PANW
Q4 2026 Earnings
Reports in
0days
Tue, Sep 01 · After close
Options-implied move
±10.9%
$334.05 · $415.95 · 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
70.0%
Term slope -5.9 vol pts / 30d
IV-based expected move
±13.7%
70% annualized IV · 14 DTE
ATM Straddle
$40.95
Call + put · strike $375.00
IV Rank
65%
52w 25–79%
Earnings move
Market vs model vs history
Absolute move magnitude around $375.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±10.9%
$334–$416
ATM straddle
Nightly model
±5.9%
$353–$397
P10–P90 1.2%–16.7%
Historical median
±4.3%
$359–$391
Last 8 earnings
Straddle exceedance ≈36%Options price 5.0 percentage points more movement than the model.IV rank 65%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 $375.00 · paid $40.95
-1.5× EM
$2047
-1× EM
-$0
No move
-$4095
+1× EM
-$0
+1.5× EM
$2047
Move unit ±10.9% · spot $375.00Model midpoint ±5.9%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|
4.3%
Mean move
-3.0%
Largest |move|
7.4%
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 11Earnings K $375 | 14d | 69.97% | 0.511 | 0.0078 | 0.29 | -0.79 | $40.95 |
Sep 25 K $380 | 28d | 59.55% | 0.488 | 0.0064 | 0.41 | -0.47 | $49.83 |
Oct 9 K $380 | 42d | 56.11% | 0.496 | 0.0056 | 0.50 | -0.35 | $57.25 |
Oct 16 K $380 | 49d | 55.98% | 0.504 | 0.0052 | 0.54 | -0.32 | $61.62 |
Options data · as of 2026-08-28Method: ML forecast