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Nvidia (NVDA) earnings: the option-implied expected move
NVDA reports on 26 August 2026, after the close. Options on the 28 August 2026 expiry are pricing a move of 7.78%: an expected-move band of $202.43 to $236.57 against a spot of $219.50.
AS OF 10 AUGUST 2026 · SOURCE: GAMBIT · NVDA · SPOT $219.50 · CURRENT VALUES IN THE TERMINAL ↗
NVDA · the print
| Spot | $219.50 |
|---|---|
| Report date | |
| Session | AMC, after the close |
| Date confirmed by company | Yes |
| Implied move | 7.78% |
| Expected-move band (spot centred) | $202.43 to $236.57 |
| Straddle break-evens at expiry | $202.92 to $237.08 |
| Expected move in dollars | $17.08 |
| ATM straddle price | $17.08 |
| ATM strike | $220.00 |
| ATM implied volatility | 45.2% |
| Expiry used | |
| Days to expiry | 17 |
The arithmetic
Where 7.78% comes from
An earnings report is a scheduled shock. Nobody knows the direction, but the options market prices the size, and the cleanest way to read that price is the at-the-money straddle.
Step one: pick the contract that spans the event. NVDA reports on 26 August 2026. The first listed expiry after that date is 28 August 2026, 17 days out, so that is the expiry used here. An expiry that lands before the report would price everything except the thing you care about.
Step two: buy both sides at the money. With NVDA trading at $219.50, the nearest strike is $220.00. Owning the $220.00 call and the $220.00 put together (the straddle) costs $17.08 per share. That position does not care which way NVDA goes; it only cares how far.
Step three: divide by spot. $17.08 ÷ $219.50 = 7.78%. That is the implied move: the percentage travel the market is charging for, in either direction, by 28 August 2026.
Step four: read it as a band, and mind which band. Spot minus the straddle is $202.43 and spot plus the straddle is $236.57. That is the expected-move band, centred on the current price so it can be compared across names. The straddle itself breaks even at expiry measured from its $220.00 strike, at $202.92 and $237.08 before costs. The two coincide only when spot sits exactly on the strike, which here it does not.
And the volatility number. 45.2% is the front expiry's annualised implied volatility. It is a related quantity rather than the same one: it covers the whole remaining term, which holds ordinary session variance either side of the event as well as the event itself, while the 7.78% expresses the total premium in plain price units. Use the percentage move to compare NVDA against another company.
The band is a price, not a forecast, and not a probability. A straddle premium carries volatility risk premium, skew, rates and whatever supply and demand did to it, so it is a market-priced measure of event uncertainty rather than calibrated odds. It says nothing about direction and nothing that binds the tape. Realised moves land outside these bands regularly, which is precisely what the seller is paid for.
Comparable prints
Priced for a similar move
Names on the same calendar whose implied move is closest to NVDA's 7.78%:
Questions
What is NVDA's implied move for earnings?
7.78%. With NVDA at $219.50, the at-the-money straddle expiring 28 August 2026 costs $17.08, which is 7.78% of spot. That gives an expected-move band of $202.43 to $236.57 centred on spot. The straddle itself breaks even at expiry at $202.92 and $237.08, measured from the $220.00 strike, before costs.
When does NVDA report earnings?
26 August 2026, AMC, after the close. The date is confirmed by the company.
What does 45.2% implied volatility mean for NVDA?
That is the annualised at-the-money implied volatility on the 28 August 2026 expiry, 17 days out. Annualising a single overnight event produces a large number; the comparable figure across names is the 7.78% implied move.
Keep going
Around the print
The expected move is what is priced; dealer positioning is how the tape behaves while it gets there.