IV Crush Calculator: Model the P&L Impact of Earnings Volatility
The IV Crush Calculator runs the math on any options position before an earnings event: enter the current IV, the expected post-earnings IV, the strikes, and the expiration, and the calculator returns the position's expected P&L across multiple stock-move scenarios.
Why the tool matters: traders consistently underestimate how much IV crush dominates earnings P&L. A long straddle bought at IV rank 90 might need a 7% move just to break even after IV collapses to its post-event level. That break-even isn't intuitive — it requires running the option pricing model with both the IV change and the underlying move plugged in. The calculator does this in one click.
Use cases: stress-testing a long straddle or strangle for the move size required to overcome IV crush; sizing a short straddle or iron condor to survive both directions of the implied move; comparing two earnings-trade structures across the same underlying to see which has better risk-adjusted expected value.
Frequently Asked Questions
How do I estimate the post-earnings IV?
Look at the underlying's IV at the same DTE in the prior earnings cycle. Most stocks normalize to a stable post-event IV that's roughly consistent across cycles.
Does the calculator account for skew?
Yes — it models per-strike IV separately rather than assuming a flat volatility curve, which matters for OTM strikes.