On 4/8/10 I found a vertical spread in GRMN using the LiveVol Pro Software.
At that time, I sold a calendar spread in GRMN leading up to earnings tomorrow before market open. GRMN was trading at $38.21. As of right now, GRMN is trading at $37.51.
Looking at the LiveVol Pro Skew chart (click to enlarge all pictures) below you can see the front month options are significantly higher IV than back months. This is typical before earnings.
We’re in a perfect place in my opinion before earnings being short May and Long July, however, the spread has given me a profit of $720 already and I just got out. I figure I’ll pocket the profit now and move on to the next trade rather than take the risk holding through earnings.
I sold the spread for a debit of 2.05 on 4/8/10. I sold it today for a net credit of $2.41. You can see in the Thinkorswim analyze tab below.