For those running long straddles on $NDX components, how are you managing them post-earnings? Are you closing the entire position, or legging out of one side to capture remaining directional movement? Looking for strategies to optimize the post-event vol crush.
Legging out is definitely the way to go if you have a strong conviction on the post-earnings direction. I'll often keep the call if the earnings were good and sell the put, or vice versa, to try and capture any lingering momentum.
It really depends on the underlying. For some highly liquid names, you might get a bit more follow-through. But for most NDX components, the juice isn't worth the squeeze after the initial earnings reaction. I usually just take my profits/losses and move on.
I usually close out the entire straddle post-earnings. The vol crush is just too severe to hold onto both legs, and the directional move is often not enough to offset it.