Options pricing

IV Crush

A sharp implied-volatility decline after uncertainty is resolved.

01 / Definition

What IV Crush Means

IV crush often follows earnings or another scheduled event. Option premium can fall even when the underlying moves in the expected direction because pre-event volatility value disappears.

02 / Worked Example

How to Read the Result

A call benefits from a stock rise after earnings, but IV falls from 70% to 38%; the volatility loss may offset the directional gain.

03 / Boundaries

Limitations

The size and timing are uncertain.
Other Greeks move simultaneously.
IV can stay high if uncertainty persists.

04 / Questions

Common Questions

Does IV always fall after earnings?

Often, but new uncertainty or surprise can keep it high or push it higher.