Event premium looks cheap: 11.8% implied is BELOW this stock's 14.7% historical median (0.80x). Selling this event is being underpaid for the risk.
| Expiry | DTE | ATM IV | Straddle | Implied ± | Event | |
|---|---|---|---|---|---|---|
| 10-30 | 7 | 56.4% | 12.23 | 6.2% | baseline | |
| 11-06 | 14 | 82.5% | 25.20 | 12.8% | first after | |
| 11-13 | 21 | 72.9% | 27.25 | 13.9% | after | |
| 11-20 | 28 | 67.4% | 29.07 | 14.8% | after | |
| 11-27 | 35 | 63.1% | 30.43 | 15.5% | after | |
| 12-18 | 56 | 58.5% | 35.60 | 18.1% | after | |
| 01-15 | 84 | 55.5% | 41.28 | 21.0% | after | |
| 02-19 | 119 | 57.2% | 50.50 | 25.7% | after | |
| 03-19 | 147 | 56.4% | 55.20 | 28.1% | after | |
| 04-16 | 175 | 55.7% | 59.33 | 30.2% | 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.