Options WhaleEarnings volatility research

Earnings volatility research · Nov 4, 2026

CHYM · Chime Financial, Inc.

$27.65 · Earnings in 27 days — After close (AMC) · Updated after Oct 6, 2026 market close

Awaiting review
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Observed earnings moves5History through Oct 7, 2026
Mean absolute actual move13.3%5 observed events · not a forecast
Actual exceeded priced move0.0%0 of 4 paired observations
Options evidence coverage35Valid contracts · snapshot Oct 6, 2026

Historical absolute moves are measured outcomes, not predicted returns. Missing implied moves are excluded only from paired comparisons. Inspect events and sources · Inspect stored contracts

Setup summary

A snapshot exists but has not cleared research review for publication.

At snapshot: T-29
VolatilityUnknown
Event IV deviationUnavailablevs T-28 median
Implied moveNormal
Current implied move±15.6%
Median actual move13.5%n=5
Term structureEvent Spike
LiquidityAcceptable
Primary setupNo setupAwaiting review
Secondary candidatesNone
Sample qualityLowFewer than 4 reconstructed events.

Why this matters

Event-relative volatility comparison is unavailable for this snapshot. The ATM straddle implies a ±15.6% move — 1.15x the historical median actual move.

No current candidate is available for this ticker.

Unknown event volatility; acceptable liquidity. Historical evidence quality is low (fewer than 4 reconstructed events.) and the sample covers exact-contract reconstructions, not live published recommendations.

Current implied volatility versus prior earnings cycles

No matched historical checkpoint is available for this snapshot.

Pre-earnings IV curveStored ATM IV checkpoints and historical interquartile band. Null checkpoints are gaps, not interpolated quotes. A single current snapshot is not a current-cycle curve.

Updated Oct 6, 2026, 4:00 PM EDT

Loading graph — the exact table is available below.

T−35Current IV UnavailableHistorical median UnavailableHistorical p25 UnavailableHistorical p75 Unavailable0 historical events; absent values remain unavailable.Updated Oct 6, 2026, 4:00 PM EDT
Event / reference markers
  • Earnings: 0
Exact data table
Pre-earnings IV curve · full stored dataset, independent of graph range/toggles
ObservationCurrent IV (%)Historical median (%)Historical p25 (%)Historical p75 (%)ContextUpdated
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 6, 2026, 4:00 PM EDT
55.69%UnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 6, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 6, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 6, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 6, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 6, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 6, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 6, 2026, 4:00 PM EDT

Expected move and historical earnings behavior

ATM_STRADDLE_MIDPOINT · event expiration Nov 20, 2026 · Oct 6, 2026 market close

Normal
Implied versus actual earnings moveAbsolute realized movement and stored implied move share one scale. Signed actual returns and reconstruction status are preserved in the readout/table. Missing quotes are not zero.

Updated Oct 6, 2026, 4:00 PM EDT

Loading graph — the exact table is available below.

2025-08-07Realized move 14.6781%Implied move UnavailableSigned actual 14.6781% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 6, 2026, 4:00 PM EDT
Exact data table
Implied versus actual earnings move · full stored dataset, independent of graph range/toggles
ObservationRealized move (%)Implied move (%)ContextUpdated
14.6781%UnavailableSigned actual 14.6781% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 6, 2026, 4:00 PM EDT
5.387%UnavailableSigned actual 5.387% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 6, 2026, 4:00 PM EDT
13.5481%UnavailableSigned actual 13.5481% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 6, 2026, 4:00 PM EDT
12.5173%UnavailableSigned actual 12.5173% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 6, 2026, 4:00 PM EDT
20.5633%UnavailableSigned actual 20.5633% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 6, 2026, 4:00 PM EDT
Implied move±15.6%
Implied dollar move$4.30
Lower / upper boundary$23.35 / $31.95
Historical median absolute13.5%
Events exceeding implied0 / 0
Move richness1.15x
Historical sample5 events · Low quality

Implied observations come from the earnings expiration at the stored snapshot; realized moves use the absolute post-earnings session return. Missing implied quotes remain gaps — they are never treated as zero moves, and exceedance counts use only paired observations.

Volatility term structure

The earnings expiration trades 4.7 volatility points above the next expiration. Classification: Event Spike.

Volatility term structureATM IV by stored expiration. Earnings-containing expirations are marked; missing IV stays unavailable. Expiry spacing reflects DTE, not equal calendar spacing.

Updated Oct 6, 2026, 4:00 PM EDT

Loading graph — the exact table is available below.

2026-10-16ATM IV 44.44%10 DTE · ATM strike $27.50 · No stored earnings markerUpdated Oct 6, 2026, 4:00 PM EDT
Event / reference markers
  • Earnings expiry 2026-11-20: 45
Exact data table
Volatility term structure · full stored dataset, independent of graph range/toggles
ObservationATM IV (%)ContextUpdated
44.44%10 DTE · ATM strike $27.50 · No stored earnings markerUpdated Oct 6, 2026, 4:00 PM EDT
55.69%45 DTE · ATM strike $27.50 · Contains earningsUpdated Oct 6, 2026, 4:00 PM EDT
51.65%73 DTE · ATM strike $27.50 · No stored earnings markerUpdated Oct 6, 2026, 4:00 PM EDT
51.035%101 DTE · ATM strike $27.50 · No stored earnings markerUpdated Oct 6, 2026, 4:00 PM EDT

Eligible candidates

Only structures that passed every applicable gate are shown.

0 eligible

No current candidate is available for this ticker. Verified event facts and observed history remain below.

No attractive setup detected

The event was evaluated and no candidate cleared every filter. That is a valid research outcome.

  • The implied move is close to realized historical norms.
  • Directional confirmation is missing for directional structures.

Comparable CHYM earnings events

Rebuilt from observed quotes after each event — reconstruction evidence, not proof of a live historical publication.

Scroll horizontally to see every column.

Earnings dateActual moveImplied moveReconstruction basisStrategy outcomes
Aug 7, 2025-14.7%UnavailableSame Ticker Reconstruction—
Nov 5, 2025-5.4%UnavailableSame Ticker Reconstruction—
Feb 25, 202613.5%UnavailableSame Ticker Reconstruction—
May 6, 2026-12.5%UnavailableSame Ticker Reconstruction—
Aug 5, 202620.6%UnavailableSame Ticker Reconstruction—

How this was generated

Inputs, assumptions, and versions that produced the numbers above.

Research methodology details

Expand for timestamps, sample sizes, models, and provenance

Expand
Market data timestampOct 6, 2026, 4:00 PM EDT
Snapshot dateOct 6, 2026
Historical sample5 events · Low quality
Event checkpointsT-35, T-28, T-21, T-14, T-7, T-3, T-1, T+1
Slippage model25% of quoted spread per fill
Commission$0.65 per contract per side
Missing contractsNever imputed
Dataset statusVALID
PublishableYes
Hard errors0
Warnings0
Checks passed10/10
Market dataLicensed market data
Earnings datesVerified public earnings calendar
Engine versionsbacktest 0.2.0 · features 0.3.0 · selector 0.2.0 · classifier 0.2.0 · llm_prompt 0.1.0 · configuration 0.2.0
Research IDres_CHYM_2026-10-06_a6aac0f2239e

Risk record

  • Earnings dates can move after this snapshot was captured.
  • Bid/ask midpoint fills may not be achievable in live trading.
  • Historical reconstruction uses current methodology and is not proof of a live historical publication.

Research methodology and definitions

Primary candidate construction

Exact legs, exposure and payoff for the primary eligible structure.

No current candidate is available for this ticker. Browse available research.

Past events · reconstructed

Historical reconstruction for CHYM

Observed outcomes from 5 earnings events (Aug 7, 2025 – Aug 5, 2026). These events have already been reported · modeled strategy results.

Historical · past

Realized move versus what was implied

Implied move is the pre-event ATM straddle estimate; realized move is the observed post-earnings move.

CHYM · Implied versus actual earnings moveAbsolute realized movement and stored implied move share one scale. Signed actual returns and reconstruction status are preserved in the readout/table. Missing quotes are not zero.

Updated Oct 7, 2026

Loading graph — the exact table is available below.

2025-08-07Realized move 14.6781%Implied move 15.0045%Signed actual -14.6781% · Reconstructed · 8 IV checkpointsUpdated Oct 7, 2026
Exact data table
CHYM · Implied versus actual earnings move · full stored dataset, independent of graph range/toggles
ObservationRealized move (%)Implied move (%)ContextUpdated
14.6781%15.0045%Signed actual -14.6781% · Reconstructed · 8 IV checkpointsUpdated Oct 7, 2026
5.387%21.3483%Signed actual -5.387% · Reconstructed · 7 IV checkpointsUpdated Oct 7, 2026
13.5481%18.8448%Signed actual 13.5481% · Reconstructed · 7 IV checkpointsUpdated Oct 7, 2026
12.5173%14.5503%Signed actual -12.5173% · Reconstructed · 7 IV checkpointsUpdated Oct 7, 2026
20.5633%UnavailableSigned actual 20.5633% · Reconstructed · 7 IV checkpointsUpdated Oct 7, 2026

Exact-contract strategy reconstruction

StructureReconstructed runsProfitableAverage return on max lossBestWorst
Long Straddle51 / 5-14.1%5.5%-35.4%
Long Strangle52 / 5-12.7%28.9%-58.7%
Bear Call Spread10 / 1-10.3%-10.3%-10.3%
Bull Put Spread10 / 1-18.5%-18.5%-18.5%
Iron Condor10 / 1-39.8%-39.8%-39.8%

Historical examples

Example trades, payoff and risk

Past structural simulations · modeled fills · not historical recommendations.

Long Straddle

Did not clear entry filters
Modeled entry debit
$401.25
Payoff max loss
-$401.25
Payoff max profit
Unbounded
Modeled exit P&L
-$61.35-15.6% on stored risk basis $392.50

Entry Jul 22, 2026 → Exit Aug 4, 2026. Payoff is a scenario; exit P&L uses the stored exit fills. Payoff uses modeled entry premiums before commissions.

Strategy payoffHistorical example · expiration payoff (before commissions). Entry spot $21.82. Expiry maximum profit unbounded · Expiry maximum loss -$401.25 · Expiry breakevens $18.4875, $26.5125. Total position fees $0.00 deducted once. Intrinsic at the common expiration; IV/time never alters expiry P/L. No early exercise, assignment, slippage, dividends or taxes modeled.

Update time unavailable

Loading graph — the exact table is available below.

$10.91Expiration P/L $757.75Update time unavailable
Event / reference markers
  • Entry spot: $21.82
  • Expiry breakeven $18.4875: $18.4875
  • Expiry breakeven $26.5125: $26.5125
  • buy call strike $22.50: $22.50
  • buy put strike $22.50: $22.50
Exact data table
Strategy payoff · full stored dataset, independent of graph range/toggles
ObservationExpiration P/L (USD)ContextUpdated
$757.75Update time unavailable
$735.93Update time unavailable
$714.11Update time unavailable
$692.29Update time unavailable
$670.47Update time unavailable
$648.65Update time unavailable
$626.83Update time unavailable
$605.01Update time unavailable
$583.19Update time unavailable
$561.37Update time unavailable
$539.55Update time unavailable
$517.73Update time unavailable
$495.91Update time unavailable
$474.09Update time unavailable
$452.27Update time unavailable
$430.45Update time unavailable
$408.63Update time unavailable
$386.81Update time unavailable
$364.99Update time unavailable
$343.17Update time unavailable
$321.35Update time unavailable
$299.53Update time unavailable
$277.71Update time unavailable
$255.89Update time unavailable
$234.07Update time unavailable
$212.25Update time unavailable
$190.43Update time unavailable
$168.61Update time unavailable
$146.79Update time unavailable
$124.97Update time unavailable
$103.15Update time unavailable
$81.33Update time unavailable
$59.51Update time unavailable
$37.69Update time unavailable
$15.87Update time unavailable
-$0.00Update time unavailable
-$5.95Update time unavailable
-$27.77Update time unavailable
-$49.59Update time unavailable
-$71.41Update time unavailable
-$93.23Update time unavailable
-$115.05Update time unavailable
-$136.87Update time unavailable
-$158.69Update time unavailable
-$180.51Update time unavailable
-$202.33Update time unavailable
-$224.15Update time unavailable
-$245.97Update time unavailable
-$267.79Update time unavailable
-$289.61Update time unavailable
-$311.43Update time unavailable
-$333.25Entry spot referenceUpdate time unavailable
-$355.07Update time unavailable
-$376.89Update time unavailable
-$398.71Update time unavailable
-$401.25Update time unavailable
-$381.97Update time unavailable
-$360.15Update time unavailable
-$338.33Update time unavailable
-$316.51Update time unavailable
-$294.69Update time unavailable
-$272.87Update time unavailable
-$251.05Update time unavailable
-$229.23Update time unavailable
-$207.41Update time unavailable
-$185.59Update time unavailable
-$163.77Update time unavailable
-$141.95Update time unavailable
-$120.13Update time unavailable
-$98.31Update time unavailable
-$76.49Update time unavailable
-$54.67Update time unavailable
-$32.85Update time unavailable
-$11.03Update time unavailable
-$0.00Update time unavailable
$10.79Update time unavailable
$32.61Update time unavailable
$54.43Update time unavailable
$76.25Update time unavailable
$98.07Update time unavailable
$119.89Update time unavailable
$141.71Update time unavailable
$163.53Update time unavailable
$185.35Update time unavailable
$207.17Update time unavailable
$228.99Update time unavailable
$250.81Update time unavailable
$272.63Update time unavailable
$294.45Update time unavailable
$316.27Update time unavailable
$338.09Update time unavailable
$359.91Update time unavailable
$381.73Update time unavailable
$403.55Update time unavailable
$425.37Update time unavailable
$447.19Update time unavailable
$469.01Update time unavailable
$490.83Update time unavailable
$512.65Update time unavailable
$534.47Update time unavailable
$556.29Update time unavailable
$578.11Update time unavailable
$599.93Update time unavailable
$621.75Update time unavailable
Exact contracts and modeled fills · dollars per share
Side / quantityContractStrike / expiryEntry fillExit fill
BUY × 1CHYM260821C00022500$22.50 call · 2026-08-21$1.67$2.78
BUY × 1CHYM260821P00022500$22.50 put · 2026-08-21$2.34$0.65

Breakevens: $18.49 / $26.51. Short legs may carry assignment risk; expiry payoff excludes early exercise.

Stored costs: $0.65 / contract / side · slippage 25.0% of spread / fillExample methodology and limitations

13 quote gaps · Record hist_CHYM_098ee39e6914c449 · Historical methodology

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