WFC
Q3 2026 Earnings
Tue, Oct 13 · Before open
Expected move · ML forecast
±4.0%
$77.77 · $84.23 · via ML forecast
Earnings move
Market vs model vs history
Absolute move magnitude around $81.00 spot. Price ranges are symmetric references, not directional forecasts.
Options-implied
±5.7%
$76–$86
ATM straddle
Nightly model
±4.0%
$78–$84
P10–P90 0.8%–9.5%
Historical median
±5.2%
$77–$85
Last 4 earnings
Straddle exceedance ≈33%Options price 1.8 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|
5.6%
Outside implied
5/8
Largest |move|
7.1%
EPS surprisevs sell-side consensus
Implied rangeRealized (up)Realized (down)Outside implied
Comparable history1886 events across 375 symbols · 0.58x median realized/implied · 26% outside implied
ATM IV
34.2%
Front-month · 16 DTE
IV-based expected move
±7.2%
34% annualized IV · 16 DTE
ATM Straddle
$4.66
Call + put · strike $81.00
IV Rank
42%
52w 21–43%
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 $81.00 · paid $4.66
-1.5× EM
$233
-1× EM
-$0
No move
-$466
+1× EM
-$0
+1.5× EM
$233
Move unit ±5.7% · spot $81.00Model midpoint ±4.0%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 $81 | 16d | 34.20% | 0.478 | 0.0694 | 0.07 | -0.08 | $4.66 |
Oct 30 K $81 | 30d | 29.99% | 0.497 | 0.0578 | 0.09 | -0.05 | $5.58 |
Nov 20 K $80 | 51d | 29.13% | 0.536 | 0.0452 | 0.12 | -0.04 | $6.95 |
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