Has any one been successful with short calendars the day before a binary event (earning, FDA approval?)

This is a credit spread, using 2 ATM legs. You are long one month, and short a month after. The PnL curve looks like that of a straddle but you are short the volatility.

Basically, when the news is out, both the drop in vol and a move of the underlying in either direction (the more the better) is working your way. In theory you only lose if the vol climbs, which should not happen.

My questions are: what are the expiration dates you should chose, based on the vega and %vol? The front months has a larger %vol but a smaller vega. You are long, and losing and the vol will drop the most on this one. But the short month has a larger vega, while the vol difference after the event will be smaller. In theory, it works great but I never got it to work reliably, with the calculated profit. Sometimes the vol drops and if the stock does move, the position even loses a little.


Is it better to use calls or put? I ve tried mostly with ATM puts, since the starting vol is often higher than with calls. Does that make a difference?

Is there a better spread for this type of play? For FDA play, i find the liquidity very limiting.