Options
EdgeOptions8 min read

Volatility Crush Around Earnings: A Known Pattern, Densely Crowded

Implied volatility rises into a scheduled event and collapses after it. Everyone can see this.

The mechanic

Uncertainty about a scheduled announcement is priced into options beforehand. Once the announcement resolves the uncertainty, that component of the price disappears regardless of direction. Selling before and buying back after harvests it.

Why the easy money is gone

The pattern is entirely public and mechanically tradeable, so it is priced. The remaining premium is roughly fair compensation for the risk of the move that exceeds what was priced — which happens often enough to matter.

Where an edge might still be

Not in the pattern but in selection: which names systematically over-price their earnings move, and at what size the position stops being survivable. That is a data problem and a sizing problem, and both are automatable — but the edge is thin and requires many uncorrelated instances rather than a few large bets.

Educational, not directive. This is analysis of how a market behaves, not a recommendation to act in it. Strategy detail with conviction scoring and live sample sizes lives in the vault.
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