IV Crush: 251 Earnings Releases Measured on Cboe's Stock Volatility Indexes
IV crush is the sudden drop in implied volatility, and so in option prices, once a scheduled event such as an earnings release has passed. The uncertainty that was priced in is gone, so option premiums fall even when the stock moves.
Almost every options trader meets IV crush the same way: an option bought before earnings loses money the next morning even though the stock moved the right way. The implied volatility page explains why the premium swells before a known event.
This page measures the collapse after it, on Cboe’s own volatility indexes for four large stocks and 251 real earnings releases dated from SEC filings.
How it works
Implied volatility is the part of an option’s price that pays for uncertainty. Before a scheduled event, traders know a large move could come but not which way, so they pay more for options on both sides. The extra is visible as a higher implied volatility on every strike, and it is concentrated in the expirations that include the event.
Why the premium collapses
Once the result is public, that uncertainty is spent. The stock has made its move, whatever size it was. Market makers no longer need to charge for an unknown, so implied volatility drops at the next open. The Options Industry Council’s video on the topic describes how option prices can collapse after an earnings release.
The fall hits calls and puts alike. It is not a directional effect. A call holder whose stock rose can still lose if the rise was smaller than the move the option price had assumed, and a put holder whose stock fell faces the same arithmetic.
Vega converts it into dollars. Vega is the change in an option’s price for a one-point change in implied volatility. A position’s vega multiplied by the points lost is roughly what the crush costs, before any gain from the stock’s move.
What the market is pricing in
The expected move is already in the price. Traders often estimate it from the at-the-money straddle, a call and a put at the same strike, in the first expiration after the release. The straddle’s cost is roughly the size of move, in either direction, that a buyer needs just to break even at expiration.
So the question is never only direction. A buyer of calls needs the stock to rise, and to rise by more than the premium assumed. A seller needs the move to stay inside it. Both are bets on size against a number the market has already set.
The number is not a forecast. It is what options cost that day, set by supply and demand. It can be too high or too low for a given release, and nothing on this page measures which.
A worked example
Apple, 29 January 2026. Apple’s results 8-K was accepted by the SEC at 4:30 pm Eastern that day, after the close. Cboe’s VXAPL index, a 30-day implied volatility measure built from Apple options, closed that afternoon at 34.81. At the next close, on 30 January, it was 28.05: down 6.76 points, or 19.42%.
Apple’s share price barely moved, from $258.28 to $259.48, up 0.46%.
Put that on a real option. On 25 September 2026, Cboe’s chain showed Apple’s 16 October 2026 $340 call at $7.65 bid and $7.95 ask, a midpoint of $7.80, with implied volatility of 20.88%, a vega of 0.3238 and a delta of 0.5522. Apple closed at $341.07.
The arithmetic. If that option’s implied volatility fell by the same 6.76 points, vega says it would lose about 6.76 x 0.3238 = $2.19 a share, or about $219 a contract. That is 28% of the $7.80 midpoint, gone in one step. To offset it through delta alone, Apple would need to rise about $2.19 / 0.5522 = $3.97 a share, roughly 1.16%.
Treat this as a rough estimate. Vega is a local measure and changes as volatility changes, and a three-week option can lose more or fewer points than a 30-day index. The example shows the size of the effect, not a forecast for the next Apple release.
The original data
The sample. Cboe publishes daily 30-day implied volatility indexes for a few single stocks. This page uses VXAPL, VXAZN, VXGOG and VXIBM, which cover Apple, Amazon, Alphabet and IBM from 7 January 2011 to 25 September 2026. Earnings dates come from each company’s Form 8-K filings under Item 2.02, the item for results of operations, with the SEC’s acceptance time.
Only filings accepted at or after 4:00 pm Eastern were used, so the index close that day is before the news and the next close is after it.
Duplicate or follow-up filings made within three days, and early filings followed by the real quarterly release within weeks, were removed; 11 filings were dropped that way. All 251 events, with the index and share prices on both days, are in the event file.
The headline. The volatility index fell after 246 of the 251 releases, 98.0%. The median change was a fall of 23.92% of the index level in one session. It fell more than 10% after 228 releases and more than 30% after 60.
By stock. Apple’s index fell after 62 of 63 releases, with a median change of -20.20% (-6.28 points).
Amazon’s fell after all 63, median -26.90% (-10.90 points). Alphabet’s fell after all 62, median -25.04% (-7.84 points). IBM’s fell after 59 of 63, median -26.70% (-7.57 points).
The deepest single falls followed IBM’s release of 21 January 2020 (-50.98%), Google’s (now Alphabet’s) of 16 July 2015 (-43.42%) and Amazon’s of 22 October 2015 (-43.17%). The summary table has every figure.
Against an ordinary day. On all other sessions the median daily change in these indexes was between -0.09% and +0.15%, and no more than 0.2% of those days fell as far as the median post-earnings day. The drop is specific to the event.
The size of the stock move barely mattered. The 45 releases followed by a share price move of under 2% saw a median index fall of 21.87%. The 45 followed by a move of 8% or more saw 24.68%. Even a large surprise resolved the question the premium was charging for.
2026 so far. Apple’s index is charted below with its three 2026 release dates. After the 30 July release it fell from 32.01 to 28.45 while Apple’s shares dropped 7.35%, from $333.43 to $308.91. On 25 September 2026 VXAPL closed at 23.67, its lowest close of the year; the 2026 series has every day.
The five exceptions. The index rose after five releases: Apple on 30 July 2020 (+6.16%) and four IBM releases. One IBM case, a jump from 14.80 to 22.08 on 20 April 2021, is out of line with the rest of that series, but no event was removed for looking odd, so it stays in the count.
When it fails
It is not a free trade for option sellers. Selling options before earnings collects the inflated premium, but the seller is short the move itself. Amazon’s shares rose 15.32% after its 30 July 2026 release while VXAZN fell 30.94%; a short call would still have lost heavily, because the move swamped the drop in implied volatility.
The crush can be smaller than it looks on an index. A 30-day measure blends the event expiration with later ones. The weekly option that expires two days after the release tends to carry more of the event premium and lose more of it, while a long-dated option loses less.
Unscheduled news breaks the pattern. A crush needs a known date. A surprise announcement raises implied volatility instead, which is why the five rises in this sample matter more than their count suggests.
Every stock’s baseline differs. VXIBM closed as low as 13.23 and as high as 96.65 between January 2011 and September 2026. A 20% fall from 50 and from 15 are very different in points, and vega works in points.
Related
The implied volatility page covers what the number means and why it rises before events. Vega is the sensitivity that turns a crush into a dollar figure on any position. And the earnings report page explains the release itself, the event that sets the whole cycle in motion.
I work out what an option already assumes about the earnings move before I buy it, and I size the position as if implied volatility will fall the next morning, because it almost always does. Know the price of being right before paying it.
— Michael Whitman
This page is educational, not financial advice. Test every idea on your own charts before risking money.