#Earnings Bought to open a double diagonal on REGN for earnings for 1.40.
Sold Aug 5th 420/460 strangle for 9.30.
Bought Aug 18th 410/470 strangle for 10.70.
This gives 6% downside and 8% upside for breakevens, assuming exiting full trade by this Friday (trade was entered earlier when REGN was higher). Max gain and risk depend on IV drop tomorrow, but looks to be about risking 1.2 to make 1.
Over last three years on earnings: Biggest UP move: 7.4%, Biggest DOWN move: -6.3%, Average move: 4.1%.