#Earnings I am considering BUYING a YELP straddle at the end of the day. Right now, it would cost me 4.00, which would require a 9.1% to breakeven. Over last 12 earnings, Yelp’s Biggest UP move: 23.7%, Biggest DOWN move: -25.2%, Average move: 15.1%.

With such a high average move, it is worth a shot. I will see which strike it ends the day at and what the premium is.