No meaningful vol elevation: the near expiry is not pricing materially more than the baseline, so there is no crush to harvest here yet. Elevation typically builds in the last one to two weeks before a report.
| Expiry | DTE | ATM IV | Straddle | Implied ± | Event | |
|---|---|---|---|---|---|---|
| 10-30 | 7 | 104.2% | 0.87 | 12.0% | baseline | |
| 11-06 | 14 | 104.8% | 1.22 | 16.8% | first after | |
| 11-13 | 21 | 103.7% | 1.42 | 19.7% | after | |
| 11-20 | 28 | 100.8% | 1.59 | 22.0% | after | |
| 11-27 | 35 | 96.3% | 1.70 | 23.4% | after | |
| 12-18 | 56 | 94.8% | 2.10 | 29.0% | after | |
| 01-15 | 84 | 92.0% | 2.49 | 34.3% | after | |
| 03-19 | 147 | 89.4% | 3.17 | 43.7% | after | |
| 06-17 | 237 | 92.6% | 4.11 | 56.6% | after | |
| 10-15 | 357 | 88.0% | 4.72 | 65.1% | 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.