I put on a ESRX Julwk5 Iron butterfly yesterday, here was the trade
+1 (NASDAQ:ESRX) Julwk5 76 put
-1 Julwk5 77 put
-1 Julwk5 77 call
+1 Julwk5 78 call
I collected a total credit of $0.8/ shares (Total $80 credit), of course minus commissions of $7.95 (Optionsxpress). The premise to this trade is the expectation of a volatility crush after the earnings announcement. At the type of entry, the IV for the ATM strikes were 35.81% and 35.77%.
The actual stock was around $77.33/share at the time of my entry. and today upon exit around $78.09 my loss was $18.10
I have played earnings, going long OTM puts and calls within the expected moves in order to profit from big moves from stock such as $GOOGL or $LNKD and in this cases, although it hits your target, you still loose from the IV crush that happens after the earnings.
The bottom line is that regardless of the expected market maker move or implied and historical volatility, earnings is still basically a crab shoot and should be relegated as a lotto play part of your portfolio and not an income strategy.