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Can options lose after earnings even when you get the direction right?
Change stock, volatility and time assumptions for one large-cap ATM call or put contract and inspect theoretical prices and P/L.
- Scheduled earnings (ET)
- 2026-10-28
- First observed post-earnings expiry
- 2026-10-30
- Observation date (ET close)
- 2026-10-21
- Stock close
- $532.95
- Strike
- $532.50
- Current price · closing bid/ask midpoint per share
- $14.92
- Observed IV (annualized)
- 44.41%
- Implied move
- ±5.40% · 2026-10-21 · Weekly
- Default IV-change assumption
- -16.90 %p
- Default elapsed calendar days
- 8.0
Scenario results
Theoretical values under assumptions — not actual execution P/L
- New theoretical price / share
- $3.32
- vs. current price · per contract
- -$1,160.43
- Direction effect
- $0.00
- Volatility effect
- -$563.28
- Time effect
- -$634.99
- Total theoretical change / contract
- -$1,198.26
- Starting BS price / share
- $15.30
- Starting BS − current price / contract
- $37.84
- Assumed stock price
- $532.95
- Assumed IV (annualized)
- 27.51%
Method and limitations
- One long contract represents 100 shares. Prices are USD/share; P/L and effects are USD/contract. Fees and slippage are excluded. A closing bid/ask midpoint is not an execution price.
- Full repricing uses European Black-Scholes, ignoring American early exercise and dividends. The annual rate is a fixed 4% assumption, not an observed market rate, with ACT/365. Greeks are only used to check that all required data is available.
- Change direction → IV → time sequentially. Interactions belong to the later factor, so attribution depends on order. The three effects sum to the theoretical change. Adding the difference between the starting BS price and the current price gives displayed P/L.
- The default IV change uses the same-session, same-expiry implied move m, average IV σ and years T: 100 × (√(σ² − min(0.95σ², (m/100)²/T)) − σ). If implied-move data is missing, m is the sum of the same-session ATM call and put midpoints divided by stock price. This variance-removal assumption is educational, not a forecast of post-earnings IV. Each option has a 1% IV floor.
- Time starts at the observation close. Default elapsed time ends at the earnings-day close for premarket reports, or the next calendar-day close for after-hours/unknown timing. It is not an exact post-release execution time. At expiry, time is zero and value is intrinsic.
- Current price means the observed closing bid/ask midpoint, not a live quote. Stock, options and implied move must share an observation session within the past seven days. Only company-confirmed earnings dates are used; unconfirmed and same-day reports are excluded. The first observed post-earnings expiry and strike nearest the stock price are selected before checking call and put data. Missing ATM data never causes a switch to a different strike or later expiry.
- Displayed amounts round to cents, so sums may differ by one cent. Elapsed days are displayed to one decimal place; calculations use unrounded values. Financial education only; no solicitation, return forecast or personalized investment advice. No login or payment required.