Nvidia (NVDA $173.73 +2.87%) reports results on Tuesday, November 17, after the close, a date it confirmed on November 12 when it announced that Jensen Huang had resigned as chief executive. On November 12 at 9:46 a.m. ET, with the stock at $160.92, its options priced a report-day move of about 6.2% to 6.9%. That is 1.4 to 1.5 times the 4.5% average of its last seven report-day moves, larger than five of them, and below the two largest, 8.7% and 8.5%.
The data behind this piece
Explore the primary data Equibles carries for NVDA:
The headline straddle is not the report move
The at-the-money straddle on the November 18 options, the first expiration after the report, cost $17.20 at the $160 strike, or 10.7% of the share price. That figure is often quoted as the expected earnings move, but it pays for every session until November 18, not only the reaction to the report. The November 16 options expire the day before Nvidia reports, so they show what the market charges for ordinary sessions: 6.7% over about three trading days.
| Expiration | Call mid | Put mid | Straddle | Share of price | Implied volatility |
|---|---|---|---|---|---|
| November 16 (before the report) | $5.825 | $5.000 | $10.825 | 6.7% | about 81% |
| November 18 (first after the report) | $9.125 | $8.075 | $17.200 | 10.7% | about 105% |
Paying the ask on both legs instead of the mid adds $0.05 to the November 18 straddle ($17.25), so the bid-ask spread is not what makes it expensive.
Stripping out the ordinary sessions
Straddle percentages do not add, variances do. Take the November 16 straddle as the price of ordinary days, scale it to the November 18 horizon, and subtract it from the November 18 total; what is left is the part priced for the report. The answer depends on whether weekend days count, so both are shown:
| Day count to expiration | November 16 | November 18 | Report-day move priced |
|---|---|---|---|
| Trading days | 3.0 | 5.0 | 6.2% |
| Calendar days | 4.3 | 6.3 | 6.9% |
The simple gap between the two straddles, about 4.0 points, understates the report move for the same reason: percentages of a straddle cannot be subtracted.
Nvidia's last seven reports
Measured from the close on the report day to the next day's close:
| Report | Report-day close | Next close | Move |
|---|---|---|---|
| February 26, 2025 | $131.28 | $120.15 | down 8.5% |
| May 28, 2025 | $134.81 | $139.19 | up 3.2% |
| August 27, 2025 | $181.60 | $180.17 | down 0.8% |
| November 19, 2025 | $186.52 | $180.64 | down 3.2% |
| February 25, 2026 | $195.56 | $184.89 | down 5.5% |
| May 20, 2026 | $223.47 | $219.51 | down 1.8% |
| August 26, 2026 | $209.66 | $227.98 | up 8.7% |
The average was 4.5% in either direction. A 6.2% to 6.9% move would be the third largest of the eight, behind August 2026 and February 2025.
Why the ordinary days cost so much
Before the open on November 12, Nvidia announced that Jensen Huang had resigned as president, chief executive and director, effective November 11, with chief financial officer Colette Kress as interim chief executive (8-K, accession 0001045810-26-000082). Nvidia closed at $239.24 on October 6. It fell 9.3% on November 5, 4.3% on November 9 and 5.5% on November 10, rose 2.9% on November 11 to $173.73, and at the time of the run was 7.4% below that close and 32.7% below the October 6 close. The November 16 options imply ordinary-day volatility of about 81% a year. That, more than the report, is why the November 18 straddle costs 10.7%.
How it was measured
- Option quotes: Equibles' options chain, real-time bid and ask at 9:46:31 to 9:46:32 a.m. ET on November 12; the stock at $160.92 at 9:46:32; the $160 strike is the nearest to that price; each leg at the mid of its bid and ask.
- Report move priced: each straddle divided by 0.798 (the square root of 2 divided by pi) gives a standard deviation; the November 16 variance per day, times the November 18 horizon, is subtracted from the November 18 variance, and the square root of the rest, times 0.798, is the expected report-day move.
- Report-day moves: close-to-close from Equibles' daily prices, on the report dates in Nvidia's earnings calls calendar.
What it leaves out
- Ordinary-day volatility can change before November 17, and the method assumes it stays at the November 16 options' level.
- The trading-day and calendar-day counts differ by 0.7 points; neither is the market's own convention for weekends.
- All seven past reports came with Jensen Huang as chief executive and this one will not, which makes the history a weaker guide.
- Seven reports is a small sample, and none of this says which way the stock will move.
To run the same check on another stock, the options chain tutorial walks through the prompts. Pull the same numbers in ChatGPT or Claude: add Equibles.
This note is our analysis of market data. It is not investment advice, and option prices change by the second. Equibles staff may hold positions in the securities discussed.