Citigroup (C)

Citigroup

Q2 2026 Earnings

Reports in

-4days

Tue, Jul 14 · Before open

Options-implied move

±5.0%

$125.38 · $138.62 · via ATM straddle

ATM IV

31.1%

Δ term slope -0.4 v/30d

IV-based EM

±6.3%

σ 31% · 15d

ATM Straddle

$6.63

Strike $132.00

IV Rank

30%

52w 23–46%

Provider signals

Crowding and flow context

Signal score 18

Short days

1.7

27.2M shares short

P/C volume

1.39x

28.5K puts / 20.5K calls

P/C OI

0.95x

127.8K puts / 134.8K calls

Actions

5/1

dividend / split events

massive · short 2026-06-30 · IV coverage 86%

Expected move

Probability density around spot

Log-normal model with ATM IV 31.1% over 15 days. Range $125.38–$138.62.

$119.53 · -9.4%Spot $132.00$144.47 · +9.4%

Spot

−5.0%

+5.0%

Straddle bandIV bandLog-normal density

Hover for probability · click to pin

Term structure

Implied range across expiries

Spot × (1 ± EM) at each expiry. Hover an expiry for details.

4 expiries

Historical

Realized moves · last 8 quarters

Close-to-close moves; implied range pending historical option chains.

EPS beat 8/8

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
Jul 31Earnings K $132	15d	31.06%	0.503	0.0479	0.11	-0.11	$6.63
Aug 14 K $132	29d	30.26%	0.494	0.0356	0.15	-0.07	$8.95
Aug 28 K $132	43d	30.59%	0.510	0.0286	0.18	-0.06	$11.00
Sep 18 K $135	64d	29.48%	0.449	0.0242	0.22	-0.05	$13.30

Options data · as of 2026-07-16Method: options math baseline