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Understanding implied volatility term structure around corporate events

This is a medium-difficulty options theory question that tests whether you can read and interpret the term structure of implied volatility — the pattern of IV across different expirations. It's a common screen in quant trading interviews because it separates candidates who memorize formulas from those who reason about market pricing.

The question gives you a snapshot of at-the-money implied volatilities across three different expiration dates and asks you to identify what market event or mechanism best explains the pattern. This requires understanding how volatility expectations shift when corporate catalysts are known in advance, and how options markets price in anticipated uncertainty around specific dates.

• Volatility smile and skew across strikes
• Event risk and announcement uncertainty
• Term structure dynamics and mean reversion
• Forward volatility and realized volatility expectations