Events
Free to readEarnings & the Term Structure: Why the Front Bumps
A known catalyst doesn't tilt the whole curve — it pokes one tenor up. Learn to spot the event kink so you stop paying for catalysts you didn't mean to buy.
Most of what moves the term structure is regime — calm or stress, contango or backwardation. But there's a third thing the curve shows: a single, dated event. It doesn't slope the whole curve; it lifts the one tenor that captures the catalyst. That local bump is the event kink.
What the kink is
Implied volatility prices uncertainty. An earnings date, an FDA decision, a Fed meeting — each injects a known burst of uncertainty on a known day. The expiration that first contains that day has to price it; the expirations around it don't. So VolDex at that tenor lifts above its neighbors while the rest of the curve keeps its underlying shape. On a single name into earnings week, the front of the curve bulges; on an index around an FOMC date, a specific tenor stands proud.
Schematic. The event sits in the expiration just after the catalyst date — here near the 30-day tenor — lifting it above the smooth curve around it.
How to read it
Two questions answer it. First: is the bump on a tenor that straddles a known date? Map the kink to the calendar — the catalyst sits just before the bumped tenor's expiration. Second: is the rest of the curve still in its normal shape? If the overall slope is intact and only one point is high, it's an event kink, not a stress inversion. TermDex® won't flip negative for a single rich tenor — it measures the whole slope — which is exactly why a kink and a regime change look different on the gauge.
Treating the bump as backwardation and reacting as if the market is stressed. It isn't — it's pricing one known event. Check the calendar just before that tenor before you do anything.
Free to read. Read the kink on real single-name tickers with ETF + Equities; the Event Volatility Isolation history needs Everything.
See plans →Isolating the event
Seeing the kink is step one; quantifying it is step two. The bumped tenor's VolDex is a blend of the curve's baseline plus the event's contribution. The Event Volatility Isolation tool separates those — telling you how much of the bump is the impending catalyst versus the ambient regime. That number is what you actually trade: if the event premium is rrich, the calendar around the date sells it; if it's cheap, you might own it.
The trade around the date
The classic structure is a calendar that straddles the event: short the expiration that carries the catalyst (rich with event premium), long an expiration just past it (cheaper, once the event is behind), built ATM so you're trading the term-structure bump and not a skew bet. The risk is the event itself — an outsized move can overwhelm the short leg, so size to the isolated event premium, not the headline IV.
Your next step
Open the VolDex® Term Structure tool → Open: Event Volatility Isolation → Read: Trading the term structure →Educational content from Nations Indexes. VolDex® and TermDex® are registered marks of Nations Indexes. Diagrams are schematic. Nothing here is investment advice.