The VIX Crush: Why Your Option Loses Value Even When You Are Right

An option buyer pays for direction and for fear. At the open the uncertainty is resolved, implied volatility falls, and the fear part of the premium drains out. The option can lose value on a day when the direction was correct. AION Analytics research note. Canonical version: https://aionanalytics.in/research/notes/vix-crush

Authors

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-10-08
DOI
https://doi.org/10.5281/zenodo.23226818
Primary Topic
Financial Markets and Investment Strategies
Type
article
Field-Weighted Citation Impact
0.00
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article

The VIX Crush: Why Your Option Loses Value Even When You Are Right

Lokesh Gupta
Zenodo (CERN European Organization for Nuclear Research)
Financial Markets and Investment Strategies
article

The VIX Crush: Why Your Option Loses Value Even When You Are Right

Lokesh Gupta
article en

Abstract

An option buyer pays for direction and for fear. At the open the uncertainty is resolved, implied volatility falls, and the fear part of the premium drains out. The option can lose value on a day when the direction was correct. AION Analytics research note. Canonical version: https://aionanalytics.in/research/notes/vix-crush

Zenodo (CERN European Organization for Nuclear Research)
Openalex Percentile: Top 8%
Financial Markets and Investment Strategies
DOIOpen Access PDFOpenAlex
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The VIX Crush: Why Your Option Loses Value Even When You Are Right — Lokesh Gupta · Zenodo (CERN European Organization for Nuclear Research) (2026) | TGRS Research Map | TGRS