BAP Moves

Credicorp LTD BAP 347.99 -11.22 -3.12%

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Expected move

November 05, 2026 close · $347.99

Horizon	Expected move	Typical range	2 in 3 closes	9 in 10 closes
Next session	±1.6% ±$5.53	$342.46 – $353.52	$341.34 – $354.64	$336.09 – $359.89
2 sessions	±2.2% ±$7.69	$340.30 – $355.68	$338.66 – $357.32	$331.39 – $364.59
3 sessions Earnings	±6.4% ±$22.27	$325.72 – $370.26	$320.60 – $375.38	$300.21 – $395.77
1 week Earnings	±6.9% ±$24.05	$323.94 – $372.04	$318.13 – $377.85	$297.46 – $398.52
2 weeks Earnings	±7.9% ±$27.42	$320.57 – $375.41	$314.13 – $381.85	$290.19 – $405.79
3 weeks Earnings	±8.7% ±$30.28	$317.71 – $378.27	$310.55 – $385.43	$284.38 – $411.60
1 month Earnings	±9.6% ±$33.27	$314.72 – $381.26	$306.68 – $389.30	$278.04 – $417.94

Size, not direction. The 68% and 90% bands held 66–68% and 89–90% of closes in held-out years 2019–2026. BAP reports in 3 sessions; 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

±6.00%

Average actual move

2.99%

Beyond the implied move

0 / 1

Reaction session	Implied	Actual	Used	ATM IV before → after
August 14, 2026	±6.00%	+2.99%	0.50×	—

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