What Happens When Volatility Disappears Overnight?
Implied-Volatility-Crush Simulator
Reviewed 2026-07-31

Formula:
Approximation uses Black-Scholes with zero rates and no dividends. It is an estimate, not a live quote.

Checklist:
- Compare IV before and after the catalyst.
- Estimate the move needed to beat vega loss.
- Check time remaining and spread width.
- Avoid assuming direction alone determines option P/L.

Educational use only. Options involve risk and results depend on your assumptions.