Options WhaleEarnings volatility research

Earnings volatility research · Oct 28, 2026

F · Ford Motor Company Common Stock

$12.12 · Earnings in 20 days — After close (AMC) · Updated after Oct 7, 2026 market close

Awaiting review
Export research Earnings brief Open calculator
Observed earnings moves0Stored history; no complete-through date supplied
Mean absolute actual moveUnavailable0 observed events · not a forecast
Actual exceeded priced moveUnavailable0 of 0 paired observations
Options evidence coverage101Valid 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-21
VolatilityUnknown
Event IV deviationUnavailablevs T-21 median
Implied moveOverpriced
Current implied move±8.7%
Median actual move4.4%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 ±8.7% move — 1.99x 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
43.42%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
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 30, 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 12.2468%Implied move UnavailableSigned actual 12.2468% · 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
12.2468%UnavailableSigned actual 12.2468% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
6.048%UnavailableSigned actual 6.048% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
0.6947%UnavailableSigned actual 0.6947% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
18.3613%UnavailableSigned actual 18.3613% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
8.4437%UnavailableSigned actual 8.4437% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
7.4928%UnavailableSigned actual 7.4928% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
2.6549%UnavailableSigned actual 2.6549% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
1.8393%UnavailableSigned actual 1.8393% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
12.1558%UnavailableSigned actual 12.1558% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
2.0632%UnavailableSigned actual 2.0632% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
1.3071%UnavailableSigned actual 1.3071% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
2.1392%UnavailableSigned actual 2.1392% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
Implied move±8.7%
Implied dollar move$1.05
Lower / upper boundary$11.07 / $13.17
Historical median absolute4.4%
Events exceeding implied0 / 0
Move richness1.99x
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 3.4 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.

2026-10-23ATM IV 31.23%16 DTE · ATM strike $12.00 · No stored earnings markerUpdated Oct 7, 2026, 4:00 PM EDT
Event / reference markers
  • Earnings expiry 2026-10-30: 23
Exact data table
Volatility term structure · full stored dataset, independent of graph range/toggles
ObservationATM IV (%)ContextUpdated
31.23%16 DTE · ATM strike $12.00 · No stored earnings markerUpdated Oct 7, 2026, 4:00 PM EDT
43.42%23 DTE · ATM strike $12.00 · Contains earningsUpdated Oct 7, 2026, 4:00 PM EDT
41.155%30 DTE · ATM strike $12.00 · No stored earnings markerUpdated Oct 7, 2026, 4:00 PM EDT
40.05%37 DTE · ATM strike $12.00 · 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 F 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, 2023-12.2%UnavailableSame Ticker Reconstruction—
Feb 6, 20246.0%UnavailableSame Ticker Reconstruction—
Apr 24, 20240.7%UnavailableSame Ticker Reconstruction—
Jul 24, 2024-18.4%UnavailableSame Ticker Reconstruction—
Oct 28, 2024-8.4%UnavailableSame Ticker Reconstruction—
Feb 5, 2025-7.5%UnavailableSame Ticker Reconstruction—
May 5, 20252.7%UnavailableSame Ticker Reconstruction—
Jul 30, 20251.8%UnavailableSame Ticker Reconstruction—
Oct 23, 202512.2%UnavailableSame Ticker Reconstruction—
Feb 10, 20262.1%UnavailableSame Ticker Reconstruction—
Apr 29, 2026-1.3%UnavailableSame Ticker Reconstruction—
Jul 28, 20262.1%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_F_2026-10-07_0155ce89bcf9

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.

Research another ticker

Find another company’s earnings research.

Search by symbol (NVDA) or company name (NVIDIA). Close spellings are matched too.