Event premium is close to fair: 6.2% implied against a 6.4% median (0.97x). Little edge either way.
This stock has moved 26.1% on a past report, more than the 6.2% 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
84.0%
13.53
9.3%
first after
11-06
14
78.0%
17.75
12.2%
after
11-13
21
75.1%
20.93
14.4%
after
11-20
28
73.9%
23.68
16.2%
after
11-27
35
70.8%
25.38
17.4%
after
12-18
56
71.2%
32.20
22.1%
baseline
01-15
84
70.3%
38.78
26.6%
after
03-19
147
72.0%
52.20
35.8%
after
04-16
175
70.7%
55.77
38.3%
after
06-17
237
71.2%
64.90
44.5%
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.