NKE Earnings are scheduled for June 27, 2011; after the market close. The market is expecting $1.16 in earnings.

Strangle would possible work for us here, take a look at Friday's Options

NKE 80 JUL 11 Call at $3.45 - Delta .58
NKE 82.50 JUL 11 Put at $3.45 - Delta .57
Cost: $6.90

The total risk of the trade is $6.90. This is 100% premium risk. That means the stock must move $6.90 either way for you just to break even. So if the stock stays within a range of $83.45 to $79.05, you lose!

Straddle would possible work for us here, take a look at Friday's Options

NKE 80 JUL 11 Call at $3.45 - Delta .58
NKE 80 JUL 11 Put at $2.26 - Delta .42
Cost: $5.71

The total risk of the trade is $5.71. This is 100% premium risk. That means the stock must move $5.71 either way for you just to break even. So if the stock stays within a range of $83.45 to $77.74, you lose!

Remember: The strangle or straddle would require that the stock move more to make the position profitable, but costs less to establish. If you get a small or no move before expiration, you're out of luck on the straddle or strangle.