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I know this isn't option selling but I wonder if this is a way to play possible high volatile days like the upcoming Aug 12th Crop Production report. Buy OTM options at the same price. Both puts and calls since you don't know which way it will move.
The options on the winning side could move far more than the losing side.
Here is an example in corn. On 20160620, Sep corn was 4.267. The next day it dropped 24.5 cents. If you had bought calls and puts, the next day the puts would have made more than the calls lost.
Here are some examples. The lower the DTE the better it worked.
I had a look at this strategy some time ago. The problem is that volatility rises before these reports, and it collapses afterwards. In case the report causes a large move this strategy works. In case there is only a minor move it causes a loss.
Many reports are non-events. I am not sure that this strategy in the long run is profitable.
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I was thinking the same as you @myrrdin, that the implied vol crush following the report would kill any profits. But when you look at @ron99 's examples in his first post you'll see the implied vol wasn't crushed, in fact the Call IVs actually went up.
The big difference in your first example, which seemed to make money, and your second example which doesn't is how far the options are out of the money. For the options in June you used a straddle that's width was equivalent to 42% of the underlying price, but in your 2014 examples that lose money the straddle width's are only 7% and 14% of the underlying. What happens if you looked at a 3.20/4.30 Strangle or even a 3/4.50 (for 20140811)
From October 2014 until some time in spring 2016 KC was in a clear downtrend. During this period, I preferred to sell calls with less DTE, as I considered selling KC calls as a directional trade. Recently this has changed, and KC moved above its 200 dma. Thus, I do not expect a further move down as for many months. In my opinion, KC should move sidewards in a wide range. To allow for KC price to move upwards, and still receive an acceptable premium, I decided for the March contract.
Seasonals show a move sidewards until December. At that time, the March options should have lost most of their value.
Finally: My recent experience with coffee calls having less DTE was mixed. On some occasions I was stopped out with a loss.
There is an interesting difference between your data and MRCI data: The October high of MRCI is lower for all time frames (5, 15, 30 years) than the August high.
The October high, that occurs in some years, is probably caused by dryness during the blooming period. Your data shows very nicely, that in years with a small crop (and consequently high prices) - KCH11 and KCH15 - the move upwards in October is approx. 40 cents, whereas in years with a large crop (KCH10, KCH16 - as in 2016) this move is approx. 15 cents. This confirms my assumption that potential dryness during the blooming period will be less critical this year than in years with small supply.
