Interactive asset
Implied volatility crush calculator
Use this calculator to estimate the first-order premium impact of an IV contraction. It models delta impact and vega impact separately so you can see whether a favorable underlying move may still be swallowed by volatility loss.
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.
Formula used
Estimated option change ≈ delta × stock move + vega × IV point change. If IV falls from 75% to 48%, the IV point change is -27. With vega of 0.08, the volatility impact is about -$2.16 per contract before multiplier.
How to use the result
Use the output as a stress test. If a modest stock move plus a large IV drop still leaves the option near breakeven or negative, the trade may need a different structure, smaller size, wider expected move, or no trade.
Primary reading: OIC implied volatility overview · OIC Vega guide · OIC volatility and Greeks · FINRA options basics and Greeks · SEC Investor Bulletin on options