Event premium is close to fair: 8.8% implied against a 8.6% median (1.02x). Little edge either way.
This stock has moved 26.4% on a past report, more than the 8.8% now implied. Selling this event uncapped risks a loss far larger than the credit.
Median richness is not expectancy: earnings outcomes are fat-tailed, and a strategy that wins most quarters can give it all back in one.
Baseline came from a far-dated expiry containing the next report, which understates the isolated jump — treat the implied move as a floor.
Implied vol term structure
Expiry
DTE
ATM IV
Straddle
Implied ±
Event
10-30
7
91.8%
17.20
10.2%
first after
11-06
14
80.4%
21.27
12.6%
after
11-13
21
74.7%
24.18
14.3%
after
11-20
28
72.4%
27.05
16.0%
after
11-27
35
69.3%
28.90
17.1%
after
12-18
56
66.4%
34.97
20.7%
baseline
01-15
84
65.0%
41.83
24.7%
after
02-19
119
64.9%
49.55
29.3%
after
03-19
147
65.3%
55.20
32.6%
after
04-16
175
65.4%
60.20
35.6%
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.
Screening output only — not investment advice.
Quotes are delayed roughly 15 minutes and can be stale; verify everything with your
broker before trading. Selling options carries risk of substantial loss: a
cash-secured put can leave you owning a falling stock, and a covered call caps your
upside. Nothing here accounts for your portfolio, position sizing, or circumstances.