Eureka

options premium scanner

premium scan for MSFT · market context

MSFT — IV crush

Spot

521.08

Next report

2026-10-28 5d

Term inversion

1.86×

Implied move

±5.8%

Historical median

±4.1%

Implied / realized

1.41×

Assessment

Event premium is moderately rich: 5.8% implied against a 4.1% median (1.41x).

This stock has moved 15.5% on a past report, more than the 5.8% 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.

Implied vol term structure

Expiry	DTE	ATM IV	Straddle	Implied ±	Event
10-26	3	26.6%	10.05	1.9%	baseline
10-30	7	49.3%	28.38	5.4%	first after
11-06	14	40.1%	32.58	6.3%	after
11-13	21	35.3%	35.15	6.7%	after
11-20	28	34.0%	39.12	7.5%	after
11-27	35	31.7%	40.75	7.8%	after
12-18	56	30.6%	49.67	9.5%	after
01-15	84	29.1%	57.70	11.1%	after
02-19	119	31.0%	73.05	14.0%	after
03-19	147	30.9%	80.78	15.5%	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.