C
Q3 2026 Earnings
Tue, Oct 13 · Before open
Expected move · ML forecast
±3.5%
$126.36 · $135.64 · via ML forecast
Earnings move
Market vs model vs history
Absolute move magnitude around $131.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±5.9%
$123–$139
ATM straddle
Nightly model
±3.5%
$126–$136
P10–P90 0.8%–6.9%
Historical median
±3.6%
$126–$136
Last 4 earnings
Straddle exceedance ≈29%Options price 2.4 percentage points more movement than the model.IV rank 34%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|
3.8%
Outside implied
2/8
Largest |move|
6.5%
EPS surprisevs sell-side consensus
Implied rangeRealized (up)Realized (down)Outside implied
Comparable history1987 events across 385 symbols · 0.56x median realized/implied · 25% outside implied
ATM IV
35.1%
Front-month · 16 DTE
IV-based expected move
±7.3%
35% annualized IV · 16 DTE
ATM Straddle
$7.72
Call + put · strike $131.00
IV Rank
34%
52w 25–46%
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 $131.00 · paid $7.72
-1.5× EM
$386
-1× EM
-$0
No move
-$773
+1× EM
-$0
+1.5× EM
$386
Move unit ±5.9% · spot $131.00Model midpoint ±3.5%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 $131 | 16d | 35.06% | 0.471 | 0.0416 | 0.11 | -0.13 | $7.72 |
Oct 30 K $131 | 30d | 31.66% | 0.491 | 0.0343 | 0.15 | -0.09 | $9.53 |
Nov 20 K $130 | 51d | 31.05% | 0.516 | 0.0264 | 0.19 | -0.06 | $12.00 |
Research snapshot
ValidatedEnd-of-day research
Options snapshotSep 30Frozen chain inputs
Earnings eventOct 13before open
Forecast modelT-14 modelInputs from Sep 29
Forecast checks13 controls0 exceptions · checked Oct 16
Research data · as of 2026-09-30Method: ML forecast