I understand that IV around earnings is much higher right before earnings vs a few weeks out, but when does the IV really start picking up? In other words, if you had to graph IV of a contract that expires 2 days after an earnings report, when does it typically start increasing to its IV high just before earnings? Is the increase in IV of said contract from 2 weeks out a linear progression, or is it exponential? any insight is greatly appreciated.
Its difficult to answer because the IV some equity options increase more than others, it can also depend on what level the VIX at the start of your trade and at the end of your trade
Here is a graph of AAPL 10-day IV and 10 IV where we take out the earnings effects. https://blog.orats.com/how-orats-removes-earnings-effect-from-implied-volatility https://gyazo.com/97d5a541327735d9c6863cc22194acc8 Eyeballing the graph, it looks like the IV/exEarnIV gets to about 1.67 or 67% right before earnings. The amount depends on where in the expiration cycle earnings falls. The fewer days to expiration the higher the percentage.