BAC
Q3 2026 Earnings
Wed, Oct 14 · Before open
Expected move · ML forecast
±3.2%
$53.24 · $56.76 · via ML forecast
Earnings move
Market vs model vs history
Absolute move magnitude around $55.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±5.3%
$52–$58
ATM straddle
Nightly model
±3.2%
$53–$57
P10–P90 0.8%–6.5%
Historical median
±2.8%
$53–$57
Last 4 earnings
Straddle exceedance ≈21%Options price 2.1 percentage points more movement than the model.IV rank 48%Light band P10–P90 · dark band P25–P75 · line P50Quantile interpolation · before spreads, fees, and post-event IV change
Historical
Event study · 8 events
Realized earnings reactions versus the option-implied range available before each event.
EPS beat 1/1
Observations
8
Median |move|
1.9%
Outside implied
0/8
Largest |move|
4.4%
EPS surprisevs sell-side consensus
Implied rangeRealized (up)Realized (down)Outside implied
Comparable history1578 events across 321 symbols · 0.57x median realized/implied · 25% outside implied
ATM IV
31.5%
Front-month · 16 DTE
IV-based expected move
±6.6%
31% annualized IV · 16 DTE
ATM Straddle
$2.91
Call + put · strike $55.00
IV Rank
48%
52w 18–39%
Term structure
Implied range across expiries
Spot × (1 ± EM) at each expiry. Hover an expiry for details.
3 expiries
Practical scenario
Earnings gap scenarios
One long ATM straddle held to expiry · before fees and IV repricing.
K $55.00 · paid $2.91
-1.5× EM
$145
-1× EM
-$0
No move
-$291
+1× EM
-$0
+1.5× EM
$145
Move unit ±5.3% · spot $55.00Model midpoint ±3.2%Expiry payoff proxy, not a forecast.
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 |
|---|---|---|---|---|---|---|---|
Oct 16Earnings K $55 | 16d | 31.47% | 0.467 | 0.1112 | 0.05 | -0.05 | $2.91 |
Oct 30 K $55 | 30d | 28.19% | 0.484 | 0.0895 | 0.06 | -0.03 | $3.56 |
Nov 20 K $55 | 51d | 26.19% | 0.504 | 0.0744 | 0.08 | -0.02 | $4.30 |
Research snapshot
ValidatedEnd-of-day research
Options snapshotSep 30Frozen chain inputs
Earnings eventOct 14before open
Forecast modelT-14 modelInputs from Sep 30
Forecast checks13 controls0 exceptions · checked Oct 16
Research data · as of 2026-09-30Method: ML forecast