- Buy to open May $630 calls
- Sell to open April $630 calls
- Buy to open May $570 puts
- Sell to open April $570 puts
I just filled the order for $13.70 net debit. This creates a very wide profit zone between $550 and $650 with maximum profits coming at $570 and $630. In other words, I am expecting about 5% move in either direction. Given the large IV skew between April at 72 and May at 28, I think this double calendar provides the best risk and reward. I just want to be clear the biggest risk here is May IV will most likely drop from 28 to 20-22 range after earnings. Historical IV is at 18. If that happens, the profit zone becomes smaller, but should still produce profits anywhere between 570 and 630.
Good luck!
