Event Volatility
Trade the move, not the direction
What it is
Buy a straddle/strangle to profit from a large move in either direction (long vol), or sell one to profit if the move is smaller than priced (short vol). Direction-neutral.
When it works
When the implied move looks too cheap (buy) or too rich (sell) versus the stock's historical event moves.
Why the setup pays
Direction = Neutral because you trade magnitude, not direction. The Debit-vs-Credit choice is the trade: a debit straddle is long vol (wants a big move), a credit strangle is short vol (wants calm).
The market it wants
Pre-event / rising VIX. Long vol shines pre-FOMC / CPI and in rising-VIX or shock windows; short vol wants calm, low-VIX periods.
What goes wrong
Long vol bleeds if the move is small (you paid for movement that didn't come); short vol via naked straddles or strangles carries very large or theoretically unlimited loss on a gap — keep it defined (iron condors / iron butterflies) unless you have the experience and capital to manage uncovered short vol.
Where it sits in the book
Event Volatility belongs to Event Catalysts & Asymmetric Convexity, the group whose edge comes from tails of the distribution (extreme variance expansion). That group looks for massive event-driven shocks or catastrophic tail events, and its risk profile is bi-directional breakout, or extreme tail protection.
Run this on the live market
This is the thesis the engine scans with. It reads the whole universe, scores what matches, and prices the structures against fair value.
names where the earnings straddle is pricing less than the historical average move, long vol
No account needed to run it. The free trial runs on the same live data a paid account gets.
Educational material, not investment advice. Nothing on this page is a recommendation to trade any security or structure. Options trading involves substantial risk of loss and is not suitable for all investors. Past performance is not indicative of future returns.