Event premium is moderately rich: 3.8% implied against a 3.3% median (1.17x).
| Expiry | DTE | ATM IV | Straddle | Implied ± | Event | |
|---|---|---|---|---|---|---|
| 10-26 | 3 | 23.8% | 6.04 | 1.7% | ||
| 10-28 | 5 | 25.5% | 8.32 | 2.4% | ||
| 10-30 | 7 | 25.8% | 9.93 | 2.9% | baseline | |
| 11-06 | 14 | 32.2% | 17.60 | 5.1% | first after | |
| 11-13 | 21 | 29.4% | 19.62 | 5.6% | after | |
| 11-20 | 28 | 28.0% | 21.60 | 6.2% | after | |
| 11-27 | 35 | 26.4% | 22.75 | 6.5% | after | |
| 12-18 | 56 | 25.6% | 27.88 | 8.0% | after | |
| 01-15 | 84 | 24.9% | 33.05 | 9.5% | after | |
| 02-19 | 119 | 25.9% | 40.90 | 11.7% | after |
IV crush is the collapse in implied vol once a scheduled event resolves. The implied move is isolated by variance decomposition — total variance in the first post-event expiry minus the diffusive variance a clean expiry prices — rather than read off the straddle, which also contains ordinary movement over the holding period. A large inversion is not the same as an expensive one: a stock that genuinely jumps deserves a high event premium.