AVGO
Q3 2026 Earnings
Reports in
1day
Wed, Sep 02 · After close
Options-implied move
±9.0%
$339.01 · $405.99 · via ATM straddle
Research snapshot
ValidatedEnd-of-day research
Options snapshotAug 28Frozen chain inputs
Earnings eventSep 2after close
Forecast modelT-7 modelInputs from Aug 26
Forecast checks24 controls0 exceptions · checked Aug 31
ATM IV
57.7%
Term slope -4.6 vol pts / 30d
IV-based expected move
±11.3%
58% annualized IV · 14 DTE
ATM Straddle
$33.49
Call + put · strike $372.50
IV Rank
41%
52w 36–66%
Earnings move
Market vs model vs history
Absolute move magnitude around $372.50 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±9.0%
$339–$406
ATM straddle
Nightly model
±5.0%
$354–$391
P10–P90 1.3%–16.9%
Historical median
±9.9%
$336–$409
Last 8 earnings
Straddle exceedance ≈31%Options price 4.0 percentage points more movement than the model.IV rank 41%Light band P10–P90 · dark band P25–P75 · line P50Quantile interpolation · before spreads, fees, and post-event IV change
Term structure
Implied range across expiries
Spot × (1 ± EM) at each expiry. Hover an expiry for details.
4 expiries
Practical scenario
Earnings gap scenarios
One long ATM straddle held to expiry · before fees and IV repricing.
K $372.50 · paid $33.49
-1.5× EM
$1675
-1× EM
-$0
No move
-$3349
+1× EM
-$0
+1.5× EM
$1675
Move unit ±9.0% · spot $372.50Model midpoint ±5.0%Expiry payoff proxy, not a forecast.
Historical
Event study · 8 events
Close-to-close earnings reactions; historical option ranges are not available for this cohort.
EPS beat 0/1
Observations
8
Median |move|
9.9%
Mean move
+1.0%
Largest |move|
24.4%
EPS surprisevs sell-side consensus
Realized (up)Realized (down)
ATM greeks
Greeks by expiry
ATM call · delta hedge ratios, sensitivity to vol and time.
| Expiry | DTE | ATM IV | Δ Delta | Γ Gamma | 𝜈 Vega | Θ Theta | Straddle |
|---|---|---|---|---|---|---|---|
Sep 11Earnings K $373 | 14d | 57.68% | 0.493 | 0.0094 | 0.29 | -0.61 | $33.49 |
Sep 25 K $375 | 28d | 49.24% | 0.482 | 0.0078 | 0.41 | -0.36 | $40.65 |
Oct 9 K $375 | 42d | 46.74% | 0.499 | 0.0068 | 0.50 | -0.29 | $47.15 |
Oct 16 K $380 | 49d | 46.12% | 0.471 | 0.0063 | 0.54 | -0.26 | $51.00 |
Options data · as of 2026-08-28Method: ML forecast