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Quantitative Finance · Glossary

What is Volatility crush?

Definition 4.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapter 4 — Gamma Scalping and Event Volatility

The volatility crush is the fall in implied volatility after a scheduled event, when the event’s variance leaves the options’ remaining life; it is largest for the shortest expiries, whose vol the event had lifted most.

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