Identify stocks where implied volatility is mispriced ahead of earnings
Most options traders lose on earnings plays because they pay too much for options that are already overpriced going into the announcement — and crushed immediately after. The Earnings IV Scanner flips this around: it finds the stocks where the market has over-inflated options prices beyond what the historical earnings move justifies, ranking every upcoming earnings event by IV Crush Probability (0–100) so you know exactly where the edge is.
Identify stocks where implied volatility is mispriced ahead of earnings
Unlock advanced volatility analysis tools used by professional options traders.
Professional Plan
Live-updating earnings calendar covering the next 7 trading days, pre-loaded with each stock's current IV, historical move average, and IV Crush Probability score.
Side-by-side comparison of the stock's average post-earnings move over the last 8 quarters vs. the current implied move (derived from the ATM straddle price). When implied > historical, the edge favors sellers.
Proprietary score combining IV percentile, historical crush magnitude, IV/HV ratio, and sector crush base rates. Scores above 70 indicate strong statistical edge for premium sellers.
Filter results by strategy type: iron condors (neutral, high crush score), straddle shorts (high IV, small historical moves), or calendar spreads (moderate crush, elevated term structure).
Automatic warning flags for binary events (FDA decisions, clinical trial results), thin liquidity (wide bid-ask spreads), and recent unusual options activity that may signal informed trading.
Export the full earnings calendar to CSV. Set email alerts for stocks that hit a minimum crush score threshold — get notified the morning of earnings day.
Automatically tracks realized moves after each earnings event, building a personal accuracy log for your crush score assessments.
Recommends position size as a percentage of your standard iron condor size, scaled by crush probability and historical variance. Earnings plays carry more risk — this keeps sizing conservative.
Every morning, the scanner updates with all companies reporting earnings in the next 7 trading days. Data includes the reporting date, time (pre/post market), and the number of quarters of earnings history available.
For each upcoming earnings report, the scanner pulls the nearest ATM call and put prices for the first expiration after earnings. The combined straddle price divided by the stock price gives the market's implied one-move expectation.
The scanner calculates the average absolute move over the last 8 quarters for the same stock. If the implied move is significantly larger than historical (e.g., implying ±8% when the stock historically moves ±4%), the IV is likely overpriced.
The score combines: IV percentile (where is IV vs. its annual range?), the implied/historical ratio, sector-level crush base rates, and the absence of binary event flags. A score of 80+ means the edge strongly favors sellers.
Click any ticker to see the pre-built iron condor or short straddle setup. The scanner selects strikes at the recommended delta for the post-earnings expiration. One click routes the setup to the Trade Execution tab.
Volatility Anomaly — Platform Overview
A complete walkthrough of the Volatility Anomaly platform: the screener, backtester, research library, and all Professional modules.
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