Earnings expected move: how much a US stock may move after its report
A US stock can move sharply after earnings. The expected move uses option prices before the report to describe the size of the move the market is pricing, without predicting whether the stock will rise or fall.
How it is calculated
Add the prices of an at-the-money (ATM) call and put with the same strike and expiration (an ATM straddle), then divide by the stock price. The result is an approximate percentage range in either direction, not a forecast or a guaranteed boundary.
Read the time horizon
The option price reflects movement through expiration, while the reaction here is one regular session from close to close. These horizons differ. Implied volatility often falls after earnings as uncertainty resolves, which can reduce option prices even when the stock moves.
Two real reactions
For Block (XYZ), the November 3, 2026 after-close report had a ±8.8% expected move, and the November 3 to November 4 close-to-close reaction was +15.3%, outside the range. For Datadog (DDOG), the November 4 before-open report had ±14.5% expected and a November 3 to November 4 reaction of −14.4%, inside. Both estimates used the November 3 session and November 6 expiry.
Season context and limits
Among 29 stored complete company records for announcements from October 13 through November 4, 2026, 22 one-session reactions were within their expected ranges. Missing records are excluded, so this is not the entire earnings universe or a promise about future results. This is information and education, not investment advice or a recommendation.
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