Wish that I had posted this earlier. Since Amazon (AMZN) announced earnings they have moved from 94.03 where they closed during the regular trading session, to 86.50 at 4:25 PM in after hours trading.
The August 95 straddle was selling for around $10, so I built the dual calendar spread around 85 and 105. Also, the August implied volatility was 45% and the September, 41% for the at the money calls. There were around 40,000 calls open around the money and 26,000 puts around the money which isn’t overwhelming. So I kept it symmetric. Here is what it looked like around the middle of the day when I calculated it. The profit curve for tomorrow is the colored line below the x axis. (Click on the picture to enlarge):
If the August volatility collapses to the September value tomorrow, the curve will look like this(Click on the picture to enlarge):
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