Case Study · Vol Screener · Intermediate

Selling the Richest Name into Earnings

When the screener's richest name also has earnings in the window, the setup is one of the most well-known in options: sell the inflated implied vol and let the post-earnings crush do the work.

This case study is illustrative — it does not use precise historical data points — but it describes a setup that repeats dozens of times a year across the Nations universe. The logic is consistent: the screener finds the richest name; the calendar explains why it's rich; the trade is to sell that richness before earnings and close after the crush.

The setup

Imagine opening the screener on the Monday before a large mega-cap technology name's quarterly earnings, which are scheduled for Tuesday after the close. The screener's VRP column shows that name at the top of the universe — VolDex® 30d is running materially above trailing realized vol. The Term Slope column confirms backwardation: the 7-day reading is significantly above the 30-day, because the earnings event falls squarely inside the 7-day window, inflating near-term implied. RiskDex® is also elevated, meaning downside protection has been bid up alongside the absolute level.

Every other name on the screener shows VRP in a normal range. This is not a broad vol bid. It is one name elevated above the universe for a specific, identifiable reason: scheduled earnings. The screener has done its job — it surfaced the outlier.

The trade logic

The mechanism behind the setup is well documented: implied vol inflates into earnings because buyers of options — those wanting defined-risk exposure to the earnings move — bid up the near-term curve. Once earnings print, that event premium evaporates overnight, a process called the vol crush. If the actual move is smaller than the options priced in — which, on average, it tends to be — the seller of that implied vol collects the excess premium.

The trade is a short-premium structure — typically a short strangle, an iron condor, or a credit spread — that expires just after the earnings date. The position is not a directional bet on whether the stock goes up or down. It is a bet that the implied move priced into the options exceeds the actual move. The screener's VRP reading — specifically the gap between implied and recent realized — is a proxy for how much excess premium is on offer.

What the screener adds

Without the screener, finding the right earnings play requires checking names individually. With the screener, the richest name in the universe on a given morning is instantly visible: one sort on VRP, look at the top row, check the calendar. If earnings are confirmed inside the window, the setup is in front of you in thirty seconds. The screener's cross-sectional view also prevents a common mistake: trading a name because it feels elevated when a different name has a materially higher VRP and a cleaner earnings setup.

After the earnings print

If the move is contained within the strikes, the position closes profitably as implied vol collapses back to its normal cross-sectional level — which the screener will reflect the morning after earnings, when that name's VRP drops back into the middle of the universe. The screener's own read is the confirmation: from the top of the VRP ranking to the middle, overnight.

Educational content from Nations Indexes. This case study is illustrative; it does not represent specific historical trades or positions. Vol crush is a well-documented phenomenon but does not occur on every earnings event. Nothing here is investment advice.