IV Crush Calculator
See exactly how much your option will lose when implied volatility collapses after earnings — and how far the stock has to move to make up for it. Free, no signup.
What is IV Crush?
IV Crush is the sharp collapse in implied volatility — typically 30-60 percentage points — that happens immediately after a scheduled event like earnings removes uncertainty from option pricing. The volatility premium evaporates, so options can lose half their value overnight even when the stock moves in the right direction.
This calculator reprices your option with the post-event IV and one less day on the clock, isolating exactly how much of your premium is at risk from the crush itself.
Your Option
Black-Scholes repricing with IV After and DTE−1 (the morning after). Risk-free rate 4.5%. Look up any ticker's live IV on the IV calculator or check the earnings calendar for implied moves.
The Damage
How the IV Crush Calculator Works
Before earnings, options carry a volatility premium: the market prices in the chance of a big move, so implied volatility — and therefore the option's price — is inflated. The moment results are out, that uncertainty is resolved and IV collapses toward its normal level, typically losing 30–60 percentage points overnight.
The calculator prices your option twice with the Black-Scholes model: once with the pre-event IV and your current days to expiration, and once with the post-event IV, one less day, and whatever stock move you specify. The difference is your expected P&L — and with the move set to 0%, it isolates the loss caused purely by the volatility collapse.
The breakeven move is the number that matters most: it's how far the stock must move in your favor just to offset the crush. Compare it against the expected move the straddle is pricing — if breakeven exceeds the expected move, the long option needs an outsized surprise to profit.
Frequently Asked Questions
What is an IV crush calculator?
A tool that estimates how much an option's price falls when implied volatility collapses after a scheduled event like earnings. It reprices the option with the lower post-event IV and one less day of time, so you can see the expected loss — and the stock move needed to offset it — before entering the trade.
How much do options lose to IV crush after earnings?
IV typically collapses 30–60 percentage points within hours of a release. For a 30-DTE at-the-money option, a drop from 80% to 40% IV cuts the value roughly in half even if the stock doesn't move. ATM and short-dated options are hit hardest because more of their price is pure volatility premium.
Can the stock move up and my call still lose money?
Yes — that's the classic trap. If the premium destroyed by the IV collapse exceeds the value gained from the move, the option loses despite being directionally right. That's exactly what the breakeven-move output tells you.
How do you avoid IV crush?
Avoid holding long options through events, or flip the trade: sell premium (iron condors, credit spreads) or use structures with offsetting vega (calendars, verticals). Check IV rank first — the crush is the edge premium sellers harvest at earnings.