IV Crush Calculator: How Earnings Volatility Drops Change Option Prices

Earnings IV Crush Simulator

Before earnings, implied volatility rises to price in a big move. After the report it usually collapses. Enter a fictional EXMPL setup and an earnings-day move.

  • Prices from Black-Scholes, no dividends. One day passes between before and after.
  • Sellers aim to collect the crush; buyers need a move bigger than what was priced in. Both are bets on the size of the move.