I am doing earnings calendars seeking to profit from IV crush after an earnings announcement. I have only been doing these for three earnings cycles and have not run across this before. I was looking at FUL in the last hour before the close. The front month ATM was 38.7 while the back month was 39.2. I just checked this morning and it is now back to what you would expect 39.9 Front month and 28.8 back month.
Any idea why this would happen? Was the market maker just discouraging traders from placing trades? I have seen instances where the IV spread was only 1% but this is the first time I have seen an inverted spread. It worked out for the best since they had a very negative report and I would have lost money. Just curious if this IV disparity is common.
ATM option IV lower than the next option series during an earnings announcement?
byu/Status-Property-446 inoptions
Posted by Status-Property-446