How do events affect options pricing?

Events like earnings, Fed meetings, and product launches inject uncertainty that inflates implied volatility for expirations spanning the event. Options pricing reflects this through elevated straddle prices, steeper skew (more demand for puts as protection), and term structure kinks (the event expiration has higher IV than adjacent expirations). After the event resolves, IV typically collapses as uncertainty is removed.

How do Fed meetings impact options prices?

Fed meetings primarily affect index and rate-sensitive stock options. IV rises heading into the meeting as the market prices uncertainty about rate decisions and forward guidance. The VIX term structure often shows a bump at the meeting-week expiration. After the announcement, IV normalizes — gradually if the decision was expected, or sharply if there's a surprise. Trading the vol compression after benign Fed outcomes is a common institutional strategy.

Earnings Event Analysis - AAPL

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Earnings Move History Earnings Move HistoryChart of the realized overnight gap on each earnings date (previous close → next open) against the straddle breakeven the market had priced in. Bars outside the amber band are quarters where a straddle bought into the print and closed at the open would have won.

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Historical Earnings Moves Historical EarningsTable of past earnings gap moves, EPS surprises, and beat/miss history. Gap move = overnight price change from previous close to next open after the announcement.

Overnight gap moves (prev close → next open) and IV crush around earnings events

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Historical Earnings Moves Historical EarningsTable of past earnings gap moves, EPS surprises, and beat/miss history. Gap move = overnight price change from previous close to next open after the announcement.

Earnings Seasonality SeasonalityAverage earnings move by quarter (Q1/Q2/Q3/Q4). Identifies whether certain reporting periods tend to produce larger or smaller moves.

Post-Earnings Drift Post-Earnings DriftTracks what happens AFTER the initial earnings gap. Does the stock continue drifting in the gap direction (momentum) or reverse (mean reversion)? Measures cumulative returns at 1, 2, 3, 5, 10, and 20 trading days post-gap.

Average Cumulative Return After Earnings

Individual Earnings Gaps

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Historical Earnings Moves Historical EarningsTable of past earnings gap moves, EPS surprises, and beat/miss history. Gap move = overnight price change from previous close to next open after the announcement.

Earnings Seasonality SeasonalityAverage earnings move by quarter (Q1/Q2/Q3/Q4). Identifies whether certain reporting periods tend to produce larger or smaller moves.

Post-Earnings Drift Post-Earnings DriftTracks what happens AFTER the initial earnings gap. Does the stock continue drifting in the gap direction (momentum) or reverse (mean reversion)? Measures cumulative returns at 1, 2, 3, 5, 10, and 20 trading days post-gap.

Average Cumulative Return After Earnings

Individual Earnings Gaps

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