MRNA Moves

Moderna MRNA 258.38 29.94 13.11% Regime: Trend Up (95%)

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Expected move

November 04, 2026 close · $257.70

Horizon	Expected move	Typical range	2 in 3 closes	9 in 10 closes
Next session	±3.8% ±$9.82	$247.88 – $267.52	$245.90 – $269.50	$236.62 – $278.78
2 sessions Earnings	±7.4% ±$19.04	$238.66 – $276.74	$233.99 – $281.41	$216.42 – $298.98
3 sessions Earnings	±8.7% ±$22.37	$235.33 – $280.07	$230.15 – $285.25	$209.69 – $305.71
1 week Earnings	±10.5% ±$27.14	$230.56 – $284.84	$224.02 – $291.38	$200.70 – $314.70
2 weeks Earnings	±13.9% ±$35.90	$221.80 – $293.60	$213.35 – $302.05	$182.01 – $333.39
3 weeks Earnings	±16.6% ±$42.68	$215.02 – $300.38	$204.87 – $310.53	$168.02 – $347.38
1 month Earnings	±19.2% ±$49.38	$208.32 – $307.08	$196.42 – $318.98	$153.85 – $361.55

Size, not direction. The 68% and 90% bands held 66–68% and 89–90% of closes in held-out years 2019–2026. MRNA reports in 2 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

±9.82%

Average actual move

4.30%

Beyond the implied move

0 / 7

Median IV change

-26.32%

Reaction session	Implied	Actual	Used	ATM IV before → after
July 31, 2026	±7.86%	-5.35%	0.68×	—
May 01, 2026	±8.05%	-1.24%	0.15×	—
February 13, 2026	±9.15%	+5.29%	0.58×	—
August 01, 2025	±10.25%	-6.61%	0.65×	86.3% → 63.0%
May 01, 2025	±10.72%	-5.29%	0.49×	87.2% → 65.0%
February 14, 2025	±9.92%	+3.35%	0.34×	97.1% → 66.4%
November 07, 2024	±12.79%	-2.95%	0.23×	98.5% → 73.2%

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