Event premium looks cheap: 12.4% implied is BELOW this stock's 14.4% historical median (0.86x). Selling this event is being underpaid for the risk.
| Expiry | DTE | ATM IV | Straddle | Implied ± | Event | |
|---|---|---|---|---|---|---|
| 10-30 | 7 | 68.0% | 5.44 | 7.5% | baseline | |
| 11-06 | 14 | 93.0% | 10.48 | 14.5% | first after | |
| 11-13 | 21 | 81.0% | 11.18 | 15.4% | after | |
| 11-20 | 28 | 81.0% | 12.93 | 17.9% | after | |
| 11-27 | 35 | 71.4% | 12.70 | 17.5% | after | |
| 12-18 | 56 | 66.4% | 14.95 | 20.6% | after | |
| 01-15 | 84 | 63.5% | 17.48 | 24.1% | after | |
| 02-19 | 119 | 62.0% | 20.25 | 28.0% | after | |
| 03-19 | 147 | 61.4% | 22.23 | 30.7% | after | |
| 05-21 | 210 | 62.2% | 26.73 | 36.9% | 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.