Small realized gap
Large realized gap
Implied volatility builds ahead of the report, then the realized gap flips IV crush or under-priced
implied volatility builds ahead of the report
front-month ATM straddle
implied distribution · IV prices the likely move
spot
priced
wing
Sep 23
earnings
lands in the
far tail
IV crush
straddle loses value
Under-priced
market under-priced the event