The sudden decrease in the expected move or volatility of the underlying security. The extrinsic or time value of the option reduces from high to low amounts suddenly as a result. This is most commonly seen immediately following corporate events, such as earnings announcements.
The sudden decrease in the expected move or volatility of the underlying security. The extrinsic or time value of the option reduces from high to low amounts suddenly as a result. This is most commonly seen immediately following corporate events, such as earnings announcements.