Nvidia ($NVDA) Earnings Move & Volatility Crush Analyzer

Strategy & Repricing Engine Black-Scholes

Option Strategy

NVDA Current Spot Price ($) $130.00

Simulated Post-Earnings Spot Move (%) +0.0% ($130.00)

-25% -10% 0% +10% +25%

Pre-Earnings Implied Volatility (IV) 68.0%

30% 68% (Avg) 110% 150%

Post-Earnings IV Crush Drop (%) -44.1% (New IV: 38.0%)

-80% (Extreme) -44% (Avg) -10% (Mild)

Days to Expiration (Post-Earnings) 2 Days

1D (Weekly) 7D 14D 30D

Number of Contracts / Units 10 Contracts

Net P&L ($)

-$4,210

Return on Risk

-39.2%

Pre-Cost Basis

$10,740

Post-Crush Value

$6,530

Vega Impact (IV Loss): -$4,480

Delta/Gamma Move: +$270

Theta Decay (1-Day): -$310

Breakeven Price(s): $119.26 / $140.74

Strategy Value Curve: Pre-Earnings vs. Post-Crush Payoff Long Straddle

Pre-Earnings Value Curve (High IV)

Post-Earnings Crushed Curve

Cost Basis / Breakeven Threshold

Current Simulated Point: $130.00

Past 8 quarters of Nvidia earnings moves comparing market implied move vs. real 1-day post-announcement move and straddle performance.

Quarter	Report Date	Stock Spot	Implied Move	Actual Move	Pre-IV	Post-IV	IV Drop	Straddle Result

Strike-by-strike options repricing table comparing pre-earnings price with simulated post-earnings value under the active IV drop and spot move.

Strike	Type	Pre-Earnings ($)	Post-Crush ($)	Net Value Change	Delta (Post)	Vega (Post)	Crush Impact

Options Volatility Crush Mechanics: In earnings events, high implied volatility (IV) reflects market uncertainty. Once earnings numbers and guidance are released, uncertainty collapses instantly, causing IV crush. Option buyers suffer swift vega decay; a long call or straddle can lose money even if the underlying moves in the anticipated direction if the move fails to exceed the implied move threshold.