An eligible structure passed the gates, but the evidence is moderate.
At snapshot: T-21
VolatilityNormal
Event IV deviation+1.2%vs T-21 median
Implied moveNormal
Current implied move±9.6%
Median actual move8.5%n=4
Term structureEvent Spike
LiquidityGood
Primary setupCalendarPre-earnings structure
Secondary candidatesIron Condor
Sample qualityMedium4–11 reconstructed events.
Why this matters
Event ATM IV is 1.2% above the historical median at the T-21 checkpoint. The ATM straddle implies a ±9.6% move — 1.13x the historical median actual move. Actual move exceeded the implied move in 2 of 3 prior events.
The primary candidate is Calendar (moderate signal), with 1 alternative accepted and 4 structures rejected. Pre-earnings structure: typically opened T-28 to T-14 and closed before the report.
Normal event volatility; good 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 46.8% versus a 46.2% historical median at the T-21 checkpoint (+1.2%).
Pre-earnings IV curveCurrent ATM IV 46.8% tied to the T-21 checkpoint, versus a 46.2% 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-21
Show the underlying values
Historical ATM implied volatility by event checkpoint
Checkpoint
Current IV
Median
p25
p75
Events
T-35
Not observed
41.1%
40.9%
41.6%
3
T-28
Not observed
42.1%
41.9%
43.1%
3
T-21
Not observed
46.2%
44.4%
47.9%
4
T-14
Not observed
50.8%
50.2%
52.4%
4
T-7
Not observed
61.9%
59.4%
65.9%
4
T-3
Not observed
87.7%
83.0%
92.3%
2
T-1
Not observed
120.9%
103.5%
136.1%
3
T+1
Not observed
39.8%
37.9%
40.4%
4
Expected move and historical earnings behavior
ATM_STRADDLE_MIDPOINT · event expiration Oct 23, 2026 · Sep 29, 2026 market close
Normal
Implied versus actual earnings moveCurrent implied move versus 3 paired historical observations. Actual movement exceeded the stored implied move in 2 of 3 paired events.
Actual absolute move Implied move at the checkpoint1 event(s) have no implied observation — shown as an empty slot
Show the underlying values
Historical earnings moves
Event
Actual absolute
Implied
Actual exceeded implied
2025-10-21
10.1%
7.3%
Yes
2026-01-20
2.2%
Not observed
Unpaired
2026-04-16
9.7%
7.2%
Yes
2026-07-16
7.3%
9.0%
No
Implied move±9.6%
Implied dollar move$6.73
Lower / upper boundary$63.58 / $77.03
Historical median absolute8.5%
Events exceeding implied2 / 3
Move richness1.13x
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 4.1 volatility points above the next expiration. Classification: Event Spike.
Volatility term structureThe earnings expiration (2026-10-23, 24 DTE) trades 46.8% ATM IV against 44.1% in the following expiration.
ATM IV by expiration Contains earnings (2026-10-23)
Show the underlying values
ATM implied volatility by expiration
Expiration
DTE
ATM strike
ATM IV
Contains earnings
2026-10-16
17
$70.00
32.0%
No
2026-10-23
24
$70.00
46.8%
Yes
2026-10-30
31
$70.00
44.1%
No
2026-11-06
38
$70.00
42.7%
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 $134.50
Primary candidate: Calendar
Sell nearer-dated premium and own post-event time when the earnings expiration carries a relative IV premium. Pre-earnings structure: typically opened T-28 to T-14 and closed before the report.
Pre-earnings structure
Selected structure
Calendar
Sell nearer-dated premium and own post-event time when the earnings expiration carries a relative IV premium.
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 NFLX 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 21, 2025
-10.1%
7.3%
Same Ticker Reconstruction
Calendar 32.3% · Iron Condor 7.2% · Long Straddle -9.1% · Long Strangle -19.6% · Bull Put Spread 15.5% · Bear Call Spread -9.1%
Jan 20, 2026
-2.2%
Unavailable
Same Ticker Reconstruction
Calendar 14.5% · Iron Condor -4.3% · Long Straddle -10.3% · Long Strangle -29.9% · Bull Put Spread -10.0% · Bear Call Spread 6.7%
Apr 16, 2026
-9.7%
7.2%
Same Ticker Reconstruction
Calendar -8.2% · Iron Condor -14.3% · Long Straddle 30.7% · Long Strangle 92.4% · Bull Put Spread 20.4% · Bear Call Spread -38.8%
Jul 16, 2026
-7.3%
9.0%
Same Ticker Reconstruction
Calendar -6.7% · Iron Condor -16.3% · Long Straddle 5.4% · Long Strangle 5.4% · Bull Put Spread -22.2% · Bear Call Spread 8.3%
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
$672.50
Per normalized spread
Maximum profit
Unbounded
The payoff is mathematically unlimited on the modelled side.