{"slug":"what-is-iv-crush","qid":"crush_board","label":"The biggest one-day ATM implied volatility collapses, June 1 - July 15, 2026","post_title":"What Is IV Crush? Measured on Real Earnings","post_url":"/blog/what-is-iv-crush#q-crush_board","columns":["ticker","crush_date","iv_before_pct","iv_after_pct","iv_drop_points","contracts_traded"],"rows":[{"ticker":"AVGO","crush_date":"2026-06-04","iv_before_pct":145.4,"iv_after_pct":48.5,"iv_drop_points":96.8,"contracts_traded":134562},{"ticker":"ABVX","crush_date":"2026-06-30","iv_before_pct":150.3,"iv_after_pct":83.4,"iv_drop_points":67,"contracts_traded":16692},{"ticker":"GTLB","crush_date":"2026-06-03","iv_before_pct":143.2,"iv_after_pct":80.7,"iv_drop_points":62.5,"contracts_traded":3939},{"ticker":"MU","crush_date":"2026-06-24","iv_before_pct":108.5,"iv_after_pct":51.4,"iv_drop_points":57.1,"contracts_traded":17961},{"ticker":"ABVX","crush_date":"2026-06-26","iv_before_pct":202.8,"iv_after_pct":150.3,"iv_drop_points":52.5,"contracts_traded":1042},{"ticker":"WEN","crush_date":"2026-06-25","iv_before_pct":153.7,"iv_after_pct":103.9,"iv_drop_points":49.8,"contracts_traded":28866},{"ticker":"WDC","crush_date":"2026-06-24","iv_before_pct":100.9,"iv_after_pct":53.2,"iv_drop_points":47.7,"contracts_traded":2122},{"ticker":"QCOM","crush_date":"2026-06-24","iv_before_pct":84.9,"iv_after_pct":39.6,"iv_drop_points":45.3,"contracts_traded":7357},{"ticker":"MRVL","crush_date":"2026-06-03","iv_before_pct":130.5,"iv_after_pct":85.7,"iv_drop_points":44.9,"contracts_traded":17073},{"ticker":"RIVN","crush_date":"2026-07-07","iv_before_pct":118.3,"iv_after_pct":74,"iv_drop_points":44.3,"contracts_traded":22574},{"ticker":"SNDK","crush_date":"2026-06-24","iv_before_pct":113,"iv_after_pct":68.7,"iv_drop_points":44.3,"contracts_traded":4107},{"ticker":"RH","crush_date":"2026-06-15","iv_before_pct":98,"iv_after_pct":55.9,"iv_drop_points":42.1,"contracts_traded":1068}],"shape":"series","sql":"WITH daily AS (\n    SELECT underlying_symbol, date,\n           quantileExact(0.5)(implied_volatility) AS iv,\n           sum(volume) AS vol\n    FROM global_markets.options_greeks\n    WHERE date >= toDate('2026-06-01') AND date <= toDate('2026-07-15')\n      AND iv_converged AND implied_volatility BETWEEN 0.02 AND 5\n      AND abs(strike_price / underlying_close - 1) <= 0.05\n      AND expiration_date BETWEEN date + 7 AND date + 60\n      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')\n    GROUP BY underlying_symbol, date\n    HAVING count() >= 15 AND sum(volume) >= 1000\n),\nmoves AS (\n    SELECT underlying_symbol, date,\n           iv, lagInFrame(iv) OVER w AS prev_iv,\n           lagInFrame(date) OVER w AS prev_date, vol\n    FROM daily\n    WINDOW w AS (PARTITION BY underlying_symbol ORDER BY date ASC)\n)\nSELECT underlying_symbol AS ticker,\n       toString(date) AS crush_date,\n       round(100 * prev_iv, 1) AS iv_before_pct,\n       round(100 * iv, 1) AS iv_after_pct,\n       round(100 * (prev_iv - iv), 1) AS iv_drop_points,\n       vol AS contracts_traded\nFROM moves\nWHERE prev_iv > 0 AND date - prev_date <= 4 AND prev_iv - iv >= 0.12\nORDER BY iv_drop_points DESC\nLIMIT 12","computed_at":"2026-08-18T14:07:02.584987+00:00","elapsed":0.006846368}