BNY
Q3 2026 Earnings
Thu, Oct 15 · Before open
Expected move · ML forecast
±2.4%
$141.53 · $148.47 · via ML forecast
Earnings move
Market vs model vs history
Absolute move magnitude around $145.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±5.0%
$138–$152
ATM straddle
Nightly model
±2.4%
$142–$148
P10–P90 0.7%–6.7%
Historical median
±0.8%
$144–$146
Last 4 earnings
Straddle exceedance ≈24%Options price 2.6 percentage points more movement than the model.IV rank 43%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|
0.6%
Outside implied
0/1
Largest |move|
5.1%
EPS surprisevs sell-side consensus
Implied rangeRealized (up)Realized (down)Outside implied
Comparable history1319 events across 290 symbols · 0.55x median realized/implied · 24% outside implied
ATM IV
29.8%
Front-month · 16 DTE
IV-based expected move
±6.2%
30% annualized IV · 16 DTE
ATM Straddle
$7.20
Call + put · strike $145.00
IV Rank
43%
52w 20–40%
Term structure
Implied range across expiries
Spot × (1 ± EM) at each expiry. Hover an expiry for details.
2 expiries
Practical scenario
Earnings gap scenarios
One long ATM straddle held to expiry · before fees and IV repricing.
K $145.00 · paid $7.20
-1.5× EM
$360
-1× EM
$0
No move
-$720
+1× EM
$0
+1.5× EM
$360
Move unit ±5.0% · spot $145.00Model midpoint ±2.4%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 $145 | 16d | 29.77% | 0.510 | 0.0437 | 0.12 | -0.10 | $7.20 |
Nov 20 K $145 | 51d | 25.29% | 0.538 | 0.0286 | 0.22 | -0.06 | $10.95 |
Research snapshot
ValidatedEnd-of-day research
Options snapshotSep 30Frozen chain inputs
Earnings eventOct 15before open
Forecast modelT-21 modelInputs from Sep 24
Forecast checks13 controls0 exceptions · checked Oct 16
Research data · as of 2026-09-30Method: ML forecast