Implied earnings move

Attempt after M09A · 9A.10: it uses Proposition 9A.9 (9A.13) with the event variance $e$ written $m^2$ here, the normal-day volatility $\sigma_d$ written $\sigma_b$, and times to expiry $\tau_1, \tau_2$ written $T_1, T_2$. A stock trades at ₹1,500. Results are due before the current monthly expiry, 8 trading days away, where at-the-money implied volatility is 45%. The next monthly expiry, 28 trading days away, has implied volatility 30%. Use 252 trading days a year (illustrative numbers). (a) Compute the normal-day volatility $\sigma_b$ and the event standard deviation $m$ in % and in ₹. (b) Compute the expected absolute move if the event move is normal. (c) Approximate the front-month at-the-money straddle price and explain why straddle/spot overstates the event move. (d) Over the last 12 results the stock's mean absolute day-0 move was 4%. What does the comparison suggest, and what further data would you need before selling the event?