Pre-report straddle / stock close
Absolute change through the reaction close
Comparable earnings reactions
Implied range. Actual reaction.
7 of 7 reports comparedAll rows use the same scale. Dates identify the reaction session. A dot outside the band means the one-session reaction exceeded the straddle’s full move to expiration.
The history behind the comparison
Implied pricing and actual moves use the same starting close.
| Measurement window | Implied move | Actual move | Range used |
|---|---|---|---|
| June 26, 2025From June 25, 2025 close | ±2.74%Expiry June 27, 2025 | +0.62%Opening gap +0.88% | 0.23×Within implied move |
| April 08, 2025From April 07, 2025 close | ±6.40%Expiry April 11, 2025 | -1.12%Opening gap +1.59% | 0.18×Within implied move |
| January 10, 2025From January 08, 2025 close | ±10.68%Expiry January 10, 2025 | +27.55%Opening gap +14.97% | 2.58×Beyond implied move |
| October 15, 2024From October 14, 2024 close | ±13.78%Expiry October 18, 2024 | +15.78%Opening gap +6.67% | 1.15×Beyond implied move |
| June 27, 2024From June 26, 2024 close | ±8.17%Expiry June 28, 2024 | -22.16%Opening gap -19.80% | 2.71×Beyond implied move |
| March 28, 2024From March 27, 2024 close | ±7.18%Expiry March 28, 2024 | +3.19%Opening gap -2.00% | 0.44×Within implied move |
| January 04, 2024From January 03, 2024 close | ±8.02%Expiry January 05, 2024 | -5.12%Opening gap -5.40% | 0.64×Within implied move |
How this comparison is measured
A before-open announcement uses the prior session’s close; an after-close announcement uses that day’s close. The reaction ends at the next regular-session close. Unclear or during-session announcement times are not scored.
The implied move is the call midpoint plus put midpoint at the paired strike nearest the starting stock close, divided by that close. We use the nearest available expiration covering the reaction, no more than 14 calendar days away. Quotes must be two-sided, reasonably narrow and consistent with the stock price.
The option expiration can extend beyond the reaction session. The comparison shows how much of the straddle’s implied range earnings used, not the accuracy of a one-day forecast. Midpoints are not guaranteed trade prices, and these percentages are not option returns.
This history is reconstructed from archived quotes and completed-event dates, rather than a record of forecasts published before each announcement. Missing quotes and inconsistent price bases remain unscored. Averages use absolute moves and only the comparable events shown; small samples do not establish a trading edge.
About straddles and their expiration payoffsBefore and after the report
Earnings IV crush history
5 of 7 events compared
Did implied volatility fall after earnings? Follow the same call and put across the announcement. Declines, increases and unchanged readings all count.
Relative to pre-report IV
After IV minus before IV
Comparable events, not a trade win rate
Same contracts. Two observations.
Annualized implied volatilityNegative change means IV fell. For example, 60% to 40% IV is −20 percentage points, or a −33.33% relative change. All bars use the same scale.
2 events excluded from the IV comparison
- June 26, 2025 No usable option pair
- April 08, 2025 No usable option pair
Excluded events do not enter the statistics. The usable sample can differ from the price-reaction comparison.
How the IV history is measured
Before the report, we select the expiration closest to 14 calendar days away, with at least seven days remaining after the reaction and no more than 35 days from the starting close. We select the paired strike nearest that close and follow those exact call and put contracts through the reaction session.
Each reading is the simple average of the two contracts’ archived IV values. Both legs need positive, uncrossed quotes with a spread no wider than 50% of their midpoint. Their stored underlying prices must be within 0.5% of the corresponding regular-session close, and the pair’s price relationship must be consistent with that close. Missing or inconsistent observations stay unscored; we do not switch contracts to fill a gap.
These are end-of-day observations, not the immediate announcement reaction. The strike stays fixed as the stock moves, so its moneyness changes. Time remaining and other market conditions also change. This history does not isolate earnings’ effect, measure an option return or predict the next report. IV increases and unchanged readings are included in the statistics.
Understand IV crush