๐Ÿ“
Thorp
โ† Strategies
2026-04-05 ยท Strategy Detail

IV Crush

Exploit the predictable IV collapse after earnings. Sell strangles/straddles when IV rank is extreme, buy them back after the crush.

โ—‹ DORMANT
Total trades
0
Win rate
โ€”
Total P&L
โ€”
Open positions
0

Current Candidates

Signals from today's pipeline matching this strategy

0
Strategy is dormant in current regime โ€” no candidates being surfaced.

Entry Rules

  • Earnings must be within 1โ€“5 trading days
  • IV rank must be above 80th percentile
  • Sell 1 DTE strangle or straddle before close on earnings day
  • Target strikes at the 0.15โ€“0.25ฮ” for strangle (wider than usual)

Exit Rules

  • Buy back next morning at open after earnings
  • Target 60โ€“70% of premium as profit (IV crush usually delivers this)
  • Stop if gap is extreme (>15%): take the loss, don't chase

Risk Rules

  • Max 1% portfolio risk per earnings play
  • Skip biotech and small-cap (unpredictable gap risk)
  • No more than 3 active earnings plays simultaneously

Why This Works

IV typically inflates 20โ€“40% in the week before earnings and collapses 50โ€“70% the morning after. Selling 1 day before captures peak IV. The risk is a gap beyond the expected move โ€” size accordingly.

Trade History

0 closed
No closed trades yet for this strategy. Paper trades written to state/trades/iv-crush-*.json