Implied Move for Earnings: The Formula, This Week's Reporters, and How They Actually Moved
The implied move for earnings is the size of the one-session swing, either way, that option prices build in for a report. The straddle formula, the IV approximation, and a dated table for October 21 to 23, 2026: Meta, Tesla, IBM, Texas Instruments and 18 more, each with the implied move from SentiSense options data, the average move over its last eight reports, and how often the stock beat the implied.
The implied move for earnings is the size of the one-session swing, up or down, that option prices are building in for a company's report. A 6.7% implied move on Meta means the options market is pricing an average move of about 6.7% in either direction when the stock next trades after the release. It is a price, not a forecast, and it says nothing about which way.
Below: the two formulas people use, the one SentiSense uses and why, and a dated table for the week of October 19, 2026, with 22 companies reporting from Wednesday to Friday, each with the implied move read from the October 20 session, the average move over its last eight reports, and how often the stock moved more than the options market had priced.
What is the implied move for earnings?
Options that expire just after a report cost more than options on an ordinary week, because they cover the one session where the stock is most likely to gap. The extra premium is the market's price for that move, and the implied move states it as a percentage of the share price: a $700 stock with a 6.7% implied move is priced for a swing of roughly $47 either way. The number is symmetric by construction. The options market prices the size of the move; the direction is left to the report.
How to calculate the implied earnings move: the formula
The straddle formula. Add the price of the at-the-money call and the at-the-money put for the expiry right after the report, and divide by the share price. A stock at $100 with the call at $3.40 and the put at $3.30 has a $6.70 straddle and a 6.7% implied move. Some desks shave the result to 85% of the straddle, or average the straddle with the first out-of-the-money strangle. Under the standard pricing model an at-the-money straddle costs about 0.8 of a one-standard-deviation move, which is the average absolute move the model expects, so the straddle price estimates the average swing, not the worst case.
The implied volatility approximation. With an implied volatility rather than option prices, a one-standard-deviation move to expiry is IV multiplied by the square root of days to expiry divided by 365. A weekly option three days out at 90% implied volatility gives 0.90 × √(3 ÷ 365), an 8.2% one-standard-deviation move, or about 6.5% in straddle terms. The catch is which IV you use: the weekly's IV blends the report with the ordinary days around it, and the IV printed on most stock pages is a 30-day figure, which spreads the report across a month and understates the event.
Which formula our table uses, and why
SentiSense stores end-of-day at-the-money implied volatility at the expiries nearest 30, 60 and 90 days for each covered stock, not the weekly chain, so there is no straddle to read. All three expiries fall after this week's reports, so each carries the same earnings day plus a different number of ordinary days. The total variance priced to an expiry is the ordinary variance, which grows with the number of days, plus the variance of the report, which does not. The 30-day and 90-day points give two equations: subtracting one from the other leaves the ordinary variance per day, and taking that back out of the 30-day point leaves the earnings day. The square root is the one-standard-deviation move for the report, and 0.8 of it is the straddle-equivalent in the table. This is the two-maturity method Dubinsky and Johannes described for earnings announcements, run on our own series.
Meta, read from the October 20, 2026 session: the 30-day at-the-money IV was 45.4% on the November 20 expiry, 31 days out, and the 90-day IV was 39.1% on January 15, 87 days out. Variance priced to November 20 is 0.454² × 31 ÷ 365 = 0.0175; to January 15 it is 0.391² × 87 ÷ 365 = 0.0364. The ordinary variance per year is the difference over the extra 56 days, (0.0364 − 0.0175) ÷ (56 ÷ 365) = 0.123, which is 35% annualized volatility with the report taken out. The report's share is what the 30-day point holds beyond its ordinary days: 0.0175 − 0.123 × 31 ÷ 365 = 0.0071. Its square root is 8.4%, the one-standard-deviation move, and 0.8 of that is the 6.7% in the table.
This derivation isolates the report, where a weekly straddle three days out still carries three ordinary days, and it runs on the series we keep for the past year, so the same calculation can be made at the close before each past report, which is what the last column needs. Its limits: the number is modeled from implied volatility, not quoted from a chain; it assumes the ordinary volatility is flat between 30 and 90 days; and where the 60-day point disagrees with the 90-day point by more than a quarter, the term structure is too noisy to trust and the name was left out. That removed Philip Morris, AT&T, Abbott, CSX, Union Pacific and SLB this week.
Implied move for earnings this week: October 21 to 23, 2026
Read on October 20, 2026, from the October 20 session. Dates and timing are from the SentiSense earnings calendar; all 22 are company-confirmed. The average move is the absolute change from the close before the reaction session to that session's close, from SentiSense's measured earnings reactions, so a report after the close is measured into the next day and a report before the open is measured on the day. "Beat the implied" counts the reports among the last four where the realized move was larger than the implied move derived at the close before that report.
| Company | Reports | Implied move | Avg. move, last 8 reports | Avg. move, last 4 | Beat the implied, last 4 |
|---|---|---|---|---|---|
| Danaher (DHR) | Wed Oct 21, before the open | 6.9% | 5.1% | 5.5% | 1 of 4 |
| NextEra Energy (NEE) | Wed Oct 21, before the open | 4.0% | 3.2% | 2.9% | 1 of 3 |
| Thermo Fisher (TMO) | Wed Oct 21, before the open | 4.9% | 5.1% | 5.5% | 2 of 4 |
| IBM (IBM) | Wed Oct 21, after the close | 7.2% | 6.0% | 3.7% | 1 of 4 |
| Lam Research (LRCX) | Wed Oct 21, after the close | 7.5% | 6.5% | 7.2% | 2 of 4 |
| Las Vegas Sands (LVS) | Wed Oct 21, after the close | 5.6% | 7.7% | 9.2% | 2 of 4 |
| Meta Platforms (META) | Wed Oct 21, after the close | 6.7% | 7.4% | 9.6% | 3 of 4 |
| Tesla (TSLA) | Wed Oct 21, after the close | 5.3% | 7.8% | 6.0% | 2 of 4 |
| Texas Instruments (TXN) | Wed Oct 21, after the close | 7.7% | 8.7% | 9.5% | 2 of 4 |
| United Rentals (URI) | Wed Oct 21, after the close | 8.5% | 9.5% | 13.4% | 4 of 4 |
| Blackstone (BX) | Thu Oct 22, before the open | 5.5% | 3.6% | 3.5% | 1 of 3 |
| Comcast (CMCSA) | Thu Oct 22, before the open | 3.5% | 5.2% | 5.4% | 2 of 4 |
| Dow (DOW) | Thu Oct 22, before the open | 5.7% | 5.5% | 4.2% | 1 of 3 |
| Honeywell (HON) | Thu Oct 22, before the open | 4.5% | 5.3% | 5.0% | 3 of 4 |
| Lockheed Martin (LMT) | Thu Oct 22, before the open | 4.5% | 6.2% | 5.7% | 3 of 4 |
| Procter & Gamble (PG) | Thu Oct 22, before the open | 2.9% | 1.6% | 1.6% | 1 of 4 |
| Spotify (SPOT) | Thu Oct 22, before the open | 9.4% | 7.7% | 7.8% | 2 of 4 |
| Valero Energy (VLO) | Thu Oct 22, before the open | 5.5% | 2.7% | 2.9% | 2 of 3 |
| Deckers Outdoor (DECK) | Thu Oct 22, after the close | 10.3% | 12.6% | 9.7% | 2 of 4 |
| Newmont (NEM) | Thu Oct 22, after the close | 4.4% | 6.4% | 4.8% | 1 of 4 |
| Western Digital (WDC) | Thu Oct 22, after the close | 8.1% | 7.5% | 8.2% | 2 of 4 |
| American Express (AXP) | Fri Oct 23, before the open | 4.0% | 3.1% | 4.4% | 2 of 3 |
Where the last column says "of 3", one of the four reports fell before the year of options history we hold, so it has no implied move to compare with.
How to read the table: cheap or rich into the print
If option prices were right on average, a stock would move more than its straddle-equivalent implied move about four times in ten. Across the 167 past reports behind the 48 companies we ran for this week, the realized move beat the implied move 45% of the time, so in aggregate the derived number sits where the model says it should. The information is in the rows.
When realized moves have run above the implied move, options were cheap into those prints, in hindsight. United Rentals moved 13.4% on average over its last four reports and beat the implied move on all four; the options market is pricing 8.5% now. Meta beat its implied move on three of its last four, with a 9.6% average move against the 6.7% priced today; it closed lower in the session after three of those four reports (−7.9%, −8.6%, +10.4% and −11.3%, newest first), and its average move over the last five reports was 9.9%. Honeywell and Lockheed Martin are three of four as well.
When realized moves have run below it, options were rich. Procter & Gamble moved 1.6% on average over its last four and eight reports and beat its implied move once; the market is pricing 2.9% now. IBM averaged 3.7% over its last four against 7.2% priced today, Danaher 5.5% against 6.9%, Blackstone 3.5% against 5.5%.
Four reports is a small sample, and a stock that beat its implied move four times can stay inside it on the fifth. The table describes how option prices lined up with realized moves on past reports and what they price for this one. It does not say what any stock will do on Wednesday.
Reproduce the table
Every number above comes from four SentiSense API endpoints: the options summary for a ticker (atmIv, atmIv60 and atmIv90 are the term structure), the one-year options history for the same fields at the close before each past report, the earnings reactions endpoint for the measured close-to-close moves, and the earnings calendar for the week's schedule. The same data is served by the SentiSense MCP connector's options and earnings calendar tools, and the published expected-move-visualizer skill draws a stock's implied range with its next report marked inside it and its last eight reactions beside it.
For the positioning behind the volatility, IV rank and the put/call percentile, see options intelligence: IV rank and unusual activity; for the implied range cone the app draws from the same term structure, options during the session. What Meta announced with its report, and why the $3.83 EPS headline is not what it looks like: Meta's new Class C shares, explained. How to use Claude for earnings season walks the week's reports through the connector, and what changed in the filings covers the earnings analysis behind each report. For the week of October 26, big tech earnings this week has Microsoft, Alphabet and Amazon with the same implied-move method beside eight quarters of Azure, Google Cloud and AWS growth.
Implied moves are modeled from SentiSense end-of-day implied volatility for the October 20, 2026 session, not quoted from option chains, and are rounded to one decimal. Earnings reactions are close-to-close moves as SentiSense measured them. Report dates are company-confirmed as of October 20, 2026 and can change. SentiSense covers the most-watched US stocks. This article is educational and is not investment advice.