Riding the IV Ramp Before Earnings

One of the options strategies Jeffery Augen discusses in his excellent book, “The Volatility Edge in Options Trading” takes advantage of the typical ramp up in option’s implied volatility (IV) before an earnings announcements.   Upcoming announcements create uncertainty, and the option market prices that in by increasing the premiums—which is reflected in the IV of the options.   This ramp up in IV can be surprisingly …

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