Why do NFLX options that expire after earnings cost more?

Options that expire after an earnings date cost more because they are still alive when the results come out, and the market prices that uncertainty in through a higher implied volatility. On 2026-10-15, the same NFLX $73 call showed this plainly: the expiry that ends before Netflix's report carried an implied volatility estimate of 35.2%, while the first weekly expiry after the report carried 75.9%. This post walks through those two real prints, what implied volatility is, and what traders mean by "IV crush".

What implied volatility is

Implied volatility is the volatility input that makes an option-pricing model's value match the option's market price. It is read backwards from the price the market is paying. Higher implied volatility means a higher option price, all else equal.¹

Implied volatility is quoted as an annualized percentage. That detail matters later in this post: because it is annualized, two contracts with different amounts of time left can still be compared on the same scale.

Earnings reports are one of the clearest cases where implied volatility changes on a schedule. The Options Industry Council describes a common pattern: implied volatility typically climbs in the weeks before an earnings announcement, inflating option prices, and often falls sharply once the announcement resolves the uncertainty.² Academic work has looked at the same date effect for decades. Patell and Wolfson (1979) studied call option prices on dates leading up to and through annual earnings announcements and found systematic changes in Black-Scholes implied variance around the disclosure date.³

When Netflix reports

Netflix's own press release sets the date and time.⁴

Because the results arrive after the close, the first regular session that can react to them is the next trading day. Any NFLX option that expires on or before 2026-10-20 expires without seeing a full trading session after the report. An option that expires later carries the report inside its life.

The worked example: one strike, two expiries

As of 2026-10-15, CaymanBot's public trades feed shows two prints in the NFLX $73 call, taken about 14 minutes apart, with NFLX near $72.8 for both.⁵ One is in the 2026-10-16 expiration, which ends before the report. The other is in the 2026-10-23 expiration, the first weekly expiry after the report.

The IV column is CaymanBot's own implied volatility estimate for each print, computed from the trade, not a figure published by an exchange.

Step 1: the cost of one contract

A standard contract covers 100 shares, so the contract multiplier turns each quoted price into dollars per contract:

Both calls had a $73 strike, just above NFLX at $72.86 and $72.825, so neither had any intrinsic value. Everything paid for each one was extrinsic value.

Step 2: why the price comparison alone misleads

The later contract cost $320 against $48, several times as much.

That gap mixes two effects. The Oct 23 contract also has 7 more days to expiry, and more time by itself makes an option cost more:

So the price comparison cannot tell you how much of the difference is time and how much is the report.

Step 3: the implied volatility comparison

Implied volatility is annualized, which strips out most of the time difference. Comparing the two estimates is what isolates the earnings effect:

On the same strike, on the same afternoon, with NFLX near the same price, the after-earnings expiry's IV estimate was about 2.2 times the before-earnings one. The two prints differ in time left and in whether the report falls inside their life. The higher annualized volatility on the later contract is how the market priced the second of those.

What IV crush means

"IV crush" is the name for the second half of the pattern the Options Industry Council describes: once the announcement resolves the uncertainty, implied volatility often falls sharply. Because implied volatility is part of an option's price, an option can lose value after the report even when the stock moves the holder's way.² Our glossary entry on IV crush covers the term in more detail.

Two cautions keep this honest. First, OIC describes a common pattern, and it does not play out the same way after every report. Second, the two prints above describe only what these contracts cost on 2026-10-15. They say nothing about what NFLX or its options will do on or after 2026-10-20.

How options traders use this

For options traders, the earnings date is a fact you can look up before you read any price. A few general habits follow from the example:

• Check whether an expiry falls before or after the next report before comparing two contracts.
• Compare implied volatility across expiries, since raw prices mix in the time difference.
• Remember that the part of a price that comes from implied volatility is the part exposed to a post-report drop. The vega entry explains how sensitive a price is to that.

Our explainer on delta, gamma, theta and vega puts implied volatility next to the other inputs that move an option's price.

How to practice this

Open a free CaymanBot account and look up the same strike in two expiries, one before an earnings date and one after it, then compare the implied volatility next to each print. In the first two Learning Mode stages, each trade on the feed comes with a plain-English sentence you can check against the strike, expiry and premium. You can then open either contract in the $100K paper trading account and watch how its price behaves across the report, with no real money at stake. A free account shows options data delayed 16 minutes (60 minutes without an account).

Educational only, not investment advice.