Identify stocks where implied volatility is mispriced ahead of earnings
Most options traders lose money around earnings because they buy expensive options after IV has already spiked. The Earnings IV Scanner flips this — it finds stocks where the options market is systematically overpricing the expected earnings move, giving premium sellers a statistical edge. Every scan ranks upcoming earnings events by the historical gap between implied and realized post-earnings moves.
See every earnings event in the next 7 trading days with IV rank, expected move, and historical accuracy score — all on one screen.
For each upcoming earnings, compare the implied move (what options are pricing in) to the average realized move over the last 8 quarters. A large gap signals a potential overpricing opportunity.
A proprietary score (0–100) that estimates the likelihood of significant IV crush after earnings, based on historical IV behavior for that specific ticker.
Filter by strategy type: iron condors (range-bound), straddle shorts (directional IV plays), or calendar spreads (term structure plays). Each filter adjusts the ranking algorithm.
Automatic flags for high-risk setups: binary events (FDA, merger votes), thin liquidity, wide bid-ask spreads, and stocks with a history of outsized earnings gaps.
Export the full scan to CSV for your own analysis, or set email alerts to be notified when a specific ticker's earnings IV score crosses your threshold.
Every morning before market open, the scanner refreshes with confirmed earnings dates from the options market (implied by elevated near-term IV). You see the full calendar sorted by days until earnings.
The implied move is derived from the at-the-money straddle price for the earnings expiration. This is the ±1 standard deviation move the options market is pricing in. A $100 stock with a $6 straddle implies a ±6% expected move.
The scanner looks back at the last 8 earnings events for the same ticker and calculates the average actual post-earnings move (absolute value). If the stock historically moves ±4% but options are pricing ±8%, that is a 2x overpricing — a strong candidate for premium selling.
The score combines the implied/realized ratio, the IV rank of the earnings expiration, the historical IV crush percentage (how much IV drops the day after earnings), and the liquidity of the options. Higher scores indicate better premium-selling setups.
Click any ticker to see the suggested iron condor or straddle short setup with exact strikes, expiration, and position sizing based on your account settings. One click sends 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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Identify stocks where implied volatility is mispriced ahead of earnings
Unlock advanced volatility analysis tools used by professional options traders.
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