OptionAutomator Options Trading Glossary:

Definition, Examples & Resources:Volatility Crunch'

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What is Volatility Crunch in Options Trading ?

Volatility Crunch
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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