Options WhaleEarnings volatility research

Earnings volatility research · Oct 13, 2026

JNJ · Johnson & Johnson Common Stock

$261.44 · Earnings in 2 days — Before open (BMO) · Updated after Oct 9, 2026 market close

Awaiting review
Export research Earnings brief Open calculator
Observed earnings moves12History through Oct 11, 2026
Mean absolute actual move1.9%12 observed events · not a forecast
Actual exceeded priced move16.7%2 of 12 paired observations
Options evidence coverage110Valid contracts · snapshot Oct 9, 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-4
VolatilityUnknown
Event IV deviationUnavailablevs T-3 median
Implied moveOverpriced
Current implied move±3.6%
Median actual move1.6%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 ±3.6% move — 2.25x 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 9, 2026, 4:00 PM EDT

Loading graph — the exact table is available below.

T−3Current-cycle IV 34.86%Historical median UnavailableHistorical p25 UnavailableHistorical p75 Unavailable0 historical events; absent values remain unavailable.Updated Oct 9, 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-cycle IV (%)Historical median (%)Historical p25 (%)Historical p75 (%)ContextUpdated
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable. No current-cycle IV observation is stored for this checkpoint.Updated Oct 9, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable. No current-cycle IV observation is stored for this checkpoint.Updated Oct 9, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable. No current-cycle IV observation is stored for this checkpoint.Updated Oct 9, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable. No current-cycle IV observation is stored for this checkpoint.Updated Oct 9, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable. No current-cycle IV observation is stored for this checkpoint.Updated Oct 9, 2026, 4:00 PM EDT
34.86%UnavailableUnavailableUnavailable0 historical events; absent values remain unavailable.Updated Oct 9, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable. This checkpoint is later than the latest snapshot; current-cycle IV has not been observed yet.Updated Oct 9, 2026, 4:00 PM EDT
UnavailableUnavailableUnavailableUnavailable0 historical events; absent values remain unavailable. This checkpoint is later than the latest snapshot; current-cycle IV has not been observed yet.Updated Oct 9, 2026, 4:00 PM EDT

Expected move and historical earnings behavior

ATM_STRADDLE_MIDPOINT · event expiration Oct 16, 2026 · Oct 9, 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 9, 2026, 4:00 PM EDT

Loading graph — the exact table is available below.

2023-10-17Realized move 0.9141%Implied move UnavailableSigned actual 0.9141% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 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
0.9141%UnavailableSigned actual 0.9141% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
1.6372%UnavailableSigned actual 1.6372% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
2.1275%UnavailableSigned actual 2.1275% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
3.6885%UnavailableSigned actual 3.6885% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
1.547%UnavailableSigned actual 1.547% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
1.9439%UnavailableSigned actual 1.9439% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
0.4794%UnavailableSigned actual 0.4794% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
6.1932%UnavailableSigned actual 6.1932% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
0.0262%UnavailableSigned actual 0.0262% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
0.0917%UnavailableSigned actual 0.0917% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
0.8993%UnavailableSigned actual 0.8993% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
2.6906%UnavailableSigned actual 2.6906% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 9, 2026, 4:00 PM EDT
Implied move±3.6%
Implied dollar move$9.38
Lower / upper boundary$252.07 / $270.82
Historical median absolute1.6%
Events exceeding implied0 / 0
Move richness2.25x
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 6.9 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 9, 2026, 4:00 PM EDT

Loading graph — the exact table is available below.

2026-10-16ATM IV 34.86%7 DTE · ATM strike $262.50 · Contains earningsUpdated Oct 9, 2026, 4:00 PM EDT
Event / reference markers
  • Earnings expiry 2026-10-16: 7
Exact data table

Volatility term structure · full stored dataset, independent of graph range/toggles

ObservationATM IV (%)ContextUpdated
34.86%7 DTE · ATM strike $262.50 · Contains earningsUpdated Oct 9, 2026, 4:00 PM EDT
28.91%14 DTE · ATM strike $262.50 · No stored earnings markerUpdated Oct 9, 2026, 4:00 PM EDT
27.03%21 DTE · ATM strike $260.00 · No stored earnings markerUpdated Oct 9, 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 JNJ 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 17, 2023-0.9%UnavailableSame Ticker Reconstruction—
Jan 23, 2024-1.6%UnavailableSame Ticker Reconstruction—
Apr 16, 2024-2.1%UnavailableSame Ticker Reconstruction—
Jul 17, 20243.7%UnavailableSame Ticker Reconstruction—
Oct 15, 20241.5%UnavailableSame Ticker Reconstruction—
Jan 22, 2025-1.9%UnavailableSame Ticker Reconstruction—
Apr 15, 2025-0.5%UnavailableSame Ticker Reconstruction—
Jul 16, 20256.2%UnavailableSame Ticker Reconstruction—
Oct 14, 2025-0.0%UnavailableSame Ticker Reconstruction—
Jan 21, 2026-0.1%UnavailableSame Ticker Reconstruction—
Apr 14, 20260.9%UnavailableSame Ticker Reconstruction—
Jul 15, 2026-2.7%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 9, 2026, 4:00 PM EDT
Snapshot dateOct 9, 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_JNJ_2026-10-09_f998ba704329

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 JNJ

Observed outcomes from 12 earnings events (Oct 17, 2023 – Jul 15, 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.

JNJ · 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 11, 2026

Loading graph — the exact table is available below.

2023-10-17Realized move 0.9141%Implied move 2.5868%Signed actual -0.9141% · Reconstructed · 12 IV checkpointsUpdated Oct 11, 2026
Exact data table

JNJ · Implied versus actual earnings move · full stored dataset, independent of graph range/toggles

ObservationRealized move (%)Implied move (%)ContextUpdated
0.9141%2.5868%Signed actual -0.9141% · Reconstructed · 12 IV checkpointsUpdated Oct 11, 2026
1.6372%2.4158%Signed actual -1.6372% · Reconstructed · 23 IV checkpointsUpdated Oct 11, 2026
2.1275%2.8152%Signed actual -2.1275% · Reconstructed · 25 IV checkpointsUpdated Oct 11, 2026
3.6885%2.7515%Signed actual 3.6885% · Reconstructed · 23 IV checkpointsUpdated Oct 11, 2026
1.547%2.6454%Signed actual 1.547% · Reconstructed · 25 IV checkpointsUpdated Oct 11, 2026
1.9439%2.4266%Signed actual -1.9439% · Reconstructed · 22 IV checkpointsUpdated Oct 11, 2026
0.4794%2.6302%Signed actual -0.4794% · Reconstructed · 26 IV checkpointsUpdated Oct 11, 2026
6.1932%2.523%Signed actual 6.1932% · Reconstructed · 24 IV checkpointsUpdated Oct 11, 2026
0.0262%3.253%Signed actual -0.0262% · Reconstructed · 26 IV checkpointsUpdated Oct 11, 2026
0.0917%3.2583%Signed actual -0.0917% · Reconstructed · 23 IV checkpointsUpdated Oct 11, 2026
0.8993%3.4985%Signed actual 0.8993% · Reconstructed · 25 IV checkpointsUpdated Oct 11, 2026
2.6906%3.3484%Signed actual -2.6906% · Reconstructed · 24 IV checkpointsUpdated Oct 11, 2026

Compare entry timing

Each column opens a separate trade using that checkpoint’s contracts and quotes. Returns include modeled slippage and commissions.

Daily earnings-window reconstruction: all requested quarters processed. Completed tests may still have missing quotes or non-trading days; processing completion does not mean every trade is available.

Includes trades that failed entry filters; this measures structures, not a history of qualified recommendations. The exit is the earlier of T−1 and one day before the first leg expires.

Average dollar P&L per one-lot structure · profitable runs / total runs. Select a cell to inspect its entry checkpoint.

StrategyT−35T−34T−33T−32T−31T−30T−29T−28T−27T−26T−25T−24T−23T−22T−21T−20T−19T−18T−17T−16T−15T−14T−13T−12T−11T−10T−9T−8T−7T−6T−5T−4T−3T−2T−1
Bear Call SpreadNot availableNot availableNot availableNot availableNot availableNot available
Bull Put SpreadNot availableNot availableNot availableNot availableNot availableNot available
CalendarNot availableNot availableNot availableNot availableNot availableNot availableNot availableNot availableNot available
Iron CondorNot availableNot availableNot availableNot availableNot availableNot available
Long StraddleNot availableNot availableNot availableNot availableNot availableNot available
Long StrangleNot availableNot availableNot availableNot availableNot availableNot available
Short StraddleResearch only · Unlimited upside riskNot availableNot availableNot availableNot availableNot availableNot available
Short StrangleResearch only · Unlimited upside riskNot availableNot availableNot availableNot availableNot availableNot available

Requested entry tests: T−35, T−34, T−33, T−32, T−31, T−30, T−29, T−28, T−27, T−26, T−25, T−24, T−23, T−22, T−21, T−20, T−19, T−18, T−17, T−16, T−15, T−14, T−13, T−12, T−11, T−10, T−9, T−8, T−7, T−6, T−5, T−4, T−3, T−2, T−1. Untested columns require a new historical reconstruction. Small samples are descriptive evidence. Columns can cover different earnings events; inspect event dates before comparing. The highest average across different samples does not establish the best entry day. New daily reconstructions use exact calendar dates; weekends, holidays and missing quotes remain unavailable. Older records may use a prior session; each trade shows its actual dates.

T−14 entry details

StrategyEventsAverageMedianWorst observedBest observedFailed / unknown eligibility
Bear Call Spread11-$46.96$14.90-$395.85$119.6511 / 0
Bull Put Spread11-$5.96$58.65-$430.85$72.9011 / 0
Calendar10-$37.55-$30.48-$152.60$36.656 / 0
Iron Condor10-$16.63$37.43-$322.95$157.306 / 0
Long Straddle12-$63.12-$147.35-$541.35$457.1512 / 0
Long Strangle12-$32.33-$98.10-$340.35$369.1512 / 0
Short Straddle12-$13.70$84.65-$571.85$423.6512 / 0
Short Strangle12-$6.25$72.40-$441.85$284.6512 / 0
6 unavailable tests at T−14
  • JNJ_2024-01-23 · Iron Condor · missing exact leg quotes or unbounded capital
  • JNJ_2024-01-23 · Bull Put Spread · missing exact leg quotes or unbounded capital
  • JNJ_2024-04-16 · Calendar · missing exact leg quotes or unbounded capital
  • JNJ_2024-04-16 · Iron Condor · missing exact leg quotes or unbounded capital
  • JNJ_2024-04-16 · Bear Call Spread · missing exact leg quotes or unbounded capital
  • JNJ_2025-01-22 · Calendar · missing exact leg quotes or unbounded capital

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
$183.75
Payoff max loss
-$1,316.25
Payoff max profit
$183.75
Modeled exit P&L
$96.157.4% on stored risk basis $1,297.50

Exit rule: Scheduled before earnings / expiration. Exit reason: scheduled exit.

Price basis: Quote midpoint with adverse spread slippage.

Entry filter failures: directional confirmation missing.

Entry Jul 1, 2026 → Exit Jul 14, 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 $253.98. Expiry maximum profit $183.75 · Expiry maximum loss -$1,316.25 · Expiry breakevens $266.8375. 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.

$126.99Expiration P/L $183.75Update time unavailable
Event / reference markers
  • Entry spot: $253.98
  • Expiry breakeven $266.8375: $266.8375
  • sell call strike $265.00: $265.00
  • buy call strike $280.00: $280.00
Exact data table

Strategy payoff · full stored dataset, independent of graph range/toggles

ObservationExpiration P/L (USD)ContextUpdated
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Entry spot referenceUpdate time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$183.75Update time unavailable
$15.85Update time unavailable
$0.00Update time unavailable
-$238.13Update time unavailable
-$492.11Update time unavailable
-$746.09Update time unavailable
-$1,000.07Update time unavailable
-$1,254.05Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable
-$1,316.25Update time unavailable

Exact contracts and modeled fills · dollars per share

Side / quantityContractStrike / expiryEntry fillExit fill
SELL × 1JNJ260717C00265000$265.00 call · 2026-07-17$2.53$0.92
BUY × 1JNJ260717C00280000$280.00 call · 2026-07-17$0.69$0.07

Breakevens: $266.84. 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

2469 unavailable observations / tests · Record hist_JNJ_4d513750f291fba8 · Historical methodology

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