Event premium looks cheap: 5.0% implied is BELOW this stock's 6.7% historical median (0.74x). Selling this event is being underpaid for the risk.
| Expiry | DTE | ATM IV | Straddle | Implied ± | Event | |
|---|---|---|---|---|---|---|
| 10-26 | 3 | 65.7% | 24.12 | 4.7% | ||
| 10-28 | 5 | 66.6% | 31.65 | 6.2% | ||
| 10-30 | 7 | 69.5% | 39.10 | 7.7% | baseline | |
| 11-06 | 14 | 74.0% | 58.77 | 11.6% | first after | |
| 11-13 | 21 | 67.5% | 65.62 | 12.9% | after | |
| 11-20 | 28 | 64.4% | 72.25 | 14.2% | after | |
| 11-27 | 35 | 61.5% | 77.03 | 15.2% | after | |
| 12-18 | 56 | 57.8% | 91.52 | 18.0% | after | |
| 01-15 | 84 | 55.0% | 106.45 | 21.0% | after | |
| 02-19 | 119 | 55.3% | 126.83 | 25.0% | 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.