How Earnings Move Option Greeks

Earnings move option greeks in a rhythm you can watch day by day. Implied volatility climbs into the report date, the option's price swings hard on the actual result, and the volatility premium drains out over the sessions after. This post pins one real Tesla call across the company's first-quarter filing and reads an option's price and its greeks straight off the tape.

The lesson pairs two data sources most tools keep apart: the actual SEC filing that timestamps the earnings event, and the computed greeks for a single contract around it. Match them and the "earnings play" stops being folklore.

When did Tesla actually report?

Every earnings event leaves a paper trail. A company files an 8-K with the SEC on the day it releases results, and the filing date is the authoritative earnings date. Here are Tesla's 8-K filings across the first quarter of 2026, pulled from the EDGAR index:

SELECT toString(toDate(filing_date)) AS filing_date,
       formatDateTime(toDate(filing_date), '%b %e, %Y') AS filed,
       form_type
FROM global_markets.stocks_sec_edgar_index
WHERE ticker = 'TSLA' AND form_type LIKE '8-K%' AND filing_date BETWEEN '2026-01-01' AND '2026-04-30'
ORDER BY filing_date

The last row is the earnings release: filed Apr 22, 2026, form type 8-K. That date is the pivot every option around it was pricing toward.

One real contract through the print

Now the option. We pin a single at-the-money contract: the Tesla $400 call expiring May 15, 2026, with a strike near the stock as the report landed. The trace runs from two weeks before the filing to two weeks after.

SELECT date,
       round(underlying_close, 2) AS tsla,
       round(option_close, 2) AS call_price,
       round(implied_volatility * 100, 1) AS iv_pct,
       round(delta, 3) AS delta
FROM global_markets.options_greeks
WHERE ticker = 'O:TSLA260515C00400000' AND date BETWEEN '2026-04-08' AND '2026-05-06' AND implied_volatility > 0.02
ORDER BY date

Read the arc. Into the print, with Tesla climbing from $341.17 toward the strike, the call's implied volatility held in the mid-to-high 40s and its delta rose with the stock. On the filing day the call closed at $13.75 with implied volatility of 49.6% and a delta of 0.421, behaving like roughly 0.421 of a share.

The next session tells the whole story of an earnings option. Tesla fell to $373.18, and the call halved to $6.5. Delta re-rated from 0.421 down to 0.28 as the stock pulled away from the strike, and implied volatility dropped to 43.1%. Two forces hit the option in one session: the stock moved against it, and the volatility premium came out.

The IV crush, smoothed across the strikes

A single contract is noisy. To see the volatility pattern cleanly, average the implied volatility across every near-the-money Tesla option at the same May expiry, day by day:

SELECT date,
       round(avg(implied_volatility) * 100, 1) AS atm_iv_pct,
       round(avg(underlying_close), 2) AS tsla
FROM global_markets.options_greeks
WHERE ticker LIKE 'O:TSLA260515%' AND date BETWEEN '2026-04-08' AND '2026-05-06' AND implied_volatility > 0.02 AND abs(strike_price / underlying_close - 1) < 0.06
GROUP BY date ORDER BY date

The shape is the "IV crush" every earnings trader knows. Averaged across the money strikes, implied volatility sat at 48.1% on the filing day and dropped to 42.4% the session after. The uncertainty priced into the options ahead of the number came out once the number was public.

Be honest about the size. This is a modest crush. Tesla carries a high baseline implied volatility all year, and even a big event only trims a handful of points off it. A calmer, lower-volatility stock shows a far sharper drop, since almost all of its option premium is the earnings uncertainty itself.

What actually moves, greek by greek

Two greeks do the work around an earnings print.

Vega is the option's sensitivity to implied volatility. Ahead of the date, rising implied volatility lifts every option's price independent of direction. This is the premium a buyer pays for the unknown. After the release, that same vega works in reverse as implied volatility falls. See option vega for the mechanics.

Delta is the option's sensitivity to the stock, and it re-rates on the move itself. In the trace, delta went from 0.421 to 0.28 in one session as Tesla dropped away from the $400 strike. A full walkthrough of all five sits in the option greeks explained, and how the greeks change over time shows the same drift across an option's whole life.

The trap for a buyer: you can be right on direction and still lose. A call bought into elevated implied volatility needs the stock to move more than the crush takes away. When implied volatility falls faster than the stock rises, a call option can finish the day lower even on a green print.

FAQ

What is an IV crush?

An IV crush is the sharp drop in an option's implied volatility right after an earnings release. Ahead of the date, uncertainty about the result inflates implied volatility and option prices; once the number is public, that uncertainty is gone and implied volatility falls. In the Tesla example, near-the-money implied volatility went from 48.1% to 42.4% in one session.

Why do option prices fall after earnings even when the stock rises?

An earnings option carries two moving parts: direction and volatility. A green print can lift the stock while the IV crush drains the volatility premium out of the option at the same time. When the premium lost outweighs the directional gain, the option finishes lower on an up day.

How do I know the exact day a company reported?

The 8-K filing on EDGAR timestamps it. A company files an 8-K with the SEC on the day it releases results, and the filing date is the authoritative earnings date. The Tesla event here is anchored to its Apr 22, 2026 8-K.

Which greek matters most around earnings?

Vega and delta. Vega captures the implied-volatility run-up and crush; delta captures the price move on the actual result. Theta and gamma matter more for very short-dated positions.

Do all stocks show the same IV crush as Tesla?

No. The size depends on the stock's baseline volatility. Tesla runs a high implied volatility year-round, and its crush is modest in point terms. A steady, low-volatility stock shows a far sharper crush, since almost all of its option premium is the earnings uncertainty itself.

Run the trace yourself on the Strasmore terminal: pin any contract by its ticker and watch its greeks move through an event.