Free calculator · Options & volatility · free account
Earnings implied move calculator
Before an earnings release, options are priced for a move. Afterwards implied volatility usually falls sharply, which is how a position can be right about the direction and still lose. Three panels, all from figures you enter: the move a straddle implies, the event's share of volatility, and what a crush does to a position.
These calculators do arithmetic on numbers you enter. They do not produce recommendations, do not connect to any market feed, and do not know what any instrument is worth — that is never advice, and it is not a substitute for your own judgement or a licensed professional's.
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to use the earnings implied move calculator — and the other 12: Position Size, Risk : Reward, Margin & Leverage, Drawdown, Options Payoff, Monte Carlo, Delta-Adjusted Sizing, Wheel Cycle, Theta Decay, Expiry Probability, IV Rank, Candlestick Anatomy
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How this is calculated
No hidden model and nothing fitted to data. Every figure on this page comes out of these lines, applied to the numbers you typed.
implied move ≈ at-the-money straddle ÷ price
1σ move ≈ straddle ÷ √(2 ÷ π) ≈ 1.25 × straddle
base variance = ( σb² × Tb − σf² × Tf ) ÷ ( Tb − Tf )
event variance = σf² × Tf − base variance × ( Tf − 1 day )
event move (1σ) = √( event variance )
crush P/L = value( S′, σ after, t − 1 day ) − value( S, σ before, t )More free calculators
Options Payoff
Where does this position break even, and what is the worst case?
Wheel Cycle
What does each way this cycle can end pay, or cost?
Theta Decay
How fast does this option's time value disappear?
Expiry Probability
Under this volatility, how likely is each outcome at expiry?
IV Rank
Where does this volatility reading sit against its own history?
Position Size
How many units does my risk budget actually buy?
Frequently asked questions
- How do I calculate the expected move from a straddle?
- Add the at-the-money call and put premiums for the first expiry after the release, and divide by the share price. A 100 stock with a straddle of 6 is priced for about a 6% move either way, with break-evens at 94 and 106. Strictly, the straddle approximates the average size of the move; one standard deviation is about a quarter larger, and the calculator shows both.
- What is IV crush?
- The drop in implied volatility once a scheduled event has passed. Before the release, options carry extra value for the uncertainty; afterwards the uncertainty is resolved and that value leaves the price, often within minutes of the open. An option can lose a large part of its value overnight even if the share price barely moves.
- How does the event volatility calculation work?
- Implied variance adds up across days. The front expiry contains the event day plus some ordinary days; the next expiry contains the same event plus more ordinary days. Comparing the two isolates the variance of an ordinary day, and whatever the front expiry holds above that is attributed to the event. It assumes ordinary days carry the same volatility in both expiries, which is an approximation the result inherits.
- Why can a bought straddle lose even when the stock moves?
- Because it was priced for a move of a certain size, and the volatility that paid for that falls away as soon as the event passes. If the move is smaller than the one priced in, the crush outweighs it. The crush table shows each scenario twice — with volatility falling to your post-event figure and with it unchanged — so the cost of the crush alone is visible.
- Does this show an earnings calendar?
- No. Earnings dates, estimates and company names come from a market data feed, which this site does not use, and a list of upcoming companies beside volatility figures reads as a list of candidates. Your broker shows the date; this page does the arithmetic on the prices you read there.
- Is my data sent anywhere?
- No. The model runs in your browser as JavaScript on this page. Prices, volatilities and any past moves you paste are never transmitted, never stored and never logged, and closing the tab discards them. A free account unlocks the calculator; it does not send anyone your numbers.
⚠ Important disclaimer
These calculators are provided strictly for educational and informational purposes. They perform arithmetic on figures you enter. Nothing on these pages is financial, investment, trading, legal or tax advice, nor a recommendation to buy, sell or hold any security, derivative, commodity or cryptocurrency.
The creator is not a registered investment adviser, research analyst or broker with the SEC, FINRA, CFTC, NFA, any U.S. state securities regulator, or SEBI (as an Investment Adviser or Research Analyst). Trading involves substantial risk of loss — you can lose some or all of your capital, and with leveraged instruments you can lose more than you deposit.
Contract specifications, lot sizes and margin rates shown here are seeded from published standards, are editable, and may be out of date or wrong for your broker. Exchanges revise lot sizes and margin requirements, and brokers routinely impose more than the regulatory minimum. Verify every figure against your own broker before acting on it. These tools carry no warranty of any kind and may contain errors.
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