Python for programmers, prompts for data analysts.
Implied volatility isn't constant — Part 15 already showed it shifts across strikes on the same day. It also shifts across time, and
nowhere more dramatically than around a single, predictable event: earnings.
Before a company reports, nobody knows what the numbers will say, and options pricing reflects that uncertainty with elevated IV. The
moment the report lands, the uncertainty resolves — whatever the numbers are, they're no longer unknown — and IV tends to collapse,
often within hours. Traders call it the "volatility crush." Let's find a real one.
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what pulled the data above — connect it to Claude and ask your own questions (affiliate link).New here? The Setup covers
everything you need before your first prompt.
Find a real earnings crush
🟧 PROMPT
Use the eodhd MCP to find AAPL's most recent
earnings date, then get implied volatility for the
near-the-money call before and after the report.
AAPL reported on July 30, 2026 (after market close) — EPS $2.02 vs. a $1.88 estimate, a 7.4% positive surprise. The near-the-money
$335 call, expiring August 21:July 29 (day before): IV 30.72%
July 31 (day after): IV 27.73%
A drop of 3 percentage points — about a 10% relative decline — in a single trading day, on an option that didn't even expire for
another three weeks.
The earnings beat was good news. AAPL's stock fell 7.4% the next day anyway — a move already covered back in Part 11 of this series. IV
fell too, despite that sharp move, because it isn't pricing "will this go up or down." It's pricing "how much don't we know yet" — and
the moment the report landed, that uncertainty was gone, whichever direction the stock went.
Is 10% a big crush, or a small one?
🟧 PROMPT
Is a 10% relative drop in implied volatility a
dramatic earnings crush, or a mild one?
It's on the mild end. The sharpest volatility crushes usually show up in options expiring within days of the report — weekly
contracts where the earnings-day uncertainty makes up most of their remaining time value, so resolving it can cut IV by 30% or more in a
single session. This $335 call had 20 days left even after the report — three more weeks of ordinary market uncertainty still baked into
the price, diluting how much of its IV was ever earnings-specific to begin with.
The lesson isn't "the crush didn't happen." It's that how much crush you see depends on how much of an option's remaining life the event
actually accounted for — a fact this series has now touched twice: Part 15 showed IV varies by strike; this shows it varies by how close
expiration sits to the event you're pricing for.
A word of honesty
Two things make this one measurement messier than the clean number suggests.
The $335 strike started exactly at-the-money on July 29, but AAPL's 7.4% drop pushed the stock away from it — by August 3, that same
strike was roughly 10% out-of-the-money. Part 15 already showed IV varies by moneyness, not just by time. So some of the 3-point decline
is genuine earnings crush, and some of it is just this contract drifting into a lower-IV part of the skew as the stock moved beneath it.
This data can't cleanly separate the two effects from each other.
And this is one earnings report, for one company, with one particular kind of surprise (a beat, followed by a drop for unrelated
reasons). A report that missed estimates, or one where price and expectations moved together, could show a different-shaped crush
entirely. Treat the mechanism — uncertainty resolves, so IV falls — as reliable; treat any single measured number, including this one,
as a snapshot of how it played out this one time. Not investment advice.
Final Thoughts
This is the thirtieth article in the series Unlock Real-Time Market Intelligence with EODHD and Claude, and it revisits a stock this series has met
before. Part 11 watched AAPL's options amplify a 7.4% price drop. This time, the same event, seen through implied volatility instead of
price.
Two prompts found the crush, then sized it honestly.
So here's where it lands: the near-the-money AAPL call lost 3 points of implied volatility — about 10% — in the single session after
earnings, despite the stock itself moving sharply. That's a real but modest crush, smaller than a weekly option would have shown,
because three weeks of ordinary uncertainty were still baked into the price alongside the earnings-specific kind. IV didn't fall because
the news was good or bad. It fell because, either way, nobody had to wonder anymore.
If this made you curious, the MCP Server is
free to try — The Setup walks you
through it.
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