Rich earnings premium, or just a volatile stock?
A volatile stock shows a big expected move before every report, whether or not the report itself is priced rich. VolModel takes the stock’s normal volatility out and ranks the earnings move against that company’s own history.
Six of last week’s 1,191 reports. Pick one to see how we read it.
Is this stock just jumpy, or is the report priced rich?
A free earnings page publishes one number, the move the market is pricing in. If a company’s shares routinely swing 4% on a quiet Tuesday, that number looks expensive before earnings whether or not anyone is paying up for the report. It answers “is this stock jumpy?” when the question you asked was “is this report priced richly?”
- OPEN’s report is priced lower than DOCS’s: 14.3% against 18.7%.
- Yet its whole quote is higher: 22.6% against 19.9%, because more of it is ordinary movement (17.5% against 6.9%).
- The two parts combine as squares rather than sums, so adding them overshoots the quote: 14.3% and 17.5% make 22.6%, not 31.8%.
Every figure here covers the handful of days the option runs, so they are smaller than the annual figure the table below prints. Every formula is public
Does a rich reading mean the shares move less?
We scored every settled report against its own company’s history and measured how much of the priced move the shares delivered. Across 11,428 settled reports, the richest fifth delivered the least of the three groups.
The second figure in each card is the blended number a free page publishes, measured on the same three groups. It barely separates them (64%, 67%, 63%), and its middle group comes out highest.
Cheap
Bottom fifth of its own history.
Middle
The three fifths in between.
Rich
Top fifth of its own history.
Why should I trust your forecasts?
We freeze every prediction before the report and score it against what happened.
How to read a miss
On an average report, implied volatility collapses by 29% of its pre-report level. A miss of 5 points is not a 5% loss on a price or a trade.
Published before the report, then scored. Never edited afterwards.
Past reports scored afterwards, for the companies liquid enough for the board.
Has the rich reading ever paid a seller?
Some companies report the day before their options expire. This is one worked example of what a subscription is for: take the richness reading the board carries for every company reporting in the next 14 days, keep the richest fifth, and look only at those reports. Insurance sold on one of those never has to be bought back, and buying it back is the most expensive part of this trade. There have been 599 such reports since November 2024.
Explainer · 2 Oct 2026Selling earnings options the day before expiryRead the articleWhat does it cost?
The history is free, with no limit. A subscription adds the next 14 days: every company reporting, read again the evening before each report.
Sign in with your email first; the link brings you back to checkout.
What happens to my options after the report?
10 past reports, grouped by how long the options ran. Each one is free to open in full.
Each one is free to open in full. Rows are picked by date and by how soon the options expire, never by what happened afterwards. They are grouped by how long the options run: the shorter the run, the more of the price is the report itself.
| Name | Quoted | The report | Ordinary movement, annual | Split | Richness | Cost after | Change | Share move | IV collapse |
|---|---|---|---|---|---|---|---|---|---|
| Options cover 1 trading day | |||||||||
| MRNAFri 6 Nov · before open | 9.0% | 9.1% | 87.0% | all1 | 67 | —2 | —2 | +5.3% | −14.9% |
| AAOIThu 5 Nov · after close | 16.6% | 17.4% | 117.4% | all1 | 33 | —2 | —2 | +6.9% | −28.3% |
| Options cover 2 trading days | |||||||||
| CAHThu 5 Nov · before open | 5.3% | 5.1% | 28.0% | 93% | 67 | 7.8% | +2.6% | +2.2% | −23.3% |
| EOSEThu 5 Nov · before open | 16.8% | 14.9% | 124.5% | 78% | 25 | —2 | —2 | −18.7% | −6.6% |
| Options cover 3 to 4 trading days | |||||||||
| CVSWed 4 Nov · before open | 7.0% | 6.7% | 29.5% | 91% | 67 | 9.7% | +2.8% | −12.5% | −34.4% |
| NVOWed 4 Nov · before open | 6.2% | 5.7% | 33.5% | 85% | 42 | 7.4% | +1.2% | +5.0% | −30.4% |
| Options cover 5 to 9 trading days | |||||||||
| CIFRMon 2 Nov · before open | 20.8% | 16.8% | 117.1% | 65% | 100rich | 14.7% | −6.2% | −5.9% | +9.0% |
| OPENThu 5 Nov · after close | 22.6% | 14.3% | 97.5% | 40% | 25 | —2 | —2 | −21.8% | −25.5% |
| Options cover 10 or more trading days | |||||||||
| DOCSThu 5 Nov · after close | 19.9% | 18.7% | 45.9% | 88% | 75 | —2 | —2 | −2.0% | −54.5% |
| NTRAThu 5 Nov · after close | 13.8% | 10.7% | 52.2% | 60% | 33 | —2 | —2 | −14.6% | −33.0% |
What these columns mean
- Quoted
- The whole move option prices implied the day before the report, before any split.
- The report
- The report’s own share of the quoted move, with the ordinary days around it taken out.
- Ordinary movement, annual
- How much the stock moves on ordinary days, with the report’s jump taken out, as an annual figure.
- Split
- How much of the quoted move is the report itself: the report’s share of the total variance.
- the reportordinary movement
- Richness
- Where the report’s priced move sat in this company’s own past reports, 0 to 100, before it happened.
- Share move
- How far the shares closed from the day before, signed.
- IV collapse
- How far implied volatility fell once the news was out, at the strike nearest the new share price. Not a change in price: Cost after is that, and it rises when the stock moves more than was quoted.
- Cost after
- What the same insurance cost at 10:00 the morning after, as a % of the share price.
- Change
- Cost after minus the quoted move, mid to mid. Crossing the spread both ways costs about a point of the share price more.
- All · These options expired the trading day after the report, so the quoted move covers the report day and nothing else. Our separate estimate of the report lands close to the quoted move and sometimes a touch above it, as AAOI’s did: 17.4% against 16.6% quoted.
- MRNA, AAOI, EOSE, OPEN, DOCS and NTRA · The 10:00 price for the morning after is not in yet. It arrives with the next morning's update.
Last week, read back
Week of October 26, 2026 · what selling the straddle returned, per report
Weekly recap
Implied vs actual earnings moves: Oct 26–30, 2026
October 26 to 30: our implied volatility forecast landed within 5 points on 61 of 101 reports and beat the simple guess on 72, in a hard week for sellers.
Read the recapWeekly recapNext
Week of November 2, 2026
Published once that week’s reports have settled, with every forecast graded against what happened.
Weekly recap
Implied vs actual earnings moves: Oct 19–23, 2026
October 19 to 23: the stocks with the richest readings moved the smallest share of their priced move, and seven of the eight that read 100 paid a seller.