Team research · NUSA
Event-driven equity volatility
Study how uncertainty is priced around events.
NUSA team research into implied-volatility pricing around earnings and macro events, with historical options data and walk-forward straddle backtests.
Collaborative research, with the original presentation and source linked directly.
- earnings & macro catalysts
- Events
- implied-volatility research
- Options
- NUSA research project
- Team
- Contribution
- NUSA team research contributor
01 / The problem
Study how uncertainty is priced around events.
An event can change both expected price movement and the premium investors pay for uncertainty. Evaluating an options strategy requires distinguishing the volatility thesis from the execution and backtest assumptions.
This team project investigates event-driven volatility using historical options data and walk-forward straddle backtests. The presentation is the primary artifact for the research question, approach, and findings.
02 / In practice
Follow the workflow.
Read the team presentation for the research thesis and findings.
Inspect the shared repository for the data and backtesting workflow.
Assess results alongside their assumptions and limitations.
03 / Under the hood
How the pieces fit.
- 01
Frame
Define the earnings and macro-event volatility question.
- 02
Observe
Examine historical options pricing around the event window.
- 03
Evaluate
Use walk-forward straddle backtests to study the thesis.
- 04
Communicate
Present the methodology and findings as a NUSA team.
04 / Engineering judgment
Decisions & tradeoffs.
Keep team attribution explicit
This is collaborative NUSA research. The shared repository and presentation credit the broader work; this page does not claim sole authorship.
Let the research carry the evidence
The presentation and source are linked directly. Schematic curves on this site illustrate the idea and are not claimed returns or measured trading performance.
05 / Inspect the work