Wetin be IV crush? How e show for real earnings

IV crush na wen di implied volatility of one option fall sharply, usually di session afta one planned event — especially earnings report. Di uncertainty wey market don price into di options clear for one headline, and di volatility premium just drain comot from every contract for dat name at once. One trader fit call di stock direction correct and still lose money for di option; di crush go collect back more dan wetin di move give.

How IV crush look, wen you measure am

Di cleanest way to see am na to scan for am. Na here be every big one-day collapse for at-the-money implied volatility across liquid US underlyings for six recent weeks, measured from real closing prices — leveraged funds no dey inside, thin chains don filter comot:

WITH daily AS (
    SELECT underlying_symbol, date,
           quantileExact(0.5)(implied_volatility) AS iv,
           sum(volume) AS vol
    FROM global_markets.options_greeks
    WHERE date >= toDate('2026-06-01') AND date <= toDate('2026-07-15')
      AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
      AND abs(strike_price / underlying_close - 1) <= 0.05
      AND expiration_date BETWEEN date + 7 AND date + 60
      AND underlying_symbol NOT IN ('KORU','SOXL','SOXS','TQQQ','SQQQ','NVDL','NVDS','NVD','TSLL','TSLQ','TSLZ','SPXL','SPXS','UPRO','SPXU','LABU','LABD','FAS','FAZ','TNA','TZA','YINN','YANG','UDOW','SDOW','BOIL','KOLD','UCO','SCO','USD','SSO','SDS','QLD','QID','ERX','ERY','DRN','DRV','CURE','SOXY','MUU','SNXX','UVXY','SVXY','UVIX','SVIX','BULZ','WEBL','WEBS','DPST','DRIP','GUSH','AGQ','ZSL','BITX','ETHU','MSTX','MSTU','CONL','DUST','JNUG','JDST','NUGT','AMDL','NUAI','DRAM')
    GROUP BY underlying_symbol, date
    HAVING count() >= 15 AND sum(volume) >= 1000
),
moves AS (
    SELECT underlying_symbol, date,
           iv, lagInFrame(iv) OVER w AS prev_iv,
           lagInFrame(date) OVER w AS prev_date, vol
    FROM daily
    WINDOW w AS (PARTITION BY underlying_symbol ORDER BY date ASC)
)
SELECT underlying_symbol AS ticker,
       toString(date) AS crush_date,
       round(100 * prev_iv, 1) AS iv_before_pct,
       round(100 * iv, 1) AS iv_after_pct,
       round(100 * (prev_iv - iv), 1) AS iv_drop_points,
       vol AS contracts_traded
FROM moves
WHERE prev_iv > 0 AND date - prev_date <= 4 AND prev_iv - iv >= 0.12
ORDER BY iv_drop_points DESC
LIMIT 12

Di board top event na AVGO on 2026-06-04: at-the-money IV of 145.4% one session, 48.5% di next — 96.8 points of implied volatility vanish for one day, on 134562 contracts wey trade. Read down di list and one pattern show without any calendar: names cluster for shared dates. June 24 alone carry several memory-chip and semiconductor names — one company report repriced di uncertainty for im whole sector.

Anatomy of one crush: Broadcom, June 2026

SELECT toString(min(filing_date)) AS avgo_8k_filed,
       count() AS filings
FROM global_markets.stocks_sec_edgar_index
WHERE ticker = 'AVGO' AND form_type = '8-K'
  AND filing_date BETWEEN toDate('2026-06-01') AND toDate('2026-06-06')

Broadcom file one 8-K with di SEC on 2026-06-03 — di results announcement. Im options don spend weeks dey price di event:

SELECT toString(date) AS session_date,
       round(100 * quantileExact(0.5)(implied_volatility), 1) AS atm_iv_pct,
       sum(volume) AS contracts_traded
FROM global_markets.options_greeks
WHERE underlying_symbol = 'AVGO'
  AND date BETWEEN toDate('2026-05-22') AND toDate('2026-06-12')
  AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5
  AND abs(strike_price / underlying_close - 1) <= 0.05
  AND expiration_date BETWEEN date + 7 AND date + 60
GROUP BY date
ORDER BY date

Di shape na di whole story. Implied volatility climb enter di event day after day — option buyers dey pay more and more for di same strikes — e peak di session before di filing, and collapse di session after. Di stock still move on di news; wetin vanish na di premium for not knowing. Every option holder for dat name pay dat repricing at once, calls and puts alike, anyhow di stock move.

Di three rules wey di crush dey enforce

Di crush dey priced, e no dey hidden. One pre-earnings IV of 100%+ against normal 40% na di market dey openly quote di event weight. To buy dat option na to buy di event at full price; di implied volatility number tell you exactly how much of di premium na event.

Direction no be enough. One option value dey move on di stock price AND on implied volatility — vega dey measure di second exposure. Wen forty points of IV comot overnight, vega turn dat one to dollars wey loss, and one correct directional call fit still end red.

Di oda side of di same table na harvest. Option sellers collect di inflated pre-event premium and keep am wen di crush land — dem dey carry, in exchange, di risk say di move go exceed everitin wey dem price. No side get free money; di crush na just di moment wen dem settle di price of uncertainty.

For di same mechanics wey dem trace through one single contract — price, delta, and IV across one actual report — see how earnings move option greeks. For where event premium dey siddon right now, di highest implied volatility board na di standing watchlist; several of im regulars dey there precisely ahead of scheduled reports.

FAQ

Wetin dey cause IV crush?

Di resolution of one scheduled uncertainty — earnings above all, and also FDA decisions, court rulings, guidance events. Di options price wide range of outcomes; di announcement collapse dat range to one, and di volatility premium follow am go.

How big one typical IV crush dey?

For dis page six-week board, di measured collapses run from 42.1 to 96.8 points of at-the-money implied volatility for one single session. Di biggest events roughly halve di IV overnight.

IV crush dey affect calls and puts equally?

Yes. Implied volatility na property of di whole option chain, and di collapse hit both sides — one put holder and one call holder for di same name lose di same volatility premium, anyhow di stock move.

You fit avoid IV crush?

You fit only trade around am: buy options wen no event siddon inside di expiry window, close positions before di announcement, use spreads wey sell as much event premium as dem buy, or be di seller. To hold one long option through one known event NA bet say di move go beat di priced-in crush.

Everi number above na stored, versioned query over di full options tape — expand any panel to audit am, or run di same crush scan on any window from di Strasmore terminal.