I'm interested in a double diagonal on stocks with earnings the week of May expiration. The problem is most of them either volume is chit or I'm late to the party, and the back month is already priced up for earnings. Best case I found was Nordstrom, which has earnings 5/17 PM, so I would need to pick up those short options that afternoon to close. I'm expecting and IV increase around 10% leading up to earnings release If I hold through expiry earnings reaction day will drain my IV and possibly move price too much. JWN selling May 47.5 55 buying Jun 45 57.5 the volumes are 30 66 10 and 187 respectively as of 4/27. And a couple hundred open interest at least. In your honest opinion 1)Is this trade appropriate in most ways? I'm okay with the downside risk but unsure about other risks. I ask because I get the impression people do these trade to hold the long options after front expiry, as to basically get a discount on them. I However just want to cash in on the IV gains and maybe a slight runup or down to earnings. 2)Will there be the liquidity for me to exit early? 3) Anything else jumping out at ya?
