Event premium looks cheap: 8.6% implied is BELOW this stock's 10.4% historical median (0.83x). Selling this event is being underpaid for the risk.
| Expiry | DTE | ATM IV | Straddle | Implied ± | Event | |
|---|---|---|---|---|---|---|
| 10-26 | 3 | 47.3% | 22.25 | 3.4% | ||
| 10-30 | 7 | 44.9% | 32.17 | 5.0% | ||
| 11-06 | 14 | 41.3% | 41.88 | 6.5% | ||
| 11-13 | 21 | 39.7% | 49.25 | 7.6% | ||
| 11-20 | 28 | 38.7% | 55.45 | 8.5% | ||
| 11-27 | 35 | 37.4% | 59.80 | 9.2% | ||
| 12-18 | 56 | 37.2% | 75.22 | 11.6% | ||
| 01-15 | 84 | 36.7% | 90.70 | 14.0% | baseline | |
| 02-19 | 119 | 39.7% | 116.45 | 17.9% | first 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.