Options WhaleEarnings volatility research

Earnings volatility research · Oct 20, 2026

COF · Capital One Financial Corporation Common Stock

$195.91 · Earnings in 12 days — After close (AMC) · Updated after Oct 7, 2026 market close

Awaiting review
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Observed earnings moves8History through Oct 8, 2026
Mean absolute actual move3.4%8 observed events · not a forecast
Actual exceeded priced move28.6%2 of 7 paired observations
Options evidence coverage57Valid contracts · snapshot Oct 7, 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-13
VolatilityUnknown
Event IV deviationUnavailablevs T-14 median
Implied moveOverpriced
Current implied move±6.8%
Median actual move3.0%n=12
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 ±6.8% move — 2.27x 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 7, 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 7, 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 7, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 7, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 7, 2026, 4:00 PM EDT
40.98%UnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 7, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 7, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 7, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 7, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 7, 2026, 4:00 PM EDT

Expected move and historical earnings behavior

ATM_STRADDLE_MIDPOINT · event expiration Oct 23, 2026 · Oct 7, 2026 market close

Overpriced
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, 4:00 PM EDT

Loading graph — the exact table is available below.

2023-10-26Realized move 9.1944%Implied move UnavailableSigned actual 9.1944% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 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
9.1944%UnavailableSigned actual 9.1944% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
4.6548%UnavailableSigned actual 4.6548% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
0.1644%UnavailableSigned actual 0.1644% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
0.6255%UnavailableSigned actual 0.6255% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
5.2265%UnavailableSigned actual 5.2265% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
3.9956%UnavailableSigned actual 3.9956% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
3.678%UnavailableSigned actual 3.678% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
0.9383%UnavailableSigned actual 0.9383% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
1.5342%UnavailableSigned actual 1.5342% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
7.5595%UnavailableSigned actual 7.5595% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
1.516%UnavailableSigned actual 1.516% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
2.3567%UnavailableSigned actual 2.3567% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
Implied move±6.8%
Implied dollar move$13.40
Lower / upper boundary$182.51 / $209.31
Historical median absolute3.0%
Events exceeding implied0 / 0
Move richness2.27x
Historical sample12 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 5.1 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 7, 2026, 4:00 PM EDT

Loading graph — the exact table is available below.

2026-10-16ATM IV 29.93%9 DTE · ATM strike $195.00 · No stored earnings markerUpdated Oct 7, 2026, 4:00 PM EDT
Event / reference markers
  • Earnings expiry 2026-10-23: 16
Exact data table
Volatility term structure · full stored dataset, independent of graph range/toggles
ObservationATM IV (%)ContextUpdated
29.93%9 DTE · ATM strike $195.00 · No stored earnings markerUpdated Oct 7, 2026, 4:00 PM EDT
40.98%16 DTE · ATM strike $195.00 · Contains earningsUpdated Oct 7, 2026, 4:00 PM EDT
37.72%23 DTE · ATM strike $205.00 · No stored earnings markerUpdated Oct 7, 2026, 4:00 PM EDT
35.915%30 DTE · ATM strike $195.00 · No stored earnings markerUpdated Oct 7, 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.

  • Directional confirmation is missing for directional structures.

Comparable COF 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
Oct 26, 20239.2%UnavailableSame Ticker Reconstruction—
Jan 25, 20244.7%UnavailableSame Ticker Reconstruction—
Apr 25, 20240.2%UnavailableSame Ticker Reconstruction—
Jul 23, 20240.6%UnavailableSame Ticker Reconstruction—
Oct 24, 20245.2%UnavailableSame Ticker Reconstruction—
Jan 21, 20254.0%UnavailableSame Ticker Reconstruction—
Apr 22, 20253.7%UnavailableSame Ticker Reconstruction—
Jul 22, 20250.9%UnavailableSame Ticker Reconstruction—
Oct 21, 20251.5%UnavailableSame Ticker Reconstruction—
Jan 22, 2026-7.6%UnavailableSame Ticker Reconstruction—
Apr 21, 2026-1.5%UnavailableSame Ticker Reconstruction—
Jul 21, 2026-2.4%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 7, 2026, 4:00 PM EDT
Snapshot dateOct 7, 2026
Historical sample12 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_COF_2026-10-07_07e9998650b4

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 COF

Observed outcomes from 8 earnings events (Oct 24, 2024 – Jul 21, 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.

COF · 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 8, 2026

Loading graph — the exact table is available below.

2024-10-24Realized move 5.2265%Implied move 4.1653%Signed actual 5.2265% · Reconstructed · 8 IV checkpointsUpdated Oct 8, 2026
Exact data table
COF · Implied versus actual earnings move · full stored dataset, independent of graph range/toggles
ObservationRealized move (%)Implied move (%)ContextUpdated
5.2265%4.1653%Signed actual 5.2265% · Reconstructed · 8 IV checkpointsUpdated Oct 8, 2026
3.9956%UnavailableSigned actual 3.9956% · Reconstructed · 6 IV checkpointsUpdated Oct 8, 2026
3.678%6.4786%Signed actual 3.678% · Reconstructed · 7 IV checkpointsUpdated Oct 8, 2026
0.9383%4.3079%Signed actual 0.9383% · Reconstructed · 7 IV checkpointsUpdated Oct 8, 2026
1.5342%5.1892%Signed actual 1.5342% · Reconstructed · 7 IV checkpointsUpdated Oct 8, 2026
7.5595%4.5453%Signed actual -7.5595% · Reconstructed · 5 IV checkpointsUpdated Oct 8, 2026
1.516%5.1772%Signed actual -1.516% · Reconstructed · 7 IV checkpointsUpdated Oct 8, 2026
2.3567%5.2957%Signed actual -2.3567% · Reconstructed · 7 IV checkpointsUpdated Oct 8, 2026

Exact-contract strategy reconstruction

StructureReconstructed runsProfitableAverage return on max lossBestWorst
Bear Call Spread72 / 7-20.7%5.3%-85.3%
Long Straddle71 / 7-9.9%58.1%-36.8%
Bull Put Spread65 / 65.9%18.0%-13.6%
Iron Condor62 / 6-17.6%11.9%-113.5%
Long Strangle63 / 63.7%155.7%-82.5%
Calendar52 / 5-94.8%19.7%-347.2%

Historical examples

Example trades, payoff and risk

Past structural simulations · modeled fills · not historical recommendations.

Bear Call Spread

Did not clear entry filters
Modeled entry credit
$136.25
Payoff max loss
-$1,113.75
Payoff max profit
$136.25
Modeled exit P&L
-$33.85-3.1% on stored risk basis $1,082.50

Entry Jul 7, 2026 → Exit Jul 20, 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 $202.89. Expiry maximum profit $136.25 · Expiry maximum loss -$1,113.75 · Expiry breakevens $218.8625. 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.

$101.445Expiration P/L $136.25Update time unavailable
Event / reference markers
  • Entry spot: $202.89
  • Expiry breakeven $218.8625: $218.8625
  • sell call strike $217.50: $217.50
  • buy call strike $230.00: $230.00
Exact data table
Strategy payoff · full stored dataset, independent of graph range/toggles
ObservationExpiration P/L (USD)ContextUpdated
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Entry spot referenceUpdate time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
$136.25Update time unavailable
-$0.00Update time unavailable
-$25.87Update time unavailable
-$228.76Update time unavailable
-$431.65Update time unavailable
-$634.54Update time unavailable
-$837.43Update time unavailable
-$1,040.32Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
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-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
-$1,113.75Update time unavailable
Exact contracts and modeled fills · dollars per share
Side / quantityContractStrike / expiryEntry fillExit fill
SELL × 1COF260724C00217500$217.50 call · 2026-07-24$2.15$1.81
BUY × 1COF260724C00230000$230.00 call · 2026-07-24$0.79$0.14

Breakevens: $218.86. 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

11 quote gaps · Record hist_COF_2e63afa1bb2f8799 · Historical methodology

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