Coinbase $COIN Earnings Trade Vol Crush Setup

Here's my set up:

ATM Straddle Cost $11.70

COIN Breakeven Low @ Expiration $131.73 -7.85%

COIN Current Price $142.00

COIN Breakeven High @ Expiration $153.15 +7.85%

Implied Vol 190.0%

Expected Vol Full Crush (vol points) 130.2

Delta $11.70

Gamma $5.38

Vega $6.09

Theta $(578)

Post earnings avg opening gap +/- 5.1% with standard deviation of 7.0%: 68% CI range +/-12.1%.

Full vol crush = -5.3% of stock price.

Crush adjusted move +/- 6.8%.

Implied move = 7.8% so options are slightly rich. However, with a large enough move, the crush is likely less than 2-3% so vol looks cheap.

**GREAT candidate to go long vol – debit straddle, strangle or IC should all print. Choose your poison based on your risk tolerance!**