JNJ
Q3 2026 Earnings
Tue, Oct 13 · Before open
Expected move · ML forecast
±3.0%
$256.96 · $273.04 · via ML forecast
Earnings move
Market vs model vs history
Absolute move magnitude around $265.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±4.6%
$253–$277
ATM straddle
Nightly model
±3.0%
$257–$273
P10–P90 0.7%–6.1%
Historical median
±0.5%
$264–$266
Last 4 earnings
Straddle exceedance ≈24%Options price 1.6 percentage points more movement than the model.IV rank 74%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|
1.2%
Outside implied
1/8
Largest |move|
6.2%
EPS surprisevs sell-side consensus
Implied rangeRealized (up)Realized (down)Outside implied
Comparable history1023 events across 247 symbols · 0.56x median realized/implied · 25% outside implied
ATM IV
27.3%
Front-month · 16 DTE
IV-based expected move
±5.7%
27% annualized IV · 16 DTE
ATM Straddle
$12.15
Call + put · strike $265.00
IV Rank
74%
52w 15–30%
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 $265.00 · paid $12.15
-1.5× EM
$607
-1× EM
-$0
No move
-$1215
+1× EM
-$0
+1.5× EM
$607
Move unit ±4.6% · spot $265.00Model midpoint ±3.0%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 $265 | 16d | 27.35% | 0.531 | 0.0260 | 0.22 | -0.21 | $12.15 |
Oct 30 K $265 | 30d | 26.45% | 0.544 | 0.0196 | 0.30 | -0.15 | $16.15 |
Nov 20 K $270 | 51d | 24.93% | 0.475 | 0.0159 | 0.40 | -0.11 | $20.20 |
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