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Glossary · Options

Volatility crush

The sharp drop in implied volatility right after an event like earnings.

Why it matters

Options priced for a big move lose much of their value the moment the news is out, even if the stock moves.

How to read it

Buying options into earnings needs a move bigger than the expected move just to break even.

Related

Earnings reportThe quarterly results a public company must publish: sales, profits and usually guidance.VegaHow much an option’s price changes when implied volatility moves 1 point.Expected moveThe size of move the options market is pricing for a stock by a given date.

In the Cluenex app, this explanation opens next to every volatility crush figure, with the live reading for the stock you are looking at. Open it in Cluenex