Options Glossary

Glossary: Volatility Crunch

Last Updated: July 12, 2015

Glossary

Volatility Crunch

What Does Volatility Crunch Mean in Options Trading?

The sudden decrease in the expected move or volatility of the underlying security. The extrinsic or time value of the option reduces from high to low amounts suddenly as a result. This is most commonly seen immediately following corporate events, such as earnings announcements.

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