Earnings and Option Volatility Monitor: Week of August 3

Research evidence excerpt

Earnings and Option Volatility Monitor: Week of August 3

J P M O R G A N Global Markets Strategy

31 July 2026

Earnings and Option Volatility

Monitor

Week of August 3

• Next week is another busy week for Q2 earnings, with ~18% of Russell 1000 Global Equity Derivatives Strategy

AC names (by market cap) expected to report. Notable companies reporting Daniel Motoc, CFA

include SPCX, BRK/B, LLY, AMD, CAT, MRK, PLTR, ANET, WDC, and (1-212) 622-0105

AMGN. daniel.motoc@jpmchase.com

• With ~57% of S&P 500 companies having reported, 80% are beating on Bram(1-212) Kaplan,272-1215 CFA AC

earnings (vs. 78% average last 4Q) and 73% are beating revenue estimates (vs. bram.kaplan@jpmorgan.com

76% average last 4Q). Our equity strategists note that the broader earnings

Arda Sebuktekin

setup during this reporting season remains constructive but concentrated, with (1-212) 270-4397

2Q26 earnings expected to rise +23% y/y led by Tech and Energy (see here). arda.sebuktekin@jpmchase.com

• Options are pricing above-average earnings volatility again this quarter, J.P. Morgan Securities LLC

in a similar setup to last quarter. Implied moves are elevated (~85th

%ile) and screen moderately rich vs. realized, reflecting earnings uncertainty,

high investor crowding and leverage, and potentially a returning geopolitical

risk premium in front-end implied vols given renewed tensions in the Middle

East. See US Equity Derivatives Strategy, Jul 17, for a comprehensive

preview of options market expectations and our favorite trades going into Q2

earnings.

• By analyzing the term structure of option implied volatility, we believe it is

possible to deduce the option market’s expectation for the size of an earnings-

related stock price move. We calculate the options market’s current expectation