OPTIONS CALCULATOR
Earnings IV Crush calculator
See how much a long option loses when implied volatility collapses after earnings — and the move you'd need just to break even. This is why GiottoO is cautious about buying premium into earnings.
Buying premium into earnings means fighting the IV crush: implied volatility collapses right after the report, deflating the option even if the stock moves your way. That's why a directionally-correct trade can still lose — you often need a move larger than the expected move just to break even. GiottoO tends to reject pre-earnings long premium when IV rank is already extreme.
FAQ
What is IV crush?
The sharp drop in implied volatility right after an earnings release. Uncertainty inflates option premium before the report; once the news is out, IV collapses and deflates the option — often even when the stock moves your way.
Why can a correct directional trade still lose?
Because the premium you paid included elevated pre-earnings IV. If the stock's move is smaller than the crush, the volatility loss outweighs the directional gain. The calculator shows the move needed just to break even.
How is this calculated?
Black-Scholes prices the option at your pre-earnings IV, then again at your post-earnings IV (and optional favorable move), holding time and strike fixed. It's an estimate — real crush and moves vary.
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Educational research only. Not financial advice.