I got to my desk late so this is somewhat ex post facto:
SNDK posted mixed results and is currently trading down about 0.5% at 84.80 after closing yesterday at 85.31. Weekly IV was at 180% going into the report, expecting a move of 7.5% which is in line with its average earnings move of 7.4% -~~~~ Straddle worked, 86 opened at 1.80 closed at 2.50 within four minutes
GOOGL is out with earnings this AM and the stock was just about flat from the prior day. It closed yesterday at 539 and opened at 540. It had hit a ETH low of 520. It is currently trading around 532 at 10am with opex IV at 23.8% pricing a move of 1.5% by day's end, or 8pts. A straddle off the open on this name would have worked as well.
NFLX also moved larger than the IV priced this AM, as it's down 11.60 from yesterday's close. The options mkt was only expecting a move of 7.90 today.
SHPG vol opened at 70% which I thought was rich, pricing in a move of $10. IV then ripped to 130% with no move in the stock, driving the price of the straddle up to $18. The 190 straddle hit a day high of $32 when the stock fell off a cliff at 1:30pm. But lets be real, we all would have sold at 18.
INTC straddle off the open also would have worked as the stock initially popped, then dropped below 30 before bouncing back. Once again, being long vol in a non-directional is about the only time that algos help a non-algo brother out.