Predicting IV Crush post Earnings/Key Data and Event Stripping the Term Structure. “Cleaning”.

This problem is common for anyone trading options.

Have you ever looked at the IV of an option and it just doesn’t make sense to you?

Perhaps you calculate 20 day realized vol on AAPL for example and it spits out 22%. So you would expect the Options IV to be around that level. But often times it’s just not. Sometimes it’s way higher like 30%. So your immediate reaction is like… well that’s way too high I’m going to sell options there.

It’s just not that simple. And I’m sure some or a lot of you are aware but these IVs have a bunch of key data built into it. Earnings, CPI, FOMC etc.

So traditional Blackscholes Vols don’t make sense given the extra vol of these events. You need to adjust or normalize these vols, stripping out the event premium, so you can see what the real IV is cleaned of these events.

If you do this normalization. In that AAPL example it’s certainly possible that that 30% IV is actually too cheap given the historical volatility of earnings. Perhaps after cleaning out the event, the true IV of the option is 20%.. which compared to baseline realized vol at 22% is actually a buy.

Doing this cleaning takes understanding of variance and volatility and how it relates to time space. To be honest the method for “cleaning” vols is a pain in the ass…

So in short. I built a full fledged tool for this. Completely free to use.

I’ve been a professional options market maker for 11 years in Chicago.. Term Structure “Cleaning” is by far the most important analysis method to being a successful options trader.

My old boss at DV Trading had this entire method/model on a Thumb Drive that he would use day to day, but then take home with him so no one could steal his IP. When I was at DRW, the heads of desks would constantly debate Event Multipliers for FOMC meetings and NFP so that they could predict the clean vols and therefore predict what IV would crush to post event.

I copied these methods and am now using it Full Time as a Treasury Options Trader in Chicago. It’s the Crux of how I make money. Personally I do event cleaning for 5year, 10year, 30year options on the US treasury curve so I can put on relative value plays in the options. It helps me get comfortably short going into events because I know where IV will crush to. I’m able to capture roughly 75k per event per 900 OEV in treasuries.

Not sure if all that makes sense to you but yea.

So I built out this entire method again and made it available to anyone trading Equity Options for any ticker and any Equity index like SPY and QQQ etc.

Check out the Term Structure Analysis tool attached to this post.

Some of it may be confusing. The page goes into how it works but scroll down a bit and the tool is there. Enter any ticker you’re interested in and it will show you event multipliers for all key events and show you the market vs clean term structure to help you identify trading opportunities.

If you’re familiar enough with options, you’ll understand how useful this tool is (at least I think so).

Saves you a ton of time on brutal analysis.

And then if you want to take it a step further, there is the ability to generate AI trade recommendations based on the term structure analysis. It’s an AI I’ve built all of 2025 that uses real time data and news, and does all the term structure analysis for you and then spits out what it thinks the best trade is given all of these factors.

Hope you find this useful!