C reported today, I didn't look until mid-day. The stock gapped down and rebounded strongly closing + $2.24. A straddle would have made money if you knew to exit the puts at the open.
Before earnings ... C @ 56.69 ... $55 monthly call @ $3.25 ... $57.50 put @ $3.40 Straddle = $6.65 Afterearnings ... C @ 58.93 ... $55 monthly call @ $4.35 ... $57.50 put @ $1.30 Straddle = $5.65
So a marginal straddle if you exit right and cost of a monthly straddle dropped by $1.49 after earnings. (price for in the money call & put)
Before earnings ... C @ 56.69 ... $56.50 WEEKLY call @ $1.64 ... $57.00 put @ $1.72 Straddle = $3.36 After earnings ... C @ 58.93 ... $56.50 Weekly call @ $2.49 ... $57.50 put @ $.22 Straddle = $2.71
Still a marginal straddle if you exit right and cost of Weekly straddle dropped by $1.78 after earnings. (price for in the money call & put)
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