i have a 160-240 strangle for jan oe, i did this last 2 week when the premiums was quite high as aapl surged from 178 to 203. no way at 160 at 2 day prior to earnings, and 240 just a little too rich for most without the actual earning data.
I saw today when Apple had dropped to $194 that the Jan 190 calls were still being bid at $11.....thats $7 time value, and since I "sold" 7 of the 190's I was hoping for a faster deterioration than that. Geezus, if it dropped to the strike price I suppose they'd still be selling the calls at $8??? Who would buy em?
Always the same coming into earnings bring strikes close together to keep you from profiting with big movements. Wait till day after earnings and watch the FEB OOM's deflate. Consider Jan/Feb calendar call spread and call roll sold Jan calls into far OOM calls day before earnings for extra cash.
remember AAPL earnings always right after previous months' OE. This is why I said on Mon. if you were "dying" to hold calls you could sell Jan 220's and buy Feb 220's--today the spread increased (you would have profitted already) Today 220 calls for Feb only went down .20 while Jan went down .67 meaning your spread increased .47 or 9% in one day profit with double hedged position. So what I'm saying is that you can hold the Feb 220's and the day of earnings sell more 250's or whatever to make even more cash (or just close your spread if you are not that bullish for post earnings).