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Strategy 1. - The Volatility Arbitrage. (Earnings Strategy)
You don't play the actual earnings, you play the relative volatility between two cycles.
Opened 3-4 weeks before earnings 1, using a long call 90-120 days out targeting earnings 2.
As ER1 approahces, algos and traders bid up the entire IV surface. You sell hyper inflated weekly shorts (ER1), while your long legs gain value from vega expansion as algos begin to prepare for a potential continuation move from ER1 to ER2. Basically, you sell the highest IV shorts possible ER1, targeting ER2 while everyone's still focused on upcoming ER1. As ER1 approaches just days before, ER2 will begin to see IV increase. Close 2-3 days before ER1.
Strategy 2. PMCC/ZEBRA - (LEAPS play)
PMCC involves buying a deep ITM LEAPS, usually .70-.80 delta, and selling weeklies or monthlies at .20 delta.
This offsets the theta decay while allowing delta expansion in the longs as they build more intrinsic value. This allows to go long while offsetting avoiding paying rent. The problem is if the price aggressively runs so hard you're forced to close unable to roll up and out for any decent premium.
ZEBRA involves buying x2 .70 delta LEAPS, and selling x1 .50 delta covered call. This equals .90 delta (.70 + .70 - .50 = .90 delta), now the long dated covered call absorbs the theta decay rent. If price dumps early on, you'll take much less of a loss than owning 90 shares, and cheaper to open than 90 shares. Unlike PMCC if price runs, you have one LEAPS uncapped, and the other still with room to generate profit before reaching CC strike.
Both are bullish strategies meant to offset theta decay, ZEBRA is more effective at going long but is more costly to open than a single PMCC.
Strategy 3. XSP Calendar to Diagonal (Positive Theta Engine)
Opening a ATM calendar 30dte long, 3dte short on XSP can create a risk averse structure meant to farm positive theta decay.
Defensive edge it is net long vega, if market crashes the VIX spike pads the long leg, slowing losses compared to any other bullish trade.
Open at market close to let overnight theta work for you and provide a buffer for the morning gap. If price hits the lower breakeven, reset. Close and re-open ATM immediately to center greeks.
If price is flat, let the 3dte decay to 1dte, then roll back to a new 3dte to harvest maximum premium.
If price runs which is what we want, diagonalize the position. Roll the short up and out, even to 5dte at a higher strike for a credit. This is strike improvement. Roll management can be when short hits .80 delta.
Conculsion - "The ER setup" buy 120dte (ER2), 3-4 weeks before ER1. Buy sleepy IV, sell hyper IV. The "SPY 30/3" open 30dte long, sell 3dte short at market close, harvest x3 theta vs. 1x theta rent. The "PMCC/ZEBRA", take long dated bullish stance while avoiding paying theta, pay less for PMCC capped, or pay more for ZEBRA uncapped.