Options Whale · Learning library

Pre-earnings volatility behavior

Align the calendar to the event

Comparing two observations on ordinary calendar dates can hide a difference in distance to earnings. Options Whale organizes each earnings cycle into event time: T-35, T-28, T-21, T-14, T-7, T-3, T-1, and T+1. T-21 refers to the configured observation checkpoint before the event; the engine records its date-alignment convention.

Compare the same stage

A historical event-relative curve summarizes ATM IV at comparable checkpoints. The platform retains the median, quartiles, and sample size where observations exist. The current value divided by the historical median, minus one, measures event IV deviation.

A negative deviation means IV is below that checkpoint's historical median. It does not guarantee that volatility will increase or that a long-option position will profit. Timing, stock movement, time decay, and execution cost still matter.

Keep historical coverage visible

Real observations must come from point-in-time option snapshots or licensed historical data. Synthetic fixture curves are useful for interface testing and must remain clearly labeled. An empty checkpoint should stay empty until valid observations are available.

Follow the exposure through time

A trade exited before earnings studies a different exposure from one held through the announcement. Read the proposed entry and exit rules before comparing outcomes. Inspect IV crush, term structure, and the screener together.

Source: OCC's Options Industry Council: implied volatility and timing before earnings.