● EVENT LENS · EXPECTED MOVE
Earnings expected moves: what options are pricing for 38 names
The option-implied expected move for every upcoming report, 10 August 2026 through 22 September 2026: report date and session, at-the-money implied volatility, the straddle price, the implied move in percent, and the expected-move band it defines.
AS OF 10 AUGUST 2026 · SOURCE: GAMBIT · 38 NAMES · 2026-08-10 → 2026-09-22 · CURRENT VALUES IN THE TERMINAL ↗
How to read it
What this tells you, and what it does not
What this tells you
The expected move measures magnitude, not direction: how far the stock has to travel for the event volatility priced into the straddle to be worth what it costs.
What it does not tell you
It says nothing about whether the company beats or misses, whether the stock rises or falls, or whether the move stays inside the band. It is not a probability either: the straddle premium is a market-priced measure of event uncertainty, carrying volatility risk premium, skew, rates and supply, rather than a calibrated odds forecast.
What to inspect next
Check the calendar for the exact timing, dealer gamma for how positioning near those strikes may shape the path, and the newsfeed for the print itself and the first reaction.
The window
- 38names with a priced expected move
- 11report dates in the window
- 13.09%Nebius (NBIS) implied move, worked through below
- 1.77% to 28.64%range of implied moves across the window
Before a company reports, the options market has already written down how far it thinks the stock will travel. The at-the-money straddle on the first expiry after the report is that number, in dollars. Gambit prices it for every name on the calendar and publishes the move, the band and the volatility behind it, so the question stops being will it beat? and becomes is a beat already paid for?
Every name, by date
The full calendar
Sorted by report date, so names reporting into the same session sit together: they share a tape, and a big move in the first print is often the read on the next.
| Report date | Session | Ticker | Spot | Implied move | Expected range |
|---|---|---|---|---|---|
| AMC | QUBT | $8.92 | 12.16% | $7.83 to $10.00 | |
| AMC | SPG | $220.55 | 4.47% | $210.70 to $230.40 | |
| BMO | BTDR | $8.98 | 10.58% | $8.03 to $9.93 | |
| BMO | BW | $12.57 | 28.64% | $8.97 to $16.17 | |
| AMC | CRWV | $88.74 | 13.16% | $77.06 to $100.41 | |
| AMC | LITE | $823.57 | 11.58% | $728.22 to $918.92 | |
| AMC | SMCI | $32.05 | 13.82% | $27.62 to $36.48 | |
| BMO | CAH | $238.86 | 6.20% | $224.06 to $253.66 | |
| AMC | COHR | $329.40 | 12.16% | $289.35 to $369.45 | |
| AMC | CSCO | $123.25 | 8.01% | $113.38 to $133.12 | |
| BMO | AMCR | $47.00 | 7.61% | $43.42 to $50.58 | |
| BMO | NBIS | $186.65 | 13.09% | $162.22 to $211.08 | |
| BMO | TE | $5.40 | 16.67% | $4.50 to $6.30 | |
| BMO | TRMB | $58.40 | 9.08% | $53.10 to $63.70 | |
| BMO | WYFI | $24.00 | 20.52% | $19.07 to $28.93 | |
| n/a | TECH | $72.10 | 2.17% | $70.53 to $73.66 | |
| AMC | AMAT | $530.84 | 8.67% | $484.79 to $576.89 | |
| BMO | TPR | $162.15 | 8.66% | $148.10 to $176.20 | |
| BMO | XE | $20.69 | 16.67% | $17.24 to $24.14 | |
| n/a | AES | $14.70 | 1.77% | $14.44 to $14.96 | |
| n/a | ASPI | $4.35 | 12.07% | $3.82 to $4.88 | |
| n/a | HIVE | $2.65 | 13.21% | $2.30 to $3.00 | |
| n/a | PANW | $386.10 | 7.46% | $357.30 to $414.90 | |
| AMC | JKHY | $155.33 | 5.92% | $146.13 to $164.53 | |
| AMC | KEYS | $334.00 | 11.65% | $295.10 to $372.90 | |
| BMO | HD | $350.33 | 5.62% | $330.63 to $370.03 | |
| AMC | NDSN | $308.95 | 4.86% | $293.95 to $323.95 | |
| BMO | ADI | $383.92 | 7.89% | $353.62 to $414.22 | |
| BMO | EL | $86.90 | 10.24% | $78.00 to $95.80 | |
| BMO | LOW | $218.21 | 6.10% | $204.91 to $231.51 | |
| BMO | TGT | $152.50 | 7.72% | $140.73 to $164.28 | |
| BMO | TJX | $159.38 | 5.02% | $151.38 to $167.38 | |
| AMC | ROST | $254.49 | 7.01% | $236.64 to $272.34 | |
| BMO | DE | $630.00 | 7.07% | $585.45 to $674.55 | |
| BMO | WMT | $112.59 | 5.48% | $106.42 to $118.76 | |
| AMC | NVDA | $219.50 | 7.78% | $202.43 to $236.57 | |
| n/a | ORCL | $150.80 | 17.32% | $124.68 to $176.93 | |
| n/a | MU | $875.66 | 20.60% | $695.31 to $1,056.01 |
38 names are priced. This page shows the first of them.
See all 38 in the terminal ↗This window is a snapshot. The table is the calendar as it stood on 10 August 2026, sorted by report date, so a date that has since passed is a filed result rather than an upcoming one. The terminal carries the current window.
Session codes. BMO is before the market opens; AMC is after the close. Where the company has not confirmed the session, the cell reads n/a. Every ticker links to its own page with the straddle, the strike, the expiry and the arithmetic.
Method
How the expected move is priced
The straddle is the estimate. Take the strike closest to spot on the first expiry after the report. Add the call price and the put price. That total is what the market charges to own the move in either direction, and it is the expected move in dollars.
Percent is dollars over spot. The implied move in percent on this page is the straddle price divided by the spot price. Nothing else is done to it.
Two bands, and they are not the same. The expected-move band on this page is spot minus the straddle to spot plus the straddle, which centres the premium on the current price so names can be compared. The straddle’s own expiration break-evens sit at the strike minus the premium and the strike plus the premium. They coincide only when spot is exactly on the strike, and every ticker page prints both.
Annualised volatility is a different unit. The ATM implied volatility shown for each name is annualised, which is why a two-day event can print a triple-digit number. Compare names on the implied move in percent, not on implied volatility.
A worked example. Nebius (NBIS) trades at $186.65 into its 12 August 2026 report. The at-the-money straddle expiring 14 August 2026 costs $24.43. Divide $24.43 by $186.65 and you get 13.09%, so that is the move the options are charging for. Add and subtract it from the share price and the expected-move band runs $162.22 to $211.08. Measured from the $187.50 strike instead, where the straddle actually breaks even at expiry, the levels are $163.07 and $211.93, before costs.
Questions
What is an option-implied expected move?
It is the size of the post-earnings move the options market is charging for, read straight off the price of the at-the-money straddle on the first expiry after the report. Buy the at-the-money call and the at-the-money put together and you have paid the straddle price; the stock has to travel at least that far, in either direction, for the position to break even. Divide the straddle by the spot price and you have the expected move in percent.
How is the expected-move band calculated?
Two different bands are worth separating. The expected-move band on this page is spot minus the straddle to spot plus the straddle, which centres the premium on the current price for comparison across names. The straddle’s actual expiration break-evens are the strike minus the premium and the strike plus the premium, and the two coincide only when spot sits exactly on the strike. Neither is a probability: the premium is a market price for event uncertainty, shaped by volatility risk premium, skew, rates and supply, not a calibrated forecast.
Which expiry is used?
The first listed expiry after the report date, so the contract actually spans the event. Every ticker page states the expiry it used and the number of days to it.
Why is ATM implied volatility so high into earnings?
Implied volatility is quoted as an annual rate. Stretch one overnight event across a whole year and the figure looks enormous, which is why earnings volatility runs into the hundreds of percent. Nebius (NBIS) carries 175.7% implied volatility with 3 days to expiry, while the options price a move of 13.09%. Compare names on the implied move in percent. It is the number in plain units.
What does BMO or AMC mean?
BMO is before the market opens on the report date; AMC is after the close. It determines which session absorbs the move: an AMC report moves the next day's open, a BMO report moves that same morning.
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