compelling. The 52 wk range in IV30™ is [19.30%, 48.34%]. That makes the current level just the 20th percentile (annual), yet earnings are approaching in a few days.

I've computed some earnings stats using Livevol® Excel (LVE). First, I have computed (below) the one day and two day stock changes (in $ and %) over the last seven earnings cycles).



Let's assume we employed a simple strategy -- hold the long straddle after earnings and sell it the next day if the stock moved 4% or more in absolute value. But, if the stock moved less than 4%, we held one more day. Using the raw data above, i computed a consolidated report, below.



For three of the last seven earnings reports we look to the stock change after two days -- those are denoted in yellow. The results show that on average the stock moved 5.0% (in absolute value).

Let's turn to the Options Tab as of this writing.



The ATM straddle in Feb is quoting $3.55 x 3.85 which is 5.34% of stock price mid-market. Keep in mind, a vol crush will ensue after earnings but there is still considerable time left in the Feb options after Jan 26th's earnings report.

This is trade analysis, not a recommendation.

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