AAPL double calendar earnings play

On 3/25/08
BTO April/May 130 put calendar for $3.29
BTO April/May 160 call calendar for $3.12

Earnings was going to be released 4/23/08 so that meant the IV would increase and stay higher than the front month. IV for front was 46% and back month 51%. This a negative skew of 5%, not really good for a time spread but I knew that IV would increase in the back month so I didn't care about the front month.

Exit on 4/15/08
STC April/May 130 put calendar for $3.09
STC April/May 160 call calendar for $4.66

IV for front month is 45% and back month 56%. Nice profit of $1.34 or 21% return in 20 days. Not bad. I noticed at if I exited today, I could have got a 24.5% return. The current price of $157 is very close to the 160 peak.

I really like this double calendar strategies on stocks that are about to have earnings. Watch out for other trades similar to this in upcoming postings.