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How to Play Vol Crush

Sell premium into elevated volatility after earnings using the Vol Crush screen.

"Vol crush" is what happens when implied volatility drops sharply after an earnings announcement. The Vol Crush tab finds stocks where earnings just happened but IV is still elevated — giving you a window to sell options and profit as IV continues to decay.

How Vol Crush Works

  1. Before earnings, uncertainty drives implied volatility higher
  2. After the announcement, uncertainty resolves and IV drops — often dramatically
  3. But the drop doesn't always happen all at once. IV can stay elevated for a few days post-earnings
  4. The Vol Crush tab catches these stocks: earnings resolved, but IV hasn't fully crushed yet
  5. You sell options into the remaining elevated IV and profit as it normalizes

The key risk: the stock continues to move after earnings beyond the premium you collected. That's why risk management matters.

Step 1: Open the Vol Crush Tab

Navigate to Screener and click the Vol Crush tab. This tab filters for stocks with:

  • HV Rank ≥ 65 — Volatility is near its yearly highs
  • Earnings within the last 5 days — IV is still elevated after the recent announcement

Step 2: Evaluate the Setup

For each candidate, check:

  • HV Rank: Higher is better. A rank of 80+ means volatility is in the top 20% of its yearly range — a strong signal that IV still has room to drop.
  • Days Since Earnings: How recently did earnings occur? Fewer days means more residual IV to capture, but also more post-earnings drift risk.
  • Setup Score: The composite ranking factors in edge, return potential, and historical win rate.

Step 3: Choose Your Strategy

Vol crush setups typically use one of these approaches:

Sell a Straddle

Sell both a put and a call at the same strike (usually at-the-money). Maximum premium collected, but unlimited risk on both sides. Best for experienced traders.

Sell a Strangle

Sell an out-of-the-money put and an out-of-the-money call. Less premium than a straddle, but the stock has to move further to hurt you. A more forgiving approach.

Use a Spread Instead

If you want defined risk, sell a vertical spread (see How to Trade a Vertical Spread). You collect less premium but your max loss is capped.

Step 4: Time Your Entry

  • Enter as soon as you spot the opportunity — the IV edge shrinks each day after earnings
  • Plan to hold for a few days as IV normalizes
  • Close the position once IV has dropped to typical levels or you've hit your profit target

Step 5: Log and Monitor

Record the trade in your Trade Journal and set up Alerts to notify you when the position hits your profit target. If you close at 50% of max profit shortly after entry, you capture the best risk-adjusted return.

Risk Management

  • Size conservatively: Post-earnings stocks can still move on follow-up news, analyst revisions, or guidance
  • Know your max loss: For straddles/strangles, calculate how much you'd lose if the stock moves 10–15%
  • Consider spreads: Defined-risk spreads limit your downside while still capturing the IV drop
  • Don't overtrade: Not every high-HV-rank stock is a good vol crush candidate — check the setup score and win rate

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