Case Study · Earnings
Free to readThe Cleanest Event Vol — Earnings
A single stock into earnings is the purest case there is: most of the implied vol is one scheduled jump, and almost all of it crushes the morning after.
Index events like FOMC are shared across the whole market and sit on a meaningful diffusive baseline. A single stock into earnings is the opposite — the catalyst dominates the reading. That makes it the cleanest illustration of event isolation in the whole tool.
The setup
Take a name famous for big earnings reactions — a NVDA-style stock whose options routinely price double-digit one-day moves. In the days before the report, implied vol screams higher. But the stock's diffusive volatility — how it trades on a normal, no-news day — hasn't changed much. Nearly all of the spike is one thing: the expected earnings jump.
Implied vol climbs as the report enters the window. The event chunk dominates; the diffusive baseline barely moves.
Implied is at its peak — but the deconstruction shows it's mostly the earnings event, not the baseline. A high reading that is "expensive" for one date only.
Earnings are out; uncertainty resolves. The event chunk collapses and implied vol crushes back toward the baseline — the classic post-earnings crush.
Illustrative. Into the report, the reading is mostly the earnings event sitting on a small baseline. The morning after, the event chunk is gone and only the baseline remains. Schematic, not a price chart.
What the deconstruction showed
The number that matters is the share. When the tool shows that, say, three-quarters of a name's implied vol is the earnings event, you know two things instantly: the reading will crush hard right after the report, and the "expensive" options aren't expensive on a diffusive basis at all — they're priced for one jump. That reframes the whole trade. You're not taking a view on the stock's volatility; you're taking a view on whether the earnings move will be bigger or smaller than the chunk the market has priced.
Into earnings, the implied reading is mostly a single scheduled jump. Isolating it tells you exactly how much premium is about to crush — and turns "is vol high?" into the real question: is the priced earnings move too big or too small?
This case study is free. To isolate the earnings event on a single name you need ETF + Equities; replay the history with Everything.
See plans →Educational content from Nations Indexes. The earnings dynamic described (a large implied move that crushes after the report) is a well-documented pattern; the specific figures and the figure are illustrative, not a price chart, and nothing here is investment advice.