AGM Moves

Federal Agricultural Mortgage Corporation AGM 197.97 -7.61 -3.7%

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Expected move

November 05, 2026 close · $197.96

Horizon	Expected move	Typical range	2 in 3 closes	9 in 10 closes
Next session Earnings	±4.9% ±$9.78	$188.18 – $207.74	$185.69 – $210.24	$176.62 – $219.30
2 sessions Earnings	±5.3% ±$10.55	$187.41 – $208.51	$184.84 – $211.09	$175.10 – $220.83
3 sessions Earnings	±5.7% ±$11.25	$186.72 – $209.21	$184.13 – $211.80	$173.83 – $222.10
1 week Earnings	±6.0% ±$11.94	$186.03 – $209.90	$183.14 – $212.79	$172.86 – $223.07
2 weeks Earnings	±6.7% ±$13.25	$184.72 – $211.21	$181.61 – $214.32	$170.05 – $225.88
3 weeks Earnings	±7.3% ±$14.36	$183.61 – $212.32	$180.21 – $215.72	$167.81 – $228.11
1 month Earnings	±7.8% ±$15.54	$182.42 – $213.50	$178.68 – $217.25	$165.30 – $230.63

Size, not direction. The 68% and 90% bands held 66–68% and 89–90% of closes in held-out years 2019–2026. AGM reports in 1 session; only the horizons marked Earnings include its jump. Draw the cone on the chart →

Volatility premium

Beta

The forecast is for the current session, which this plan does not open.

Earnings: priced against what happened

Average implied move

±4.65%

Average actual move

3.28%

Beyond the implied move

0 / 1

Reaction session	Implied	Actual	Used	ATM IV before → after
August 08, 2025	±4.65%	+3.28%	0.70×	—

Reconstructed from archived mid quotes; the straddle covers its expiration, not only the reaction session. These are not option returns. Method and missing reports →