IV crush

Il crollo improvviso della volatilità implicita subito dopo un evento come gli earnings — può far scendere il prezzo di un’opzione anche se l’azione si muove a tuo favore.

IV crush is the sharp drop in implied volatility that happens right after a scheduled event, most often an earnings report. In the days before the announcement, uncertainty pushes option premiums up because vega rises with expected movement. Once the numbers are out, the uncertainty disappears, IV collapses, and option prices fall even if the stock moves in the direction you predicted.

In practice, this is why so many traders buy a call before earnings, guess the direction correctly, and still lose money. Say a stock trades at 100 and a 105 call costs 4.00 with IV at 80%. The stock jumps to 104 on good news, but IV drops to 35%, and the call is now worth 2.50. You were right and still down.

The common mistake is treating IV crush as a surprise rather than a known cost. If you buy premium into an event, you need a move large enough to beat the volatility drop. Sellers try to profit from the crush instead, but that comes with open-ended risk on a big surprise.

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