It seems that, especially around earnings, vega calculations are way off. We have noticed (see "BIDU's earnings" thread), that even if vega is higher for back months than front months (as it should be as they have more premium left in them), IV in the front months is the one that crashes the most after earnings. Looking at CMG yesterday, you will see that the Mar's IV went down more than the Jun's, even if Vega for June's was twice as big. All calculations, and simulations (such as the analyze tab in TOS), would then be based on data that is not accurate. Am I missing something here? Anyone else noticed this?