Apple Earnings Double Calendar

Its' time for an Apple Calendar!

Earnings are due to be released on Jan 19 which is part of Feb expiration cycle. Volatility usually rises until the day of expiration and dropped dramatically after earnings announcement. Current Feb options have volatility of 36.9%, I expect it to increase to ~42%(or more) the day before earnings.

Since Apple is a big mover a double calendar works best for me. It allows price to move around while allowing time and volatility to work in my favor. From looking at the risk graph it may look like a bad trade with little to no chance for profit however vega is +27. Expected volatility picture shows the likely outcome with 5 points increase in volatility and one week before expiration. Picture shows $212 profit. Profit target for this trade is $150.
Adjustment points are at outer breakeven points at 189 and 212.


BTO AAPL Jan/Feb 190 Put
BTO AAPL Jan/Feb 210 Call
Total Debit $9.42

Original Trade


Expected result one week before expiration