How do you calculate the expected move for NFLX earnings from the straddle?
Add the at-the-money call and put and divide by the stock price. On 2026-10-16 the NFLX $70 straddle for Oct 23 cost $6.55, about 9.3% of $70.42.
To calculate an earnings expected move from the straddle, add the price of the at-the-money call and the at-the-money put in the first expiry after the report, then divide the sum by the stock price. For NFLX on 2026-10-16, the $70 call and the $70 put in the Oct 23 expiry traded at $3.40 and $3.15, so the straddle was $6.55, about 9.3% of a $70.42 stock price. This post works through those two real prints, then compares the straddle with the implied volatility formula our calculator uses, and explains why the two numbers differ.
What the expected move is
The expected move is a way to turn option prices into a dollar range. It does not come from an analyst or from Netflix. It comes from what buyers and sellers were paying for options at a given moment.
There are two common ways to compute it. The first adds the at-the-money call and put, which together are called a straddle. The second uses implied volatility, which the Options Industry Council describes as "a measure of how much the marketplace expects the asset price to move based on the price of the option".1 Both methods read the same market prices. They answer slightly different questions, which is why they give different numbers.
When Netflix reports
Netflix's own press release sets the date and time.2
| Event | Date | Time |
|---|---|---|
| Q3 2026 financial results and business outlook, posted on ir.netflix.net | Tue 2026-10-20 | approximately 1:01 pm PT (4:01 pm ET), after the 4:00 pm ET close |
| Q3 2026 live video interview with management | Tue 2026-10-20 | 1:45 pm PT (4:45 pm ET) |
Because the results arrive after the close, an option has to expire after 2026-10-20 to carry the report inside its life. The Oct 23 expiration is the first weekly expiry that does.
The worked example: the NFLX $70 straddle
As of 2026-10-16, CaymanBot's public trades feed shows two prints at the $70 strike in the Oct 23 expiry, both in the last half hour of the session, with NFLX near $70.4 for each.3
| Item | $70 call | $70 put |
|---|---|---|
| Contract | O:NFLX261023C00070000 | O:NFLX261023P00070000 |
| Time (ET) | 2026-10-16 15:31:44 | 2026-10-16 15:47:37 |
| Price | $3.40 | $3.15 |
| Bid / ask | $3.40 / $3.50 | $3.10 / $3.15 |
| NFLX price | $70.445 | $70.39 |
| IV estimate (CaymanBot, annualized) | 82.2% | 86.3% |
| Premium per contract | $340 | $315 |
The IV column is CaymanBot's own implied volatility estimate for each print, computed from the trade, and it is not a figure published by an exchange. The two prints are about 16 minutes apart. That is a simplification: a live straddle quote would use both legs at the same moment.
Step 1: the stock price
The two prints saw slightly different NFLX prices, so the example uses their average:
Step 2: the straddle
The straddle is the call plus the put at the same strike and expiry:
That is $6.55 per share. One call plus one put, each covering 100 shares, cost:
Step 3: the straddle as a percent of the stock
Adding and subtracting the straddle from the stock price gives the straddle-implied range by the Oct 23 expiry:
The range from $63.87 to $76.97 is arithmetic on 2026-10-16 prices. It describes what the options were pricing that afternoon, and it says nothing about what Netflix's stock will do.
The implied volatility method
Our expected move calculator uses a different formula: price times annualized implied volatility times the square root of days to expiry over 365, with calendar days. Here are the same inputs.
The average of the two IV estimates, in percent:
From 10-16 to 10-23 is 7 calendar days. The time factor is the square root of 7 ÷ 365, which is 0.1385. With IV written as a decimal:
So the IV method gives about $8.22, or 11.7%, as one standard deviation. The straddle gave $6.55, or 9.3%.
Why the two numbers differ
The gap has a known source. Brenner and Subrahmanyam (1988) showed that an at-the-money option's Black-Scholes value is approximately 0.4 times the stock price times volatility times the square root of time. A call plus a put at the money is then about 0.8 times that same product, which is the one-standard-deviation move.4
The worked example lands close to that ratio:
The theoretical ratio is the square root of 2 divided by pi, about 0.798. In plain terms, the straddle approximates the average absolute move, while the IV formula gives the one-standard-deviation move. Some tools quote 85% of the straddle instead of the full straddle. These are conventions, and none of them is exact.
Two cautions apply to every version. The Oct 23 expiry also prices the ordinary trading days before and after the report, so the straddle is larger than the earnings reaction alone. And the straddle is a market price at one moment. The stock can move more or less than it.
How options traders read it
In general terms, the expected move gives a scale for the report. A few habits help when reading one:
- Use the first expiry after the report, and check the report date and time first.
- Say which method a number comes from, since the straddle and the IV formula give different figures from the same prices.
- Remember that after the report, implied volatility often falls, which our glossary entry on IV crush explains.
Our earlier post on why NFLX options expiring after earnings cost more shows how the same report raised implied volatility in the Oct 23 expiry.
How to practice this
Open a free CaymanBot account, find the at-the-money call and put in the first expiry after a company's report, and do the three steps above by hand. In the first two Learning Mode stages, each trade on the feed comes with a plain-English sentence you can check against the strike, expiry and premium. You can then follow both legs in the $100K paper account across the report, with no real money at stake. A free account shows options data delayed 16 minutes (60 minutes without an account).
Educational only, not investment advice.
Notes
-
Options Industry Council, "Volatility & the Greeks". https://www.optionseducation.org/advancedconcepts/volatility-the-greeks ↩︎
-
Netflix, "Netflix to Announce Third Quarter 2026 Financial Results". https://ir.netflix.net/investor-news-and-events/financial-releases/press-release-details/2026/Netflix-to-Announce-Third-Quarter-2026-Financial-Results/default.aspx ↩︎
-
CaymanBot public trades feed, data delayed, NFLX 2026-10-16 15:31:44 and 15:47:37 ET (read 2026-10-17 ET). https://app.caymanbot.com/api/v1/trades ↩︎
-
Brenner, M., Subrahmanyam, M.G. (1988), "A Simple Formula to Compute the Implied Standard Deviation", Financial Analysts Journal 44(5), 80-83. https://doi.org/10.2469/faj.v44.n5.80 ↩︎
Options data from OPRA, delayed at least 60 minutes.
Frequently asked questions
How do you calculate an earnings expected move from the straddle?
Add the price of the at-the-money call and the at-the-money put in the first expiry after the report, then divide that sum by the stock price. The result is the move, in dollars and as a percent, that the options were pricing at that moment.
Why is the straddle number smaller than the implied volatility formula?
Under a standard model approximation, an at-the-money straddle is worth about 0.8 times a one-standard-deviation move. The straddle approximates the average absolute move, while price times IV times the square root of days over 365 gives the one-standard-deviation move.
When does Netflix report Q3 2026 earnings?
Netflix's press release says it will post its Q3 2026 results on Tuesday 2026-10-20 at approximately 1:01 pm PT (4:01 pm ET), after the 4:00 pm ET close, with a live video interview at 1:45 pm PT (4:45 pm ET).
Is the expected move a forecast of where the stock will go?
No. It is arithmetic on option prices at one moment, and it describes what the market was charging for uncertainty. The stock can move more or less than the straddle after the report.