HPE
Q3 2026 Earnings
Reports in
1day
Wed, Sep 02 · After close
Options-implied move
±12.7%
$46.27 · $59.73 · via ATM straddle
Research snapshot
ValidatedEnd-of-day research
Options snapshotAug 28Frozen chain inputs
Earnings eventSep 2after close
Forecast modelT-7 modelInputs from Aug 26
Forecast checks24 controls0 exceptions · checked Aug 31
ATM IV
81.7%
Term slope -10.0 vol pts / 30d
IV-based expected move
±16.0%
82% annualized IV · 14 DTE
ATM Straddle
$6.73
Call + put · strike $53.00
IV Rank
46%
52w 28–119%
Earnings move
Market vs model vs history
Absolute move magnitude around $53.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±12.7%
$46–$60
ATM straddle
Nightly model
±7.8%
$49–$57
P10–P90 1.6%–18.4%
Historical median
±4.6%
$51–$55
Last 8 earnings
Straddle exceedance ≈38%Options price 4.9 percentage points more movement than the model.IV rank 46%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 $53.00 · paid $6.73
-1.5× EM
$336
-1× EM
-$0
No move
-$673
+1× EM
-$0
+1.5× EM
$336
Move unit ±12.7% · spot $53.00Model midpoint ±7.8%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|
4.6%
Mean move
+1.6%
Largest |move|
19.5%
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 $53 | 14d | 81.69% | 0.498 | 0.0468 | 0.04 | -0.12 | $6.73 |
Sep 25 K $53 | 28d | 71.04% | 0.507 | 0.0378 | 0.06 | -0.07 | $8.25 |
Oct 9 K $54 | 42d | 62.91% | 0.501 | 0.0351 | 0.07 | -0.06 | $9.13 |
Oct 16 K $55 | 49d | 65.00% | 0.464 | 0.0317 | 0.08 | -0.05 | $10.35 |
Options data · as of 2026-08-28Method: ML forecast