I know a *little* bit about volatility, but not enough to understand what happened to this DNA straddle. On Thursday, before we knew whether GenenTech (DNA) would get their new drug approved, the $75 March Straddle sold for $5.83 with 32.29% implied volatility. On Monday morning, once the market knew that the drug was Approved, the stock shot up 10% from $72 to $79. But - the March $75 straddle dropped in value to $4.95, with new IV of 21.36%. So what is going on here? Is the drop in Straddle value because IV is lower? So, we're saying that the market expected a greater move than 10%? That's the only thing I can think of to explain the drop in Straddle price, but the original IV of 32% didn't suggest the market was expecting lots of volatility that didn't materialize. Any thoughts from someone who understands straddles / options better than I do?