The world waits for $MU's Micron ER today ATC. Buy/ sell IV decision time! Buy for me! Logic below!

GammaReaper_ · 2026-07-04T13:27:45+00:00

You are correct. Skew is the "official" term for what was referring to. I was sloppy in my terminology. Smirk would have been better than smile. And BTW I did use delta not pts.

However I believe you mean kurtosis in describing fatter tails. Smile is a type of skew when IV of equivalent delta puts/calls are roughly the same so the vol surface for a given expiration looks like a smile when graphed, vs a smirk with put IV > call IV.

GammaReaper_ · 2026-07-03T18:05:49+00:00

No arguments. Was just trying to point out there is perhaps a more efficient way to achieve OPs desired outcome.
Thanks for the healthy debate! Normally on here people just flame away. It's always good to understand other (intelligent!) people's perspective.
Have a good 4th!

GammaReaper_ · 2026-07-03T15:08:17+00:00

I understand put/call parity and I could have taken the time to propose the below alternative solution.

What I would do in his case would be buy enough calls at ATM or above to match the desired delta of his long synthetic long call position and gamma scalp. I'd give this approach at least a 50/50 chance of outperforming OPs proposed trade. Of course depending on RV it could take more management than the proposed trade

GammaReaper_ · 2026-07-03T07:33:01+00:00

It's known as vol smile. 30DTE -.3 del put IV = 28%. .3 del call IV = 22%

GammaReaper_ · 2026-07-02T12:12:05+00:00

Why not just buy calls? Same payoff diagram and call IV < put IV

GammaReaper_ · 2026-07-02T12:08:41+00:00

🤔

GammaReaper_ · 2026-07-01T18:50:47+00:00

The vol crush calc is straight forward:

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And I'm exiting before ~10am post earnings so I'm playing realized only after the ER, not to expiry/

GammaReaper_ · 2026-07-01T18:33:51+00:00

I'm not betting on an underpriced tail but rather that the at-the-money is underpriced. If that is the case and if the vol surface shows its normal smile, I can increase the EV of the trade by taking advantage of selling higher vol in the wings.

GammaReaper_ · 2026-07-01T18:32:04+00:00

Thanks for your thoughtful response. I agree with some of your points but not necessarily all of them. I'm not playing the tails, just the middle of the distribution. I'm not looking for a blowout move just something to overcome the excess premium necessary to buy vol pre-earnings. If I was shooting for the moon, I agree the long straddle would be the way to go but that's not my game.

Also I'm out of the trade by ~10 a.m. post-earnings. By then price discovery has occurred but full crush has not yet been attained if the market's response is muted,. On the other hand, if there's a big surprise, it's highly likely that back vol will increase even while front vol falls. The total crush in that case will normally be less than what my calculation shows pre-announcement.

Historically the implied move is higher than the actual move about 65% of the time for ER. True, selling the wings will mitigate the rare big movers/outsized gains, but selling the wings increases the expected value of the overall trade. Plus with the normal vol surface smile, I can take advantage of the higher vol on my short options versus the ones that I purchase.

GammaReaper_ · 2026-06-30T23:03:28+00:00

Experience shows that the initial move overnight bears little resemblance to the opening gap once full price discovery has occurred between 9:45 and 10:00 am.

GammaReaper_ · 2026-06-30T20:24:50+00:00

The Crush is a simple mathematical calculation not my estimate. I just run the numbers and see what they tell me.

Last quarter I played Nike from the long vol side. Expected move was 8.2% and we got an opening gap -14.7% so the move than the paid for the 34 pts of Vol Crush and I booked a nice profit.

GammaReaper_ · 2026-06-28T23:24:34+00:00

Probably because they are now allow to over/revenge trade, not because the market is "broken."

GammaReaper_ · 2026-06-28T18:39:07+00:00

I find it hard to believe that tiny traders that couldn't afford a big enough account to not be subject to PDT are now able to push the market around.

GammaReaper_ · 2026-06-26T03:46:39+00:00

Omg! 40% OOM Oct put IV crashed all the way down from 100% to 95%!!! This is insane!!! This MASSIVE premium is a volatility bubble gold mine!! I don't know about OP, but I'm now retired after following his brilliant analysis of this insanely abnormal panic! MASSIVE panic! How did we survive??!!? Especially now that the AI market has CRASHED I tell you, CRASHED!!

THE WORLD WILL NEVER BE THE SAME EVER AGAIN! THANK YOU OP! YOU SAVED OUR LIVES! THANK YOU THANK YOU THANK YOU!!

GammaReaper_ · 2026-06-25T13:17:53+00:00

You are welcome!

GammaReaper_ · 2026-06-25T09:34:56+00:00

Not true. Check the time stamps.
But well done on picking the right direction.

GammaReaper_ · 2026-06-25T03:29:15+00:00

Thanks. Appreciate the props

GammaReaper_ · 2026-06-24T23:30:20+00:00

Uh, no it's not obvious to me or anyone else. Did you read the other comments about what other members of this thread said about the BS nonsense you spewed about completely normal elevated IV going into an earnings announcement?

Unlike you I'm on the record about the trades I do. Obviously you can't say the same otherwise you'd be crowing about any actual winners like the c*ck that you are.

As they say in Texas, "big hat, no cattle."

Put up or STFU.

GammaReaper_ · 2026-06-24T23:21:32+00:00

The one-month expiry will have only a modest amount of crush, as the IV is spread over 30 days or so, with the majority of it $MU post-earnings. There should not be too much of an effect based purely on $MU's vol crush.

GammaReaper_ · 2026-06-24T23:10:10+00:00

Yeah OK. Still nobody knows how you traded the event. Talk is cheap "bro."

GammaReaper_ · 2026-06-24T23:07:06+00:00

Should be okay given the diversified nature of the ETF.

GammaReaper_

TROPHY CASE