By Matt Connor
What Is IV Crush? Measured on Real Earnings
IV crush is the overnight collapse of option implied volatility after an event. We scanned six weeks of the US options tape and measured every big one.
IV crush is the fast collapse of an option's implied volatility, usually the session after a scheduled event — an earnings report above all. The uncertainty the market had priced into the options resolves in one headline, and the volatility premium drains out of every contract on the name at once. A trader can call the stock's direction correctly and still lose money on the option; the crush takes back more than the move gives.
What IV crush looks like, measured
The cleanest way to see it is to scan for it. Here is every large one-day collapse in at-the-money implied volatility across liquid US underlyings over six recent weeks, measured from real closing prices — leveraged funds excluded, thin chains filtered out:
The exact SQL behind every number
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 12The board's top event is AVGO on 2026-06-04: at-the-money IV of 145.4% one session, 48.5% the next — 96.8 points of implied volatility gone in a day, on 134562 contracts traded. Read down the list and a pattern appears without any calendar: names cluster on shared dates. June 24 alone carries several memory-chip and semiconductor names — one company's report repriced the uncertainty on its whole sector.
Anatomy of one crush: Broadcom, June 2026
The exact SQL behind every number
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 filed an 8-K with the SEC on 2026-06-03 — the results announcement. Its options had spent weeks pricing the event:
The exact SQL behind every number
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 dateThe shape is the whole story. Implied volatility climbs into the event day after day — option buyers paying more and more for the same strikes — peaks the session before the filing, and collapses the session after. The stock still moves on the news; what vanishes is the premium for not knowing. Every option holder on the name pays that repricing at once, calls and puts alike, whichever way the stock went.
The three rules the crush enforces
The crush is priced, not hidden. A pre-earnings IV of 100%+ against a normal 40% is the market openly quoting the event's weight. Buying that option is buying the event at full price; the implied volatility number tells you exactly how much of the premium is event.
Direction is not enough. An option's value moves on the stock's price AND on implied volatility — vega measures the second exposure. When forty points of IV leave overnight, vega turns that into dollars lost, and a correct directional call can still finish red.
The other side of the same table is a harvest. Option sellers collect the inflated pre-event premium and keep it when the crush lands — carrying, in exchange, the risk that the move exceeds everything that was priced. Neither side is free money; the crush is just the moment the price of uncertainty gets settled.
For the same mechanics traced through a single contract — price, delta, and IV across an actual report — see how earnings move option greeks. For where event premium is sitting right now, the highest implied volatility board is the standing watchlist; several of its regulars are there precisely ahead of scheduled reports.
FAQ
What causes IV crush?
The resolution of a scheduled uncertainty — earnings above all, and also FDA decisions, court rulings, guidance events. The options priced a wide range of outcomes; the announcement collapses that range to one, and the volatility premium goes with it.
How big is a typical IV crush?
On this page's six-week board, the measured collapses run from 42.1 to 96.8 points of at-the-money implied volatility in a single session. The biggest events roughly halve the IV overnight.
Does IV crush affect calls and puts equally?
Yes. Implied volatility is a property of the whole option chain, and the collapse hits both sides — a put holder and a call holder on the same name lose the same volatility premium, whichever way the stock moved.
Can you avoid IV crush?
You can only trade around it: buy options when no event sits inside the expiry window, close positions before the announcement, use spreads that sell as much event premium as they buy, or be the seller. Holding a long option through a known event IS a bet that the move beats the priced-in crush.
Every number above is a stored, versioned query over the full options tape — expand any panel to audit it, or run the same crush scan on any window from the Strasmore terminal.