Event premium is close to fair: 5.5% implied against a 5.3% median (1.04x). Little edge either way.
| Expiry | DTE | ATM IV | Straddle | Implied ± | Event | |
|---|---|---|---|---|---|---|
| 10-26 | 3 | 40.5% | 6.22 | 2.9% | ||
| 10-28 | 5 | 42.7% | 8.48 | 4.0% | ||
| 10-30 | 7 | 43.0% | 10.07 | 4.7% | ||
| 11-06 | 14 | 41.0% | 13.65 | 6.4% | ||
| 11-13 | 21 | 39.9% | 16.23 | 7.6% | baseline | |
| 11-20 | 28 | 44.6% | 20.88 | 9.8% | first after | |
| 11-27 | 35 | 42.4% | 22.20 | 10.5% | after | |
| 12-18 | 56 | 40.0% | 26.43 | 12.5% | after | |
| 01-15 | 84 | 39.0% | 31.50 | 14.8% | after | |
| 02-19 | 119 | 38.3% | 36.67 | 17.3% | 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.