VRP's tend to get fat at low levels of realized (implied's know vol is mean-reverting) but these premiums are extra fat because of upcoming events

If a typical VRP when realized is low is 130% (IV/RV) you can estimate how much variance is priced into the event by choosing a trading day vol that reflects a typical IV given the level of RV

There's multiple events upcoming so this is hairier than just earnings extraction but if we pretend it's just 1 day we can say "oh when SPX is realizing 8% fair vol might be something like 11% but since it's priced at 15% the implied event size is X"...and you solve for X

(This is a more back of the envelope way than methods I've showed in the sbstack). Anyway the topic came up in the mt discord when @BlueyCapital shared @donnelly_brent & @MacroAlf pod chat with us

anyway, carry on