How earnings dey move option greeks — Tesla call example

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

The lesson dey pair two data sources wey most tools dey keep apart: the actual SEC filing wey timestamp the earnings event, and the computed greeks for a single contract around am. Match them and the "earnings play" go stop to be folklore.

When did Tesla actually report?

Every earnings event dey leave paper trail. A company dey file 8-K with the SEC on the day e release results, and the filing date na 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 na the earnings release: filed Apr 22, 2026, form type 8-K. That date na the pivot every option around am dey price toward.

One real contract through the print

Now the option. We dey pin a single at-the-money contract: the Tesla $400 call wey dey expire May 15, 2026, with a strike near the stock as the report land. The trace dey run 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 dey climb from $341.17 toward the strike, the call's implied volatility hold for mid-to-high 40s and its delta rise with the stock. On the filing day the call close 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 dey tell the whole story of an earnings option. Tesla fall to $373.18, and the call halve to $6.5. Delta re-rate from 0.421 down to 0.28 as the stock pull away from the strike, and implied volatility drop to 43.1%. Two forces hit the option in one session: the stock move against am, and the volatility premium comot.

The IV crush, smoothed across the strikes

A single contract dey 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 na the "IV crush" wey every earnings trader know. Averaged across the money strikes, implied volatility sit at 48.1% on the filing day and drop to 42.4% the session after. The uncertainty wey dem price into the options ahead of the number comot once the number become public.

Be honest about the size. This na a modest crush. Tesla dey carry high baseline implied volatility all year, and even a big event only dey trim a handful of points off am. A calmer, lower-volatility stock dey show a far sharper drop, since almost all of its option premium na the earnings uncertainty itself.

What actually moves, greek by greek

Two greeks dey do the work around an earnings print.

Vega na the option's sensitivity to implied volatility. Ahead of the date, rising implied volatility dey lift every option's price independent of direction. This na the premium a buyer dey pay for the unknown. After the release, that same vega dey work in reverse as implied volatility fall. See option vega for the mechanics.

Delta na the option's sensitivity to the stock, and e dey re-rate on the move itself. In the trace, delta go from 0.421 to 0.28 in one session as Tesla drop away from the $400 strike. A full walkthrough of all five dey inside the option greeks explained, and how the greeks change over time dey show the same drift across an option's whole life.

The trap for a buyer: you fit be right on direction and still lose. A call wey dem buy into elevated implied volatility need the stock to move more than the crush take away. When implied volatility fall faster than the stock rise, a call option fit finish the day lower even on a green print.

FAQ

Wetin be IV crush?

IV crush na the sharp drop in an option's implied volatility right after an earnings release. Ahead of the date, uncertainty about the result dey inflate implied volatility and option prices; once the number become public, that uncertainty don finish and implied volatility dey fall. In the Tesla example, near-the-money implied volatility go from 48.1% to 42.4% in one session.

Why option prices dey fall after earnings even when the stock rise?

An earnings option dey carry two moving parts: direction and volatility. A green print fit lift the stock while the IV crush dey drain the volatility premium out of the option at the same time. When the premium wey dem lose outweigh the directional gain, the option dey finish lower on an up day.

How I go know the exact day a company report?

The 8-K filing for EDGAR dey timestamp am. A company dey file 8-K with the SEC on the day e release results, and the filing date na the authoritative earnings date. The Tesla event here dey anchored to its Apr 22, 2026 8-K.

Which greek matter pass around earnings?

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

Do all stocks dey show the same IV crush as Tesla?

No. The size dey depend on the stock's baseline volatility. Tesla dey run high implied volatility year-round, and its crush dey modest in point terms. A steady, low-volatility stock dey show a far sharper crush, since almost all of its option premium na 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.