Nike’s $NKE earnings announcement after the close. Options look cheap here!

Here's my logic:

ATM straddles with 2DTE are trading at $4.31, with NKE trading at $52.80. The break even move is therefore plus or minus 8.2%.

However, as we know, post-earnings there's a significant vol crush. Looking at both 2-DTE and 9-DTE options, I calculate the vol crush is worth about 6 vol points, given the current vega is $3.11.

Over the last 16 earnings announcements, the median absolute change in NKE has been 7.6% with a standard deviation of 8.9%. Therefore, with a 68% confidence, we are looking at a 16.5% move. Subtracting the six points of all crush means that we could see a net 10.5% move.

Options are pricing in an 8.2% move. Therefore, from this metric, options looks cheap.

In addition, academic research indicates that when the options market has under-priced EM during prior earnings announcements, there's a tendency for the market to under-price future moves. This indicator is also giving me a buy signal.

I'll be entering a defined risk trade close to the close and will be looking for a big move post-announcement. I'll provide an update tomorrow after the open when prices have settled out, and I'll either take my profits or lick my wounds.