The implied volatility on CME sits around 65% which is a bit lower than the historical vol of the stock which is in the 80s. This usually says the options are underpricing a potential move in the stock. CME usually has pretty good sized moves on earnings as the last 4 quarters have seen moves between 8-12%. I usually prefer to sell options into earnings so lets sell a put spread.
Sell the 230/220 May put spread.
In this trade you sell the 230 puts and buy the 220 puts creating a spread.
Net credit is about $4.50 right now and that is your max gain if CME is above 230 at May exp.
Max loss is $5.50 if the stock finishes May exp. below 220.
Breakeven on this trade sits at 225.50.
You can always cover this short put spread after earnings if you choose to.