Glossary › IV crush

Trading glossary · advanced

IV crush

When buy-or-sell tickets suddenly get cheaper right after big news, because nobody expects a huge move any more.

The fuller meaning

The drop in implied volatility, and so in option premiums, right after a scheduled event such as results. Buyers who paid up before the event can lose money even when the direction is right, because the move must be big and soon enough to beat time value and the IV drop.

IV crush.

Related words

at the money · backtest · backwardation · basis · call option · contango · data snooping · delta · edge · entry trigger