3/7/19
Going into the report tomorrow volatility is Jacked. Not just the report but several factors. 1st the report 2nd unemployment 3rd and most influential in my opinion is the rumor that China will take tariffs off over the weekend. All factors lead to HIGH volatility. If the RUMOR does materialize over the weekend Monday could see big moves. Options that exp tomorrow price in about 5.4 move. Options that exp next Friday price in about 11.4 move. One could take advantage of this by selling 910/890 strangle that exp tomorrow buy the 910/890 strangle that exp on next Friday for debit 4.5. The reason one would want to do this is for two reasons. 1st to play the volatility collapse between the two strangles. 2nd and could be explosive is to play the expected range of front options and have and open ended strangle over the weekend with playing the rumor for a big Monday move.
Protect yourself at all times
3/12/19 Follow up
If one placed this position the vol did collapse after the report as designed. In for 4.5 could have exited after the report for 5.3. For the ones that held overnight for news to break over the weekend (that did not happen) Beans did get down to 887.75. One could have exited the 890 put with a successful exit that would have made the entire spread successful. Left with the 910 call. Not that I expect Beans to jump up to 910. However with the headlines moving markets not a bad way to have an opportunity for upside news. In the words of Lloyd Christmas (Dumb and Dumber)“so your saying I have a chance”.
Protect yourself at all times