Stocks Moved More Than Options Priced on 31% of October 2026 Earnings Reports
Before a company reports, the price of its at-the-money straddle says how far the options market expects the stock to move. In October 2026 we scored 154 reports from companies worth $2 billion or more. The stock moved further than the straddle priced on 48 of them (31%), and the typical move was 0.64 times what was priced.
For context, since 2021 the share has been 34% over 7,181 reports. If moves followed a bell curve and straddles were fairly priced, a stock would finish outside its straddle about 42% of the time. Earnings moves have fatter tails than that, which lowers the fair figure, so a share in the low 30s points to straddles that run somewhat rich rather than to a precise markup.
The Biggest Surprises
| Stock | Report | Straddle priced | Moved | Times priced |
|---|---|---|---|---|
| INTC | 2026-10-29 | 8.2% | -28.6% | 3.5 |
| REGN | 2026-10-30 | 4.5% | +13.3% | 3.0 |
| NOW | 2026-10-28 | 10.6% | -26.9% | 2.5 |
| RDDT | 2026-10-29 | 12.9% | -29.2% | 2.3 |
| ACN | 2026-10-01 | 7.2% | +15.8% | 2.2 |
| BX | 2026-10-22 | 4.0% | +8.4% | 2.1 |
| NDAQ | 2026-10-22 | 3.6% | +7.5% | 2.1 |
| GOOGL | 2026-10-28 | 6.2% | -12.6% | 2.0 |
| REPL | 2026-10-28 | 11.5% | +23.1% | 2.0 |
| SLB | 2026-10-23 | 3.7% | +7.1% | 1.9 |
By Size of the Priced Move
| Straddle priced | Reports | Moved more | Typical move vs priced |
|---|---|---|---|
| 0 to 5% | 68 | 32% | 0.69x |
| 5 to 10% | 66 | 24% | 0.55x |
| 10 to 15% | 17 | 53% | 1.08x |
| 15% or more | 3 | 33% | 0.30x |
How We Measured
Before each report we record the at-the-money straddle on the first expiration after the report, as a percentage of the stock price, and afterwards the close-to-close move across the report. Any trading day between the report and that expiration is ordinary volatility the straddle charges for but the report move never gets, so only reports whose options expire within two days are scored. Stocks under $5 are left out.
The running record is on our track record page, and each stock's own history of priced and actual moves is on its quote page.
Data: Frenzy Capital. This post is for information only and is not investment advice.
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