JPM
Q3 2026 Earnings
Tue, Oct 13 · Before open
Expected move · ML forecast
±3.7%
$317.71 · $342.29 · via ML forecast
Earnings move
Market vs model vs history
Absolute move magnitude around $330.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±4.8%
$314–$346
ATM straddle
Nightly model
±3.7%
$318–$342
P10–P90 0.8%–6.5%
Historical median
±2.2%
$323–$337
Last 4 earnings
Straddle exceedance ≈37%Options price 1.1 percentage points more movement than the model.IV rank 42%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|
2.2%
Outside implied
1/8
Largest |move|
4.4%
EPS surprisevs sell-side consensus
Implied rangeRealized (up)Realized (down)Outside implied
Comparable history1216 events across 275 symbols · 0.56x median realized/implied · 25% outside implied
ATM IV
28.7%
Front-month · 16 DTE
IV-based expected move
±6.0%
29% annualized IV · 16 DTE
ATM Straddle
$15.89
Call + put · strike $330.00
IV Rank
42%
52w 18–37%
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 $330.00 · paid $15.89
-1.5× EM
$795
-1× EM
$0
No move
-$1590
+1× EM
$0
+1.5× EM
$795
Move unit ±4.8% · spot $330.00Model midpoint ±3.7%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 $330 | 16d | 28.73% | 0.519 | 0.0200 | 0.28 | -0.28 | $15.89 |
Oct 30 K $330 | 30d | 26.03% | 0.527 | 0.0161 | 0.38 | -0.19 | $19.73 |
Nov 20 K $335 | 51d | 24.54% | 0.475 | 0.0132 | 0.49 | -0.14 | $24.64 |
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