Implied-Move Calendar · Intermediate
Free to readThe Earnings Kink — a Single-Name Event
Before the print, the term structure marks exactly which expiration is carrying earnings premium. After, the kink vanishes overnight — vol crush in one chart. Illustrative.
Earnings are the cleanest event to study in the Implied-Move Calendar because they arrive on a known date and resolve in a single post-market print. The kink appears in advance, grows in the final days, delivers its answer, and disappears. This case study walks through that full arc — illustratively, using a representative single-name setup. No precise figures are stated; the dynamics are what matter.
Before earnings: the kink builds
Imagine a large-cap technology stock reporting earnings in roughly three weeks. Open the Implied-Move Calendar on that name a month before the print and you will see the term structure curve roughly smooth — implied moves growing calmly with time across the near expirations. Now move to about two weeks before report date. The expiration that first captures the earnings date has stepped up noticeably above the prior and following expirations. That is the kink: the market beginning to price the discrete variance of the event.
In the final week before earnings, the kink typically sharpens. Investors buying earnings-specific protection — straddles, calls, puts — are concentrated in the expiration just after the date, compressing the implied move for all surrounding expirations by comparison. The kinked expiration's implied move may be two or three times the size of the immediately preceding one, which captures only diffusive drift.
Illustrative. Solid blue: implied-move curve before the earnings print, showing the kink at the expiration that captures the event. Dashed green: the same curve the morning after — the kink has collapsed to the smooth baseline. The vol crush is visible as the vertical drop at the 21-day point.
Reading the marginal event move
To estimate what the market is pricing for earnings alone, compare the implied move at the kinked expiration with the implied move at the prior expiration (which sits before earnings and therefore carries no event premium). The difference — adjusted for the day-count between the two dates — approximates the event's stand-alone implied move. If the 21-day expiration implies an 11% move and the 14-day implies 5%, the seven extra days capture roughly a 6-percentage-point increment above a diffusive drift of perhaps 1–2%. Most of that increment is earnings.
Post-print: the vol crush
The morning after the print, open the calendar again. The kink is gone. The expiration that was richly priced now sits back on the smooth curve or even slightly below it, because the event that justified the premium has passed. This is the vol crush — the rapid collapse of implied vol after an anticipated event resolves. Traders who owned the kinked straddle going into the print experience vol crush even on a large move if the move, while significant, does not exceed the implied move. Traders who were short the kinked expiration and long a surrounding one capture the crush as their spread narrows.
Buying a straddle the day before earnings, counting on a "big move," is often a losing trade even when the stock moves meaningfully — because the implied move priced in was already large and the actual move fails to exceed it. The Implied-Move Calendar makes the priced-in magnitude explicit before you trade, so there are no surprises about what the stock needs to deliver.
This case study is free. To watch a live earnings kink on a single name before the print: ETF + Equities. Historical event track and CSV export: Everything.
See plans →Educational content from Nations Indexes. This case study is illustrative; no specific ticker, date, or precise figure is stated or implied. VolDex® is a registered mark of Nations Indexes. Diagrams are schematic. Nothing here is investment advice.