Disclaimer: The below information is intended to describe hypothetical scenarios and should not be considered trading or investment advice.

Condition: Use the Fixed Strike Matrix to evaluate if options are pricing an outsized move ahead of upcoming events; toggle Statistical Mode to evaluate if there is substantially higher volatility (more green cells) before the event date, and if it subsequently decreases (more red cells) following the event date.  

• In this case, consider putting on an iron condor by selling a strangle with both the call and put 1pct above and below current price level and buying a wider strangle
• Profit should extend on either side of the strangle, with risk capped.

Pro tip: Validate whether volatility is expected to move significantly using the Volatility Skew tab with dates added immediately before and after the event date. The pre-event curve should lie below or towards the bottom of the normal (10th - 90th percentile) range, while the post-event curve should sit above the normal range.

For more information, check out our videos on the Volatility Dashboard:

SpotGamma Alpha subscribers can access the SpotGamma Volatility Dashboard here.