Nomura Quant Insights

Research evidence excerpt

Nomura Quant Insights

market for equity index options, the event

premium assigned to the announcement is now higher than what was assigned to the

recent FOMC meeting—including after the sharp rise in the latter after the US jobs report Note:

handed the market a major upside surprise. Indeed, the event premium associated with

Unless expressly stated otherwise,the Micron announcement is arguably fully comparable with the premiums that have at

mentions of the exposure ortimes been attached to Nvidia’s results announcements. If Micron’s announcements are

positioning of various investorstarting to exert more influence on the share prices of tech stocks more generally (in the

classes are estimates derived fromway that Nvidia’s announcements have in the recent past), then anyone trying to work out

Nomura’s model, and are not actual,the near-term direction of the market might do well to pay more attention to share price

measured figures.returns on the day after the announcement than to the relative size of any actual earnings

surprise. If the share price response to the earnings announcement ends up being This report was authored by an

stronger or weaker than the options market had been implicitly expecting, then tech stocks employee of a Nomura affiliate and

could potentially exhibit a near-term drift effect for perhaps a week or two (see our 18 May reviewed and published by Nomura

2026 report titled NomuraQuantInsights-UStechskewsuggests100%probabilityof Securities.

reversal:WillhigherratestriggeranAIstockcorrection?). With respect to the Micron

announcement, the breakeven lines for straddles in the options market appear to be

roughly 7%–8% above and below the share price. What that means is that a share price