How Does the Expected Announcement of a Major Event Affect an Option’s Time Value?

The expected announcement of a major event, such as a regulatory decision or a network upgrade in crypto, typically causes implied volatility (IV) to surge beforehand. This surge dramatically increases the option's time value as the market prices in higher uncertainty and potential for large price swings.

Immediately after the event, if the outcome is known, IV usually collapses, leading to "IV crush" and a rapid loss of time value.