DELL
Q2 2027 Earnings
Reports in
0days
Tue, Sep 01 · After close
Options-implied move
±13.0%
$400.27 · $519.73 · via ATM straddle
Research snapshot
ValidatedEnd-of-day research
Options snapshotAug 28Frozen chain inputs
Earnings eventSep 1after close
Forecast modelT-7 modelInputs from Aug 25
Forecast checks24 controls0 exceptions · checked Aug 31
ATM IV
83.2%
Term slope -5.8 vol pts / 30d
IV-based expected move
±16.3%
83% annualized IV · 14 DTE
ATM Straddle
$59.73
Call + put · strike $460.00
IV Rank
60%
52w 32–99%
Earnings move
Market vs model vs history
Absolute move magnitude around $460.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±13.0%
$400–$520
ATM straddle
Nightly model
±8.5%
$421–$499
P10–P90 1.3%–22.4%
Historical median
±7.4%
$426–$494
Last 8 earnings
Straddle exceedance ≈34%Options price 4.5 percentage points more movement than the model.IV rank 60%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 $460.00 · paid $59.73
-1.5× EM
$2986
-1× EM
$0
No move
-$5973
+1× EM
$0
+1.5× EM
$2986
Move unit ±13.0% · spot $460.00Model midpoint ±8.5%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|
7.4%
Mean move
+4.6%
Largest |move|
32.8%
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 |
|---|---|---|---|---|---|---|---|
Sep 11Earnings K $460 | 14d | 83.20% | 0.511 | 0.0053 | 0.36 | -1.05 | $59.73 |
Sep 25 K $465 | 28d | 72.77% | 0.504 | 0.0043 | 0.50 | -0.66 | $74.12 |
Oct 9 K $470 | 42d | 69.56% | 0.500 | 0.0036 | 0.62 | -0.52 | $87.42 |
Oct 16 K $470 | 49d | 68.38% | 0.509 | 0.0034 | 0.67 | -0.48 | $92.75 |
Options data · as of 2026-08-28Method: ML forecast