Event ATM IV is 3.5% above the historical median at the T-14 checkpoint. The ATM straddle implies a ±5.2% move — 2.36x the historical median actual move. Actual move exceeded the implied move in 1 of 4 prior events.
The primary candidate is Iron Condor (moderate signal), with 1 alternative accepted and 4 structures rejected. Through-earnings structure: typically opened T-3 to T-1 and evaluated at T+1.
Normal event volatility; acceptable liquidity. Historical evidence quality is medium (4–11 reconstructed events.) and the sample covers exact-contract reconstructions, not live published recommendations.
Historical behavior does not guarantee this cycle will repeat. Read the methodology and the risk record below.
Current implied volatility versus prior earnings cycles
Current ATM IV is 30.2% versus a 29.2% historical median at the T-14 checkpoint (+3.5%).
Pre-earnings IV curveCurrent ATM IV 30.2% tied to the T-14 checkpoint, versus a 29.2% historical median there (4 events). This snapshot stores one current observation rather than a full current-cycle curve.
Historical median p25–p75 where both exist Current ATM IV at T-14Gaps: 1 checkpoint without a median
Show the underlying values
Historical ATM implied volatility by event checkpoint
Checkpoint
Current IV
Median
p25
p75
Events
T-35
Not observed
29.7%
27.8%
30.9%
3
T-28
Not observed
25.8%
25.3%
29.1%
3
T-21
Not observed
27.5%
25.6%
30.8%
3
T-14
Not observed
29.2%
28.1%
30.9%
4
T-7
Not observed
34.3%
31.9%
36.8%
4
T-3
Not observed
Unavailable
Unavailable
Unavailable
0
T-1
Not observed
41.5%
40.5%
44.0%
4
T+1
Not observed
27.7%
26.2%
30.5%
4
Expected move and historical earnings behavior
ATM_STRADDLE_MIDPOINT · event expiration Oct 16, 2026 · Sep 29, 2026 market close
Overpriced
Implied versus actual earnings moveCurrent implied move versus 4 paired historical observations. Actual movement exceeded the stored implied move in 1 of 4 paired events.
Actual absolute move Implied move at the checkpoint
Show the underlying values
Historical earnings moves
Event
Actual absolute
Implied
Actual exceeded implied
2025-10-14
1.9%
4.1%
No
2026-01-13
4.2%
3.6%
Yes
2026-04-14
0.8%
3.3%
No
2026-07-14
2.5%
3.4%
No
Implied move±5.2%
Implied dollar move$17.43
Lower / upper boundary$317.56 / $352.41
Historical median absolute2.2%
Events exceeding implied1 / 4
Move richness2.36x
Historical sample4 events · Medium 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 3.9 volatility points above the next expiration. Classification: Event Spike.
Volatility term structureThe earnings expiration (2026-10-16, 17 DTE) trades 30.2% ATM IV against 28.3% in the following expiration.
ATM IV by expiration Contains earnings (2026-10-16)
Show the underlying values
ATM implied volatility by expiration
Expiration
DTE
ATM strike
ATM IV
Contains earnings
2026-10-09
10
$335.00
24.6%
No
2026-10-16
17
$335.00
30.2%
Yes
2026-10-23
24
$335.00
28.3%
No
2026-10-30
31
$335.00
26.3%
No
Strategy candidates by lifecycle
Accepted structures passed every applicable gate. Other evaluated structures stay visible with their rejection reasons.
2 accepted
Pre-earnings structures
Opened T-28 to T-14, typically closed before the report
the earnings expiration carries a pronounced volatility premium; historical IV expanded into prior events.
4 eventsMedium sampleMax profit $451.50
Primary candidate: Iron Condor
Sell defined-risk premium around the implied-move boundaries when realized moves have frequently remained contained. Observed now with 12 days to the event; the modelled entry window is T-3 to T-1, so this is a pricing observation rather than an entry.
Watch for event-entry window
Selected structure
Iron Condor
Sell defined-risk premium around the implied-move boundaries when realized moves have frequently remained contained.
Moderate
Entry net debit
-$451.50
Net credit
Maximum profit
$451.50
Exact maximum profit is defined by the modelled payoff.
Return distributions use reconstructed end-of-day fills with modeled adverse slippage and commissions. The denominator, entry/exit checkpoints, and modeled-fill status stay attached to the historical evidence block.
Evaluated but not presented (4)
Structures that failed a data, liquidity, risk, or sample gate
Expand
Long Straddle
volatility is not cheap enough for a long-premium structure; maximum profit is mathematically unbounded.
Volatility Not Cheap
Long Strangle
volatility is not cheap enough for a long-premium structure; maximum profit is mathematically unbounded.
Volatility Not Cheap
Bull Put Spread
directional confirmation is missing; the structure carries directional bias.
Directional Confirmation Missing
Bear Call Spread
directional confirmation is missing; the structure carries directional bias.
Directional Confirmation Missing
Comparable JPM 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 date
Actual move
Implied move
Reconstruction basis
Strategy outcomes
Oct 14, 2025
-1.9%
4.1%
Same Ticker Reconstruction
Calendar -5.6% · Iron Condor 3.5% · Long Straddle -16.8% · Long Strangle -34.5% · Bull Put Spread -7.1% · Bear Call Spread 9.7%
Jan 13, 2026
-4.2%
3.6%
Same Ticker Reconstruction
Calendar -37.3% · Iron Condor 6.8% · Long Straddle -22.6% · Long Strangle -54.6% · Bull Put Spread 5.0% · Bear Call Spread 0.8%
Apr 14, 2026
-0.8%
3.3%
Same Ticker Reconstruction
Calendar -44.5% · Iron Condor -28.1% · Long Straddle 8.8% · Long Strangle 15.5% · Bull Put Spread 13.7% · Bear Call Spread -46.4%
Jul 14, 2026
2.5%
3.4%
Same Ticker Reconstruction
Calendar -7.9% · Iron Condor 9.1% · Long Straddle -25.0% · Long Strangle -52.8% · Bull Put Spread 12.0% · Bear Call Spread -4.1%
How this was generated
Inputs, assumptions, and versions that produced the numbers above.
Research methodology details
Expand for timestamps, sample sizes, models, and provenance
Historical earnings-date corrections may not be reconstructable from current the market-data feed data. Stored features, contracts, and publication payloads never change retroactively; only the public countdown is recomputed against today’s market date.
Candidate construction detail
Exact legs, exposure, reason codes, and payoff methods for every evaluated structure.
Rejected candidate
Long Straddle
Buy premium before earnings when event-relative IV is cheap and expansion remains possible.
No Setup
Entry net debit
$1,742.50
Per normalized spread
Maximum profit
Unbounded
The payoff is mathematically unlimited on the modelled side.