CIEN
Q3 2026 Earnings
Reports in
2days
Thu, Sep 03 · Before open
Options-implied move
±13.6%
$332.50 · $437.50 · via ATM straddle
Research snapshot
ValidatedEnd-of-day research
Options snapshotAug 28Frozen chain inputs
Earnings eventSep 3before open
Forecast modelT-7 modelInputs from Aug 27
Forecast checks24 controls0 exceptions · checked Aug 31
ATM IV
87.8%
Term slope -8.6 vol pts / 30d
IV-based expected move
±17.2%
88% annualized IV · 14 DTE
ATM Straddle
$52.50
Call + put · strike $385.00
IV Rank
56%
52w 37–110%
Earnings move
Market vs model vs history
Absolute move magnitude around $385.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±13.6%
$332–$438
ATM straddle
Nightly model
±10.1%
$346–$424
P10–P90 1.6%–23.3%
Historical median
±12.9%
$335–$435
Last 8 earnings
Straddle exceedance ≈33%Options price 3.5 percentage points more movement than the model.IV rank 56%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 $385.00 · paid $52.50
-1.5× EM
$2625
-1× EM
$0
No move
-$5250
+1× EM
$0
+1.5× EM
$2625
Move unit ±13.6% · spot $385.00Model midpoint ±10.1%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 1/1
Observations
8
Median |move|
12.9%
Mean move
+0.7%
Largest |move|
23.3%
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 $385 | 14d | 87.78% | 0.496 | 0.0060 | 0.30 | -0.90 | $52.50 |
Sep 25 K $390 | 28d | 78.13% | 0.498 | 0.0050 | 0.42 | -0.58 | $66.75 |
Oct 9 K $390 | 42d | 73.06% | 0.508 | 0.0041 | 0.51 | -0.45 | $76.09 |
Oct 16 K $390 | 49d | 72.83% | 0.508 | 0.0039 | 0.55 | -0.40 | $81.70 |
Options data · as of 2026-08-28Method: ML forecast