NTAP
Q1 2027 Earnings
Reports in
1day
Wed, Sep 02 · After close
Options-implied move
±11.4%
$168.31 · $211.69 · 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
60.0%
Front-month · 21 DTE
IV-based expected move
±14.4%
60% annualized IV · 21 DTE
ATM Straddle
$21.70
Call + put · strike $190.00
IV Rank
92%
52w 23–63%
Earnings move
Market vs model vs history
Absolute move magnitude around $190.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±11.4%
$168–$212
ATM straddle
Nightly model
±7.8%
$175–$205
P10–P90 1.6%–16.8%
Historical median
±4.0%
$182–$198
Last 8 earnings
Straddle exceedance ≈39%Options price 3.6 percentage points more movement than the model.IV rank 92%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.
2 expiries
Practical scenario
Earnings gap scenarios
One long ATM straddle held to expiry · before fees and IV repricing.
K $190.00 · paid $21.70
-1.5× EM
$1085
-1× EM
-$0
No move
-$2170
+1× EM
-$0
+1.5× EM
$1085
Move unit ±11.4% · spot $190.00Model 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|
4.0%
Mean move
-0.5%
Largest |move|
22.4%
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 18Earnings K $190 | 21d | 59.99% | 0.493 | 0.0149 | 0.18 | -0.25 | $21.70 |
Oct 16 K $190 | 49d | 55.16% | 0.517 | 0.0104 | 0.27 | -0.15 | $30.35 |
Options data · as of 2026-08-28Method: ML forecast