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Below is a plot of AAPL vol vs. Strike for October and November, last market close vs 3 weeks prior. The plot shows that both curves shifted up by an approximately constant amount with the October term compressing a bit near the spot price. For every strike, vol is higher now than 3 weeks ago for both curves.

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However, July looks very different. Strikes approximately below spot gained vol while strikes above spot lost vol. There was no parallel shift in vol similar to the later months (Aug, Sept, Oct, Nov). I was expecting a roughly root time movement in vol across the expirations with bigger moves occurring at the front month. Why does July look different? The next dividend is in August so it's not that. I see the same behavior in other stocks.

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  • $\begingroup$ These are expiries (July, November..)? If so, looking at strikes is misleading because it's very unlikely you will reach a strike so far out in July. Therefore skew (smirk) is always looking more pronounced in the short term. Try plotting it by delta. If a 25D Call IV 20% higher than ATM in July, this should be similar in August. Also, look at NVIDIA recently. There is a bit of downward momentum. $\endgroup$
    – AKdemy
    Commented Jun 24 at 19:09

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