THE RANGE NOTEBOOK / EARNINGS
Price the uncertainty.
A clear implied move. Every assumption left in.
Your implied move
Manual scenario · USDBreakevens & both conventionsInspect the math
The range is centered on stock price. Expiration breakevens use the shared strike and full premium, regardless of the selected convention.
| Convention | Price range | Implied move |
|---|---|---|
| 100% of straddle | $92.00 – $108.00 | ±8% |
| 85% of straddle | $93.20 – $106.80 | ±6.8% |
Volatility & skew contextAssumption-based
45% IV / 35% HV · Rich vs. realized history
Modeled probability inside the range; not calibrated to an earnings event.
All volatility inputs are your assumptions. A normal-return approximation can understate event tail risk. Neither it nor a historical hit rate predicts the next report.
02 / CHECK THE EVIDENCE
The event ledger.
What was priced. What actually moved. These records do not set your manual quote above.
Synthetic examples · Synthetic examples for product demonstration. Not real issuers, funds, events, or market observations. Data details
Example statistics, not market history. 33.33% stayed inside.
[-] Each bracket is ±1× the implied move. A triangle marks a realized move beyond ±2×.
| Company | Event · UTC | [-] Implied / ● realized | Implied ± | Realized | Range | Evidence |
|---|---|---|---|---|---|---|
| Aug 11, 2026Event · UTC | Implied ±7.4% | Realized-7%0.95× implied | Inside | Synthetic | ||
| Aug 11, 2026Event · UTC | Implied ±5% | Realized+6%1.2× implied | Outside | Synthetic | ||
| Aug 11, 2026Event · UTC | Implied ±6.2% | Realized+8.5%1.37× implied | Outside | Synthetic | ||
| May 11, 2026Event · UTC | Implied ±6.19% | Realized+11%1.78× implied | Outside | Synthetic | ||
| May 11, 2026Event · UTC | Implied ±7.41% | Realized-3%0.41× implied | Inside | Synthetic | ||
| May 11, 2026Event · UTC | Implied ±5% | Realized+4%0.8× implied | Inside | Synthetic | ||
| Feb 11, 2026Event · UTC | Implied ±5% | Realized+5.5%1.1× implied | Outside | Synthetic | ||
| Feb 11, 2026Event · UTC | Implied ±6.2% | Realized+12%1.94× implied | Outside | Synthetic | ||
| Feb 11, 2026Event · UTC | Implied ±7.4% | Realized-14%1.89× implied | Outside | Synthetic |
Exports include every filtered event, its raw quotes, source URL and data classification, not just the visible page.
The printed ledger contains the visible page only. Export for every matching event. Manual quotes and synthetic examples are not live market observations.
FIELD NOTES
Keep the context.
How to calculate an earnings implied move
Turn a call and put premium into a transparent event range.
02Compare implied and realized earnings moves
Avoid look-ahead bias and mismatched return windows.
Is the implied move a 68% confidence interval?
Not necessarily. This implementation reports a selected straddle-price convention, not a calibrated probability interval.
Does a breach prove an option trade was profitable?
No. Entry and exit option prices, volatility changes, spread costs, and timing determine profit.
Where do historical options quotes come from?
A reviewed publisher snapshot or your own licensed CSV. No current options feed is bundled or silently simulated.