Palantir ($PLTR) Earnings Vol Setup - Are Traders Leaving Money on the Table?

**Here's my setup:**

PLTR Current Price $145.60

ATM Straddle Cost $14.20 PLTR
Breakeven Low @ Expiration $131.40 -9.8%
Breakeven High @ Expiration $159.80 +9.8%

Implied Vol 14% Expected Vol Full Crush (vol points) 65 (simple calc using 4DTE and 11DTE straddles)

Delta $0.98
Gamma $4.52
Vega $12.20
Theta $-176.10

Post earnings median opening gap +/-12% with a 12.2% standard deviation.
68% CI move = +/-24.2%.

Full vol crush = -5.4% of stock price.
Crush adjusted move +/-18.8%.

**Implied move +/-9.8% - vs 18.8% - vol looks CHEAP!**

However, it's PLTR - and therefore a tough call. On paper, the straddle is cheap with implied nearly half of the crush-adjusted historical move. But $14.20, +/-10% move is still a big number to overcome, and PLTR has a habit big moves or not so big moves (see chart below).

**Conclusion: Vol is just too cheap to sit on my hands completely, so I'm willing to take a shot.**

Lot's of ways to play this - my go to is defined risk (IC non-directional) rather than simply long straddle/strangle.

As always, the overnight move post EA is something I ignore, as the real price discovery occurs after the open in the morning. Until then, I'll be watching but not getting excited one way or another.

Update in the am after the open!

https://preview.redd.it/vn5aiiee18zg1.png?width=1345&format=png&auto=webp&s=ae7d39d3da86369777faea6a2dbf6e9e01572c51