All termsOption Pricing and ValueStart here
Earnings Volatility
Earnings volatility refers to the volatility priced around a company's earnings announcement and the uncertainty surrounding the market's reaction to the results.
Why it matters to you
Options expiring around earnings can price substantially more uncertainty than contracts that do not contain the event. This is why buying calls immediately before earnings is not simply a bet that the stock will rise. The size of the move relative to what was already priced matters too.