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iShares Russell 2000 ETF — Historical IV crush pattern, win rate, and edge score
iShares Russell 2000 ETF (IWM) operates in the ETF - Index sector and has actively traded listed options. IV dropped an average of -34% after earnings across 6 events (17% seller win rate). The implied-to-actual ratio sits at 0.89x — the market prices IWM earnings moves fairly. Weak crush history makes earnings a challenging event for premium sellers. See Premium Selling for the full trade verdict.
Implied vs Actual Earnings Moves
Neutral conditions — be selective.
Implied and actual moves are roughly aligned. Edge is marginal — prefer defined-risk or smaller size.
How to read this page
Crush % = (Pre-earnings IV − Post-earnings IV) / Pre-earnings IV × 100Historical IV levels before and after each earnings announcement
ORATS historical earnings data, minimum 5 quarters required
Past crush patterns do not predict future results. Sample sizes under 8 quarters have lower statistical reliability. Company fundamentals, guidance, and macro context change between earnings.
IWM may be attractive for premium selling between earnings cycles — standard VRP and IV Rank signals apply.
See current premium signal →IWM actual earnings moves have historically exceeded implied — selling premium through the event carries elevated risk.
This page — historical earnings analysis ↓Bottom line: Despite consistent IV crush, IWM's actual earnings moves have historically exceeded implied. Premium selling through earnings has been a losing strategy — consider long-vol structures or staying out of the event entirely.
| Quarter | Implied | Actual | Crush | Result |
|---|---|---|---|---|
| Q2 2025 | ±2.5% | +10.2% | -36% | LOSS |
| Q4 2024 | ±1.4% | +6.1% | -17% | LOSS |
| Q3 2024 | ±1.8% | +1.9% | -21% | LOSS |
| Q3 2023 | ±14.5% | -1.8% | -94% | WIN |
Showing 4 of 6 · Short ATM straddle, close-to-close · limited sample
Unlock all 6 quarters →Based on 6 quarters of IWM earnings data
Short ATM Straddle
Sell both call + put at-the-money
Stock exceeded expected move 83% of the time — selling premium has been unprofitable more often than not.
Long ATM Straddle
Buy both call + put at-the-money
Stock moved beyond expected 83% of the time — realized moves large enough to profit from long premium.
Avg Implied
±3.9%
Avg Actual
±4.4%
Quarters
6
Proxy only: Based on actual stock move vs ATM implied move around earnings. Not actual options P&L — excludes premiums, fees, execution, and strike-specific pricing.
Quantitative screening, not investment advice. Verify with your broker. Disclaimer
iShares Russell 2000 ETF's earnings history shows the stock has exceeded its options-implied move in 83% of recent announcements — the opposite of what premium sellers want. When a stock regularly moves more than the market's implied range, selling straddles or strangles through earnings becomes a losing proposition over time. iShares Russell 2000 ETF's average IV crush of only 34.0% is insufficient to offset the instances where actual gap moves exceeded the straddle breakeven. Unless the current setup offers an unusually wide implied move premium relative to historical actual moves, earnings premium selling on iShares Russell 2000 ETF is better avoided.
iShares Russell 2000 ETF's earnings crush analysis examines how the stock's actual post-earnings move compares to what options implied. With a win rate of 16.7% and average crush of 34.0%, premium sellers can assess whether the earnings event historically overprices or underprices the gap move. This historical pattern is one of the strongest predictors of future earnings options behavior.
iShares Russell 2000 ETF has delivered an IV crush (actual move smaller than implied move) in 16.7% of its last 6 earnings cycles. This below-average win rate suggests caution — iShares Russell 2000 ETF frequently moves more than the market expects.
iShares Russell 2000 ETF's average post-earnings IV crush is 34.0%. This strong crush provides meaningful premium decay for sellers, particularly for strategies centered around ATM strikes.
IV crush is the rapid decline in implied volatility immediately after an earnings announcement. Before earnings, uncertainty drives IV higher because the market prices in potential for a large move. After the news drops, uncertainty resolves and IV collapses — typically within hours. For iShares Russell 2000 ETF, the average crush of 34.0% means options lose roughly that percentage of their time value post-announcement. Premium sellers profit from this by selling options at inflated pre-earnings prices and buying them back (or letting them expire) after the crush deflates their value.