2026-09-22
Micron's IV Term Structure Before Wednesday
Not financial advice. Verify claims independently.
Front-week IV is elevated vs. the back — the classic pre-earnings vol shape, dissected.
Look at MU's options chain right now and you'll see the classic pre-earnings vol shape:
- Front-week IV (this Friday's expiry): massively elevated — pricing the ~9% expected move
- Back-month IV: closer to normal — the market doesn't expect the elevated regime to persist
- The gap: front IV minus back IV = the "event premium" — what the market charges specifically for Wednesday's print
The mechanics: after the print, front-week IV collapses toward the back-month level — that's the "IV crush" premium sellers harvest. The straddle buyers are paying for a move that exceeds the crush.
The tell: compare front-week IV to MU's historical earnings realized vol. If implied >> realized historically, the options market is overpricing the event — a sell-the-premium signal.
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