Pre-earnings
Post-report
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Watch the straddle premium and the implied range
Earnings-event IV premium and IV crush in the ATM straddle
priced move around spot (ATM)
implied range ±4.26%
HD weekly straddle
post-event range
realized one-day move: roughly flat
spot (ATM strike)
straddle premium, near-dated ATM
27.6%
post-event time value
42.5%
LOW avg IV
earnings-event IV premium
straddle premium = jump priced in
premium lost
IV crush 42.5% - 27.6%
1
Report approaches
event IV premium
2
Straddle prices jump
prices implied range
3
Report prints
uncertainty resolves
4
IV crush
volatility collapses
5
Realized in range
straddle loses premium
6
Overestimate
fade implied range
1. Scheduled earnings report approaches — near-dated options chain carries a discrete event-volatility premium.