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NRG Energy NRG 97.11 -0.29 -0.3%

Previous-day view · Tue Nov 10 close. You are previewing the previous trading day. Subscribe to see today live and every other date — Trader is $59/mo. Sign up Sign in

Expected move

November 10, 2026 close · $97.11
Horizon Expected move Typical range 2 in 3 closes 9 in 10 closes
Next session ±2.2% ±$2.10 $95.01 – $99.21 $94.59 – $99.63 $92.61 – $101.61
2 sessions ±3.0% ±$2.91 $94.20 – $100.02 $93.58 – $100.64 $90.83 – $103.39
3 sessions ±3.8% ±$3.67 $93.44 – $100.78 $92.73 – $101.49 $89.30 – $104.92
1 week ±5.3% ±$5.17 $91.94 – $102.28 $90.80 – $103.42 $86.11 – $108.11
2 weeks ±7.4% ±$7.22 $89.89 – $104.33 $88.18 – $106.04 $81.71 – $112.51
3 weeks ±8.8% ±$8.56 $88.55 – $105.67 $86.47 – $107.75 $79.02 – $115.20
1 month ±10.4% ±$10.14 $86.97 – $107.25 $84.45 – $109.77 $75.61 – $118.61
Size, not direction. The 68% and 90% bands held 66–68% and 89–90% of closes in held-out years 2019–2026. 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
±7.10%
Average actual move
12.77%
Beyond the implied move
3 / 5
Median IV change
-13.35%
Reaction session Implied Actual Used ATM IV before → after
August 04, 2026 ±7.98% -15.48% 1.94× —
May 06, 2026 ±6.67% -4.31% 0.65× 56.1% → 46.2%
February 24, 2026 ±7.65% +4.25% 0.56× —
August 06, 2025 ±6.98% -13.61% 1.95× —
May 12, 2025 ±6.20% +26.21% 4.23× —
Reconstructed from archived mid quotes; the straddle covers its expiration, not only the reaction session. These are not option returns. Method and missing reports →