Results IV-crush short straddle
Option prices on a stock swell before its quarterly results because traders pay up for the expected move, and they usually drop sharply once the numbers are out. This event strategy sells that swelling. On the eve of a result, if the stock's at-the-money implied volatility is in the top tenth of its recent readings, it sells the ATM call and put, then buys them back at 09:30 on the session after the result.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
With three trades, no market condition can be judged. Each trade is tied to one company's results rather than to the index, so NIFTY-based conditions say little here anyway. The two winners made ₹2,750 and ₹6,425; the single loser lost ₹375. The pattern fits the mechanism: a straddle sold at peak pre-result volatility gains when implied volatility collapses after the announcement, unless the stock's reaction is larger than the move the options had priced in, which none of these three were.
About this strategy
- Trade one F&O stock per run (RELIANCE by default) using its result calendar.
- Every day at 15:15, record the stock's ATM implied volatility. Once 60 readings exist, rank today's reading against them as a percentile.
- On the session before a result date, if the IV percentile is 90 or higher and the stock is not in the F&O ban, sell one lot each of the ATM call and put on the first expiry after the reaction day.
- Stop out if the straddle's value rises 50% above the credit received.
- Otherwise buy both back at 09:30 on the first session after the result date.
- An optional filter also requires the implied move to exceed the median move of past results in the run.
Why traders use it
Before results, option buyers bid implied volatility up, often pricing a bigger move than the stock actually makes. Once the result is public, that uncertainty disappears and volatility falls, an IV crush that helps sellers even when the stock moves. Requiring a very high IV percentile aims to sell only when premiums are at their richest. The trade is short and tied to a known date, which appeals to traders who follow results season closely.
The year in plain words
On RELIANCE from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy traded three of the stock's results, in January, April and July 2026; the October 2025 result came before enough IV history had been built. Two trades won and one lost, for ₹8,800 before costs and ₹7,960 after ₹20 per order and bid-ask slippage. April made ₹6,425 and January ₹2,750, while July lost ₹375. All three exits were the planned morning-after exit; the 50% stop never fired. Three trades on one stock say very little about how the idea would do across many results.
What the settings do
Risks
- The position is held through the result announcement, so a large gap the next morning cannot be limited by the stop.
- Both legs are naked short stock options, which need full margin.
- Stock options have wider bid-ask spreads than index options, which eats into the credit.
- One stock gives three or four trades a year; the outcome rests on a handful of announcements.
Who it suits
Experienced option sellers who follow company results and have margin for a naked stock straddle. It suits traders comfortable holding a short volatility position overnight through a known event.
Questions traders ask
What is IV crush after results?
Before a company announces results, its option prices carry extra implied volatility because a big move is expected. Once the results are out, that uncertainty is gone and implied volatility drops, often sharply, so option prices fall even if the stock moves. Sellers aim to profit from that drop.
Is selling a straddle before results profitable?
In this backtest on RELIANCE from 1 Oct 2025 to 30 Sep 2026 it made ₹8,800 before costs and ₹7,960 after ₹20 per order and bid-ask slippage, from three results. Statutory charges were excluded. That is a very small sample, and past results do not guarantee future ones.
Why require IV percentile above 90?
The idea only works when options are expensive relative to what the stock usually delivers. Selling only when today's implied volatility is higher than on 90% of past days aims to pick results where the premium is richest.
Can it run on other stocks?
Yes. Change the symbol to any liquid F&O stock with a result calendar; each run trades one stock. Different stocks have different lot sizes, spreads and typical result moves, so outcomes will vary.