u/GammaReaper_ ·
Reddit — r/options
· February 25, 2026 at 20:23
· ⬆ 20 pts
· 💬 12 comments
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AI Summary
Summary
The post analyzes a potential long volatility trade on NVIDIA (NVDA) ahead of its earnings announcement.
The author's thesis is that the options market is underpricing the potential post-earnings price move, making long volatility strategies like straddles or strangles attractive.
This is a data-driven analysis of a specific options setup, focusing on implied vs. historical volatility for a short-term event.
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Comments12
Upvote %88%
▶ Full Post Text
# Here's my set up:
ATM Straddle Cost $11.45
NVDA Breakeven Low @ Expiration $186.05 -5.6%
NVDA Current Price $197.10
NVDA Breakeven High @ Expiration $208.95 +6.0%
Implied Vol 100.2%
Expected Vol Full Crush (vol points) 60.9
Delta $1.20
Gamma $5.46
Vega $11.64
Theta $(292)
Post earnings avg opening gap +/- 7.0% with standard deviation of 7.5%: 68% CI range +/-14.5%.
Full vol crush = -3.6% of stock price.
Crush adjusted move +/-10.9%.
Implied move +/- 6.0% so options are cheap!
\*\*GREAT candidate to go long vol - debit straddle, strangle or IC should all print. Choose your poison based on your risk tolerance!\*\*
Historical data shows NVDA's average post-earnings move is +/- 7.0% with a standard deviation of 7.5%, suggesting a 68% probability of a move up to +/- 14.5%. The current ATM straddle implies a move of only +/- 6.0%, which is significantly lower than the historical average and even lower than the "crush adjusted" expected move of +/- 10.9%. This suggests options are "cheap" relative to the likely price swing. The discrepancy between the low implied move and the higher historical/expected move presents a profitable opportunity to go long volatility via a debit straddle or strangle, as the stock is likely to move more than the options are pricing in. The primary risk is that NVDA's post-earnings move is smaller than the breakeven points (+/- 6.0%), causing the trade to lose money due to theta decay and volatility crush.
This Reddit post, published February 25, 2026,
features u/GammaReaper_
discussing NVDA.
1 trade idea extracted by AI with direction and confidence scoring.