Volatility Surface Deformation Around Event Windows

We characterise systematic deformation of equity implied volatility surfaces in the seventy-two hours surrounding scheduled earnings releases. The dominant mode is term-structure inversion accompanied by stable skew, with second-order rotation of the wings consistent with directional risk transfer rather than uniform vol-of-vol expansion.

Principal components on log-IV residuals after Black-Scholes detrending, conditioned on event proximity τ_E. The first two components account for the majority of cross-sectional variance.

Surface deformation is informative about positioning, not about outcome. A clean inversion without wing rotation typically indicates symmetric expectation; rotated wings indicate directional consensus that may itself be the dislocation.

Used as a positioning prior in event-window memos, not as an independent directional signal.

Single-name surfaces are noisy below typical liquidity thresholds; aggregation across comparable names introduces its own bias.