--- title: "IV crush explained, with Budget 2026 Nifty data" description: "What IV crush is, how a known event sits in option prices, and what Nifty options did around the Budget of 1 Feb 2026, from NSE end of day data." source_url: "https://www.rupeecase.com/learn/path-16/module-16-6-iv-crush-around-events" --- [Path 16 6 of 16](/learn/path-16/)Events and IV crush: results, Budget, RBI and elections[Next 16.7](/learn/path-16/module-16-7-volatility-smile-and-skew) Sunday 1 Feb 2026. The Union Budget, read out in a special trading session. Nifty closed at 24,825.45, down 1.96% from Friday's 25,320.65. India VIX closed at 15.10, up from 13.63. On Monday it read 13.87, and by Wednesday 11 Feb it read 11.55. The price of waiting for the Budget had simply left the options. That is IV crush, and it is arithmetic, not mood. Below is the arithmetic on two dated NSE chains, and then what it does and does not say about a [straddle](/learn/glossary#straddle). Every figure comes from NSE end of day files of 1 Feb 2026 and the days after, so nothing here is live and nothing is a view on the next event. 3By the end you can 1. Explain why implied volatility sits higher in expiries that hold a known event and falls once it is out. 2. Read the fall in at the money implied volatility across expiries on two dated NSE chains. 3. Say why a straddle gains or loses on the move against its price, not on crush alone. Watch in the terminal: which numbers am I looking at? A short tutorial on sample data. ## The idea, plainly ### What is IV crush? An option's price is its intrinsic value plus its time value, and time value rises with implied volatility. Implied volatility is a price written in volatility units; the [module on historical and implied volatility](/learn/path-16/module-16-1-historical-vs-implied-volatility) sets it beside the volatility that follows. So if implied volatility falls and nothing else changes, the option gets cheaper. [Vega](/learn/glossary#vega) is the size of that effect: the rupees an option loses for one vol point. Total variance = base variance x time + event variance The event adds a lump of variance, and the lump leaves with the event A sketch of the arithmetic, not a market number. Source: NSE end of day data, computed by RupeeCase. As of 2 Feb 2026. Read 2 more paragraphs, 145 words Why would implied volatility fall in a single day? Because variance adds up over days. An option that expires after a known event holds the variance of every ordinary day plus an extra lump for the event day. The event can be a results day, the Budget, an RBI policy decision or the counting of votes. Once it is out, the lump is gone, and the option loses it even if the index has not moved. That is IV crush. Run it backwards and you can read what the market priced. Take the total variance of the expiry that holds the event, subtract the base variance of the same days without it, and what is left belongs to the event day. Its square root is the one day move the market allowed for. The advanced [term structure and event variance module](/learn/path-16/module-16-9-term-structure-and-event-variance) does this across expiries. ### Why do near expiries fall the most? The lump is about the same size for every expiry that holds the event. A near expiry has few days to spread it over, so it shows up as a big jump in implied volatility. A far expiry has many ordinary days around it, so the same lump barely shows. When the event is out, the near expiry falls furthest. Before the event the near expiry looks the most nervous, for the same reason. Read one more paragraph, 76 words Results days, RBI policy days and counting days work the same way. Each date is announced before it happens, which is why it can be priced. What differs is the size of the lump. One stock's results are a small part of an index, and a large part of that stock's own options. The files here hold no results day or RBI day chain, so I draw no number for them. The method carries over unchanged. ## Worked example: the Budget of 1 Feb 2026 ### What did India VIX do? Start with the index of fear. The line below is India VIX from 12 Jan to 27 Feb 2026. India VIX rose on Budget day and gave it all back within eight sessions India VIX close, percent a year, with Budget day marked. Nifty fell 1.96% on the Budget day session. Source: NSE end of day data, computed by RupeeCase. As of 27 Feb 2026. Read one more paragraph, 69 words It closed at 13.63 on Friday 30 Jan, 15.10 on Budget day, 13.87 on Monday and 11.55 on 11 Feb. That is down 3.55 points, 23.5%, from the Budget day close in eight sessions. I cannot split the fall into "the event is out" and "the sell-off calmed", because Nifty fell 1.96% on the Sunday and rose after. VIX reads the sum. The chain lets me look closer. ### Which expiries fell most? Take the same four Nifty expiries on two evenings and read the at the money implied volatility. At the money is the parity forward for weeklies and the future for monthlies. The nearer the expiry, the bigger the fall Implied volatility computed by RupeeCase from NSE settlement prices, in vol points. Source: NSE end of day data, computed by RupeeCase. As of 2 Feb 2026. On Budget day the nearest expiry priced the most movement At the money implied volatility by expiry on the close of 1 Feb 2026, for the Nifty expiries within sixty days. Source: NSE end of day data, computed by RupeeCase. As of 1 Feb 2026. Read one more paragraph, 85 words The 3 Feb weekly fell 3.99 vol points, from 22.01% to 18.02%. The 10 Feb weekly fell 2.47, from 16.72% to 14.25%. The 24 Feb monthly fell 1.90, from 15.04% to 13.14%, and the 30 Mar monthly 0.39, from 12.67% to 12.28%. That fits a lump spread over few days. It also fits the shortest expiry having carried the sell-off of the day before. The chain shows the sum, so I will not claim more than the sum. ### What did it do to a straddle? Take a straddle on the 10 Feb weekly at the 24,800 strike, bought at the settlement prices of Budget day. It cost 511.80 a unit, Rs 33,267 for a lot of 65 units. A day later the same two options settled at 507.80. The change is −4.00 a unit, −Rs 260 a lot. Implied volatility fell and a day passed, yet the straddle lost almost nothing. Nifty rose 1.06%. A long straddle gains when the index moves, and the move paid for the crush. The [expected move module](/learn/path-15/module-15-7-expected-move) reads a straddle price as a range. * **Close of 1 Feb.** Nifty at 24,825.45, 9 days to expiry, at the money implied volatility 16.72%. The 24,800 straddle, which was the at the money one, cost 511.80 a unit. * **Close of 2 Feb.** Nifty at 25,088.40, 8 days to expiry, at the money implied volatility 14.25%. The same 24,800 straddle settled at 507.80. Read 2 more paragraphs, 121 words The at the money straddle of 2 Feb sits at the 25,100 strike and costs 421.00. It is cheaper only because the strike moved up with the index. Nobody booked that as a loss. Hold the 24,800 straddle to expiry. Nifty closed on 10 Feb at 25,935.15, so the call was worth 1,135.15 and the put nothing. Against 511.80 paid, that is 623.35 a unit, Rs 40,518 a lot, before charges. The shortest expiry makes the same point. On 2 Feb the 3 Feb weekly straddle cost 189.35, 0.75% of the index, after implied volatility had already fallen. Nifty closed on 3 Feb at 25,727.55, a move of 639.15 points, 3.4 times the price of the straddle. ### So what happens to options around Budget day and results day? Three things, in order. Before the event, expiries that hold it carry extra implied volatility, and a straddle on them costs more than on an ordinary day. On the event, the index gaps or it does not, and the value of the straddle follows the gap. After the event, the lump leaves and implied volatility falls, fastest in the nearest expiry. Whether one option gains or loses depends on one comparison: the move that followed against the move the price allowed for. Two cases show the arithmetic and tell nothing about odds. Nothing in a chain says which side of that comparison the next event will land on. The [buyer and seller module](/learn/path-14/module-14-3-option-buyer-vs-seller) sets out why a payoff alone does not decide a trade. The term this section turns on: Straddle From the module glossary; every term is in the Learn glossary too. Source: Module 16.6, Events and IV crush: results, Budget, RBI and elections. ## The common mistake The claim: Buy a straddle before the Budget, because the Budget always moves the market. The word always is the problem. The price already holds an expected move, so the straddle gains only when the move beats what was paid. And implied volatility is not a one way bet into the event: on this data it had already jumped by the close of the Budget day session and fell the next day. The 24,800 straddle gained Rs 40,518 a lot by 10 Feb, before charges. A straddle bought before an event that moves the index by less than its price loses, crush or not. One Budget in the data shows how the arithmetic works. It tells me nothing about the next one. ## Key takeaways * A known event adds variance to every expiry that holds it. * When the event is out, that variance leaves the price: IV crush. * Near expiries carry the lump on fewer days, so they fall most. * A straddle gains only if the move beats the price paid. * One Budget shows the mechanics, never the odds of a trade. * Results, RBI and counting days follow the same arithmetic. Watch in the terminal: why do the hero, key figure and XIRR differ? A short tutorial on sample data. **Before you trade.** Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. [Read the SEBI study](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html) What does Events and IV crush: results, Budget, RBI and elections cover?Options price a known event before it happens and hand the price back once it is out. Here is how that looks in Nifty data. It works through The idea, plainly, Worked example: the Budget of 1 Feb 2026, The common mistake, Key takeaways. It is module 16.6 of Path 16, Volatility, about 9 minutes of reading, free. TTry it ## Expected move, on the same example. The one standard deviation range from the straddle and from IV. Dated NSE end of day data, nothing live, no orders. **Expected move**, Nifty, 2 Feb 2026, 10 Feb 2026 expiry. [Open the expected move](/learn/tools/expected-move?chain=NIFTY_2026-02-02_2026-02-10) AF&O on RupeeCase ## Hedging only, in development F&O at RupeeCase will do one job: protect a portfolio you already own, by a rule published before it runs. No speculation, no naked option selling, no leveraged bets. It is not available yet. [How hedging will work](/hedging)[Sign up for RupeeCase](https://invest.rupeecase.com/signup) [No hedgeFalls with the marketWith a putA floor, for a premiumIllustration with made up numbers, not a product and not a recommendation.](/hedging) QQuick check ## 10 questions, 7 to pass. Each attempt draws 10 of the 15 questions in this module's bank, and a retake draws a fresh set. A pass gives this module's Certificate of Completion. Your result stays on this device and counts towards the Path 16 certificate. 7 of 10 correct passes module 16.6 Every answer is explained when you check; a retake is always free. Source: RupeeCase Learn quiz rules (70% to pass). Passed ### Certificate ID Download PNGPrint or save as PDF[Check the ID](/learn/certificates/verify) Self paced and unproctored. A record of completing free education by RupeeCase; not a NISM certificate and not endorsed by NISM, NSE, BSE or SEBI. It qualifies no one to deal, advise or publish research. CCheck yourself ## Path 16 so far. Your quick check results on this device, stop by stop. Stop 6 of 16 on Path 16 Volatility: every live stop, this module ringed. Source: RupeeCase Learn, Path 16. 1. [16.1Volatility: historical against impliedNot yet](/learn/path-16/module-16-1-historical-vs-implied-volatility) 2. [16.2India VIX for beginners: what it measures and what it does notNot yet](/learn/path-16/module-16-2-india-vix-explained) 3. [16.3Solving for implied volatilityNot yet](/learn/path-16/module-16-3-solving-for-implied-volatility) 4. [16.4IV rank and IV percentile, done properlyNot yet](/learn/path-16/module-16-4-iv-rank-and-iv-percentile) 5. [16.5Measuring realised volatility: four estimatorsNot yet](/learn/path-16/module-16-5-realised-volatility-estimators) 6. [16.6Events and IV crush: results, Budget, RBI and electionsNot yet](/learn/path-16/module-16-6-iv-crush-around-events#quiz) 7. [16.7Smile and skew: a first look at Nifty and stocksNot yet](/learn/path-16/module-16-7-volatility-smile-and-skew) 8. [16.8Skew measures: risk reversal, butterfly and slopeNot yet](/learn/path-16/module-16-8-skew-measures) 9. [16.9Term structure and event varianceNot yet](/learn/path-16/module-16-9-term-structure-and-event-variance) 10. [16.10Forward volatility from two expiriesNot yet](/learn/path-16/module-16-10-forward-volatility) 11. [16.11India VIX rebuilt step by stepNot yet](/learn/path-16/module-16-11-india-vix-rebuilt) 12. [16.12Forecasting volatility: EWMA, GARCH and HARNot yet](/learn/path-16/module-16-12-forecasting-volatility) 13. [16.13The variance risk premium in NiftyNot yet](/learn/path-16/module-16-13-variance-risk-premium) 14. [16.14Variance swaps and replicationNot yet](/learn/path-16/module-16-14-variance-swaps) 15. [16.15Volatility surface models: SVI, SABR, local and stochastic volNot yet](/learn/path-16/module-16-15-volatility-surface-models) 16. [16.16Skew dynamics: sticky strike against sticky deltaNot yet](/learn/path-16/module-16-16-skew-dynamics) 17. [TPath test, 30 questionsNot yet](/learn/path-16/module-16-16-skew-dynamics#pathTestSection) Path 16 in reading time: 159 minutes over 16 modules Minutes of reading per module, this one in amber. Source: RupeeCase Learn, Path 16. Explore next ## Put the module to work. * [Free module 17.5Straddles and strangles, long and short8 min read](/learn/path-17/module-17-5-straddles-and-strangles) * [Free module 17.19Event hedging with event variance10 min read](/learn/path-17/module-17-19-event-hedging) * [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. Slides, sources, factsheets and the rebalance logs live there, and members join a daily Google Meet with me. New to RupeeCase? [Getting started](/getting-started) [See the terminal](/terminal) [Sign up for RupeeCase](https://invest.rupeecase.com/signup) [Join the WhatsApp group](https://forms.gle/C6HMtM1Z2GfeocQV7) [One form, one group](https://forms.gle/C6HMtM1Z2GfeocQV7)Scan with your phone camera SSources ## Go to the source. 6 sources, NSE the most cited The publisher of each source listed below. Source: Module 16.6 source list. 1. [NSE, India VIX: index page and methodology](https://www.nseindia.com/static/products-services/indices-indiavix-index) NSE 2. [NSE, India VIX white paper](https://nsearchives.nseindia.com/web/sites/default/files/inline-files/white_paper_IndiaVIX.pdf) NSE 3. [NSE, derivatives end of day reports: the F&O bhavcopy these figures are built from](https://www.nseindia.com/all-reports-derivatives) NSE 4. [NISM, Series VIII Equity Derivatives, test objectives (option pricing, volatility and option strategies)](https://www.nism.ac.in/revamp-nism/test-objectives-revised-nism-series-viii-equity-derivatives-certification-examination/) NISM 5. [SEBI investor education, Understanding derivatives](https://investor.sebi.gov.in/understanding_derivatives.html) SEBI 6. [Coval, J. D. and Shumway, T. (2001), Expected Option Returns, Journal of Finance](https://ideas.repec.org/a/bla/jfinan/v56y2001i3p983-1009.html) Paper GTerms ## 5 terms from this module. IV crushThe fall in implied volatility, and so in option prices, when a known event is out and its extra variance leaves the price. [Vega](/learn/glossary#vega)The rupees an option gains or loses for a one point change in implied volatility, other things equal. Event varianceThe extra variance an expiry carries for a known event day, over and above the ordinary days around it. [Straddle](/learn/glossary#straddle)A call and a put at the same strike and expiry. A long straddle pays off when the index moves far enough in either direction. India VIXNSE's volatility index, built from Nifty option prices. It shows the volatility priced for the next thirty calendar days, as a yearly percentage. [All 230 terms in the glossary](/learn/glossary) [Question people askWhat is IV crush around results and the Budget?A short answer with a dated chart](/learn/questions/what-is-iv-crush)[Question people askWhat happens to options around Budget day and results day?A short answer with a dated chart](/learn/questions/budget-day-option-strategy)[Related module16.1 Volatility: historical against implied7 min, Beginner](/learn/path-16/module-16-1-historical-vs-implied-volatility)[Related module16.2 India VIX for beginners: what it measures and what it does not8 min, Beginner](/learn/path-16/module-16-2-india-vix-explained)[Pillar guideDerivatives and Quant115 modules across paths 12 to 19](/learn/derivatives) Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.