Gamestop $GME Earnings vol crush setup – market looks mispriced here!

During earnings season, I have a heavy focus on earnings vol setups, and this one stands out.

Not because of direction – but because of how volatility is being priced.

Quick breakdown:

3DTE ATM Straddle IV: 102.9%

Implied move: ±7.5%

Expected Vol Crush: 60.4 (vol points)

Vega =$1.66

Vol crush as % of stock price =-4.4%

What’s interesting

The market is essentially saying:

With 68% confidence, the stock will move ±7.5%

But historically:

Post-earnings opening gap: min -22.6%, max +13.9%, mean abs move ±8.8%, std dev 10.9%

Adjusting for vol crush: ±19.7% minus -4.4% vol crush = ±15.3%

Therefore, with 68% confidence, historically the stock has moved ±15.3% post crush

Current options imply a move of ±7.5%, or a gap of 7.8% vs historical moves

That gap is where things get interesting.

Where most people go wrong

Most traders here will:

sell premium because 75% of the time options over estimate earnings induced moves

or pick a direction and hope

Both approaches ignore the only thing that really matters:

Is implied volatility accurately pricing the move?

How I think about it

I’m not trying to predict direction.

I’m asking:

Is volatility overpriced?

Is it underpriced?

Or is there no edge at all?

Depending on that, the trade changes completely.

My current read

Right now this looks like:

→underpriced volatility

Which means the better approach is likely:

→ long vol / structured trade

Curious how others see this

Are you selling this?

Buying vol?

Staying out?

Would be interested in how others are thinking about implied vs realized here.

YOUR COMMENT (POST IMMEDIATELY AFTER)

I track these setups daily and log how implied vs realized actually plays out.

Happy to share the structure I’m looking at if anyone wants it.