2010/Q2 RIMM

RIMM is a good quote to trade strangle on earning, due to it's nature of price gaping when earning released.

2010/06/24 After market : 2010/Q2 report. 1.38(1.34).

Although it's earning beat forecast, but revenue missed. Market quickly react and gap down 5%.
Here is the option table before, day open, day close on 2010/06/25.
Straddle result.
And this is the day open/ day close data.

As we can see, how big the impact of implied volatility reduce before and after earning release, hurt straddle.

Another strategy, which gain profit from the reduction of implied volatility from the day open to day close. Only 52.5 pair earn, because RIMM price drop another 5% after the market open.