Options WhaleEarnings volatility research

Earnings volatility research · Nov 5, 2026

RUN · Sunrun Inc.

$7.61 · Earnings in 28 days — After close (AMC) · Updated after Oct 7, 2026 market close

Awaiting review
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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 coverage43Valid 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-29
VolatilityUnknown
Event IV deviationUnavailablevs T-28 median
Implied moveUnknown
Current implied moveUnavailable
Median actual move11.0%n=11
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.

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
88.3%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
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 Unavailable · no quote timestamp

Unknown
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.

2023-11-01Realized move 10.1159%Implied move UnavailableSigned actual 10.1159% · 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
10.1159%UnavailableSigned actual 10.1159% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
17.9718%UnavailableSigned actual 17.9718% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
7.8193%UnavailableSigned actual 7.8193% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
11.037%UnavailableSigned actual 11.037% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
11.8103%UnavailableSigned actual 11.8103% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
2.8217%UnavailableSigned actual 2.8217% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
15.0203%UnavailableSigned actual 15.0203% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
32.3043%UnavailableSigned actual 32.3043% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
16.1117%UnavailableSigned actual 16.1117% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
7.5604%UnavailableSigned actual 7.5604% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
10.5815%UnavailableSigned actual 10.5815% · Reconstruction status unavailable · 0 IV checkpointsUpdated Oct 7, 2026, 4:00 PM EDT
Implied moveUnavailable
Implied dollar moveUnavailable
Lower / upper boundary— / —
Historical median absolute11.0%
Events exceeding implied0 / 0
Move richnessUnavailable
Historical sample11 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 6.5 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.

2026-10-30ATM IV 68.8%23 DTE · ATM strike $8.00 · No stored earnings markerUpdated Oct 7, 2026, 4:00 PM EDT
Event / reference markers
  • Earnings expiry 2026-11-06: 30
Exact data table
Volatility term structure · full stored dataset, independent of graph range/toggles
ObservationATM IV (%)ContextUpdated
68.8%23 DTE · ATM strike $8.00 · No stored earnings markerUpdated Oct 7, 2026, 4:00 PM EDT
88.3%30 DTE · ATM strike $7.00 · Contains earningsUpdated Oct 7, 2026, 4:00 PM EDT
83.52%37 DTE · ATM strike $8.00 · No stored earnings markerUpdated Oct 7, 2026, 4:00 PM EDT
81.85%44 DTE · ATM strike $8.00 · 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 RUN 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
Nov 1, 202310.1%UnavailableSame Ticker Reconstruction—
Feb 21, 2024-18.0%UnavailableSame Ticker Reconstruction—
May 8, 20247.8%UnavailableSame Ticker Reconstruction—
Aug 6, 202411.0%UnavailableSame Ticker Reconstruction—
Nov 7, 2024-11.8%UnavailableSame Ticker Reconstruction—
Feb 19, 2025-2.8%UnavailableSame Ticker Reconstruction—
May 7, 202515.0%UnavailableSame Ticker Reconstruction—
Aug 6, 202532.3%UnavailableSame Ticker Reconstruction—
Nov 6, 2025-16.1%UnavailableSame Ticker Reconstruction—
May 6, 20267.6%UnavailableSame Ticker Reconstruction—
Aug 5, 2026-10.6%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 sample11 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_RUN_2026-10-07_8e40dbbbbb95

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.

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