The biggest one-day ATM implied volatility collapses, June 1 - July 15, 2026
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-18, from What Is IV Crush? Measured on Real Earnings.
| ticker | crush_date | iv_before_pct | iv_after_pct | iv_drop_points | contracts_traded |
|---|---|---|---|---|---|
| AVGO | 2026-06-04 | 145.4 | 48.5 | 96.8 | 134562 |
| ABVX | 2026-06-30 | 150.3 | 83.4 | 67 | 16692 |
| GTLB | 2026-06-03 | 143.2 | 80.7 | 62.5 | 3939 |
| MU | 2026-06-24 | 108.5 | 51.4 | 57.1 | 17961 |
| ABVX | 2026-06-26 | 202.8 | 150.3 | 52.5 | 1042 |
| WEN | 2026-06-25 | 153.7 | 103.9 | 49.8 | 28866 |
| WDC | 2026-06-24 | 100.9 | 53.2 | 47.7 | 2122 |
| QCOM | 2026-06-24 | 84.9 | 39.6 | 45.3 | 7357 |
| MRVL | 2026-06-03 | 130.5 | 85.7 | 44.9 | 17073 |
| RIVN | 2026-07-07 | 118.3 | 74 | 44.3 | 22574 |
| SNDK | 2026-06-24 | 113 | 68.7 | 44.3 | 4107 |
| RH | 2026-06-15 | 98 | 55.9 | 42.1 | 1068 |
- Rows × columns
- 12 × 6
- Period covered
- to
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
ticker |
text | 11 distinct values (ABVX, AVGO, GTLB…) | |
crush_date |
date | 2026-06-03 to 2026-07-07 | |
iv_before_pct |
number | 84.9 to 202.8 | percent |
iv_after_pct |
number | 39.6 to 150.3 | percent |
iv_drop_points |
number | 42.1 to 96.8 | ratio or rate |
contracts_traded |
number | 1,042 to 134,562 | count |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
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
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