การจัดการ Long Straddles ของ $NDX ในช่วงฤดูประกาศผลประกอบการ

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.

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.