--- title: "What is IV crush around results and the Budget | RupeeCase" description: "IV crush is the fall in an option's implied volatility once an expected event has passed." source_url: "https://www.rupeecase.com/learn/questions/what-is-iv-crush" --- India VIX closed at its window high on Budget day and was below its pre Budget close by 3 Feb 2026 India VIX close, daily, from 20 Jan 2026 to 9 Feb 2026. The 1 Feb 2026 point is the Budget day session, which fell on a Sunday. Source: NSE end of day data, computed by RupeeCase. As of 9 Feb 2026. Before a known event, such as a Union Budget or a company's results, the options that span it carry extra volatility. Buyers pay for the chance of a large move on the day, and that payment shows up as higher implied volatility. When the event passes, the uncertainty goes with it, and implied volatility falls back. That fall is the crush. The chart is India VIX from 20 Jan 2026 to 9 Feb 2026, around Budget day, 1 Feb 2026. NSE held a special session that Sunday. The Budget is presented during trading hours, so that day's close already holds the reaction. NIFTY fell sharply, and VIX closed at the high of the window. By 3 Feb 2026 it was below its close of 30 Jan 2026, the last session before the Budget. A single expiry shows the same. On the 24 Feb 2026 NIFTY chain, the at the money implied volatility was in the mid teens on the Budget session and fell by a couple of vol points in the next session, when the index rose. That fall mixes event premium with a rebound from the sharp move, so it is not a pure crush. A buyer who pays the event premium can be right on direction and still lose, because the volatility that was priced in leaves the option when the event passes. A seller collects that premium and carries the risk of a gap before the event. Two checks help. Compare the same expiry on the day before and the day after the event, not two different expiries. And remember that India VIX blends the near and next expiry into one 30 day figure, so it fell by less than the single expiry did. **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 is IV crush around results and the Budget?IV crush is the fall in an option's implied volatility once an expected event has passed, and it lowers the premium even when the index moves the way the market expected. It is largest for options whose expiry sits just after the event, because the uncertainty about the event is priced into them and then removed. LGo deeper ## Where Learn teaches this. [Go deeperEvents and IV crush: results, Budget, RBI and elections9 min, Intermediate](/learn/path-16/module-16-6-iv-crush-around-events)[Go deeperIndia VIX for beginners: what it measures and what it does not8 min, Beginner](/learn/path-16/module-16-2-india-vix-explained) SSources ## Go to the source. 1. [NSE, India VIX: what it measures and how it is computed](https://www.nseindia.com/static/products-services/indices-indiavix-index) NSE 2. [NSE, derivatives reports and daily end of day files](https://www.nseindia.com/all-reports-derivatives) NSE 3. [NSE, India VIX white paper (how NSE turns Nifty option quotes into one volatility number)](https://nsearchives.nseindia.com/web/sites/default/files/inline-files/white_paper_IndiaVIX.pdf) NSE ?Questions people ask ## Related questions. [QuestionWhat is India VIX?Beginner](/learn/questions/what-is-india-vix)[QuestionWhat is implied volatility?Beginner](/learn/questions/what-is-implied-volatility)[QuestionWhy is my option premium not rising even though Nifty went up?Beginner](/learn/questions/why-premium-not-rising) [All 130 questions](/learn/questions/) Explore next ## Go deeper on this question. * [QuestionVolatility smile or skew: what is the difference?A short answer with a dated chart](/learn/questions/volatility-smile-vs-skew) * [QuestionHow is India VIX calculated?A short answer with a dated chart](/learn/questions/how-india-vix-is-calculated) * [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder) * [GlossaryInvesting glossary, 230 termsPlain word definitions, and the app’s own](/learn/glossary) Community ## Join my WhatsApp group. Scan the code, fillFill one short form, and join my WhatsApp group. 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