#Earnings Slightly different approach here. REGN’s 1-day moves on earnings: Biggest UP move: 7.4%, Biggest DOWN move: -6.3%, Average move: 3.8%. But tomorrow’s expiring options only go down to 327.5. Looking at its 8-day moves: Biggest UP move: 9.5%, Biggest DOWN move: -4.5%, Average move: 2.8%.

The average is actually LOWER over time, as any big moves after earnings are usually corrected in the following week. The UP move is bigger, but that 9.5 move in Feb 2014 is an outlier… its next biggest 8-day move up is 3.9%.

So I went out a week for a strangle:
STO $REGN Nov 11th 310/372.5 strangle for 6.40. Strikes are -9.5% and 8.8% OTM respectively.