The VIX Crush: Why Your Option Loses Value Even When You Are Right
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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
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View paper (DOI)Open access versionOpenAlexZenodo (CERN European Organization for Nuclear Research)Published 2026-10-08
Authors: Lokesh Gupta