Estimate vega
Multiply vega by the IV-point change to isolate the first-order volatility impact.
Volatility lab · updated 2026-07-30
Implied Volatility Crush Calculator
Estimate how much option premium can change when implied volatility falls after earnings, FDA decisions, FOMC events, product launches, or other catalysts.
Use the calculatorVegapremium sensitivity to a 1-point IV change
IV ↓extrinsic value can contract after uncertainty clears
Move ≠ P/Ldirection alone is not enough for long options
Standalone workflow
Separate the stock move from the volatility move.
Most bad IV-crush decisions come from treating the chart direction as the whole trade. A cleaner process estimates price exposure, volatility exposure, time decay, liquidity, and the exact exit before the event.
Interactive IV crush calculator
Estimate premium impact from an IV drop
Model the volatility piece separately from the stock move. The vega estimate shows how much premium could change if implied volatility contracts after a catalyst.
This is a first-order estimate using delta and vega. Real option prices also change with gamma, theta, skew, liquidity, interest rates, dividends, and model assumptions.
Estimate delta
Multiply delta by the underlying move to separate direction from volatility.
Compare against premium
Ask whether the expected move is large enough to beat crush, spread, and time decay.
ScenarioStock moveIV changeWhat to notice
Right direction, bad volatility+ $375% → 48%Delta helps, vega can offset part of the gain.
Wrong direction, volatility crush- $275% → 45%Both price and volatility work against long premium.
Huge move beats crush+ $1290% → 55%Large intrinsic move may overwhelm volatility loss.
Short premium gap risk- $1880% → 50%IV collapse does not protect against a gap beyond risk limits.
Primary reading: OIC implied volatility overview · OIC Vega guide · OIC volatility and Greeks · FINRA options basics and Greeks · SEC Investor Bulletin on options