Where the money went — volatility vs price vs time
The same option, priced at each stage. The IV crush and time decay pull value down; your expected move pushes it back up. The break-even row is the move that exactly cancels the crush.
| Stage | Option value | Change |
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Being right about direction is not enough
The cruellest trade in options is the one where you called the direction perfectly and still lost. It happens because the premium you paid into the event was inflated with implied volatility that had nowhere to go but down. When a token unlock clears, an ETF gets its verdict, or a halving finally lands, the uncertainty that justified the fat premium disappears in minutes — and vega drags the option down with it, regardless of which way price went. This tool splits your result into the part that came from the volatility collapse and the part that came from the move, so you can see the real hurdle before you pay up: your expected move has to clear the break-even, or the crush eats you. If it does not clear, the honest trades are to sell the volatility instead of buying it — price the same idea as a vertical spread or an iron condor that harvests the crush — or to check whether the premium is even rich to begin with with the IV rank calculator. To watch delta, theta and vega move the position leg by leg, open the greeks calculator.
The math
Both option values come from the Black-Scholes model with the interest rate set to zero. For a call, C = S·Φ(d₁) − K·Φ(d₂); for a put, P = K·Φ(−d₂) − S·Φ(−d₁), where d₁ = (ln(S/K) + ½σ²T) ÷ (σ√T), d₂ = d₁ − σ√T, S is the underlying price, K the strike, σ the implied volatility as a decimal, T the time to expiry in years, and Φ the standard normal CDF.
The entry value uses today's price, your days to expiry and the pre-event IV. The post-event value re-prices the same option with the underlying moved by your expected percentage, the IV dropped to the post-event level, and the time shortened by the days the event eats. Net P&L per unit is post − entry. The pure IV crush holds price and time fixed and only lowers volatility — Φ-priced value at post-IV minus entry value — isolating the vega loss from the move and the decay.
The break-even move is found by bisection: the calculator solves for the percentage change in the underlying that makes the post-event value equal what you paid, at the crushed IV and reduced time. If your expected move is below it, the position is structurally set up to lose even with the direction right; above it, the move outruns the crush.