earnings_term_structure

Name: earnings_term_structure
Creator: Strasmore
Published: 2026-10-24
License: https://www.strasmore.com/terms/

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-10-24, from msft-stock-price-analysis.

as of 2026-10-24 series 11×8read in context →

earnings_term_structure — 11 rows by 8 columns, computed 2026-10-24 from US exchange, SIP and OPRA data.
expiry_date	expiry_label	as_of	dte	atm_iv_pct	expected_move_pct	expected_move_usd	contracts
2026-10-30	2026/10/30	2026/10/22	8	46.2	6.84	35.7	16
2026-11-02	2026/11/02	2026/10/22	11	40.4	7.01	36.57	14
2026-11-04	2026/11/04	2026/10/22	13	39.2	7.39	38.59	10
2026-11-06	2026/11/06	2026/10/22	15	38.7	7.85	40.95	16
2026-11-13	2026/11/13	2026/10/22	22	35.7	8.76	45.73	8
2026-11-20	2026/11/20	2026/10/22	29	33.1	9.32	48.65	16
2026-11-27	2026/11/27	2026/10/22	36	31.2	9.81	51.21	8
2026-12-04	2026/12/04	2026/10/22	43	31.3	10.73	56.03	8
2026-12-18	2026/12/18	2026/10/22	57	30.2	11.93	62.27	8
2027-01-15	2027/01/15	2026/10/22	85	29.1	14.05	73.32	8
2027-02-19	2027/02/19	2026/10/22	120	30	17.2	89.79	8

Rows × columns: 11 × 8
Period covered: 2026-10-30 to 2027-02-19
Computed: 2026-10-24
Completeness: No missing values
Source: US exchange, SIP and OPRA market data
Licence: Strasmore terms · free, no signup
Formats: JSON · CSV · the SQL below

What each column holds

Column definitions for earnings_term_structure, derived from the stored result.
Column	Type	Range	Notes
`expiry_date`	date	2026-10-30 to 2027-02-19
`expiry_label`	text	11 distinct values (2026/10/30, 2026/11/02, 2026/11/04…)
`as_of`	text	1 distinct value (2026/10/22)
`dte`	number	8 to 120
`atm_iv_pct`	number	29.1 to 46.2	percent
`expected_move_pct`	number	6.84 to 17.2	percent
`expected_move_usd`	number	35.7 to 89.79	US dollars
`contracts`	number	8 to 16	count

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on 2026-10-24, and the query below is what returned them.

Run it yourself

This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.

SELECT
    toString(expiration_date)                                                       AS expiry_date,
    formatDateTime(expiration_date, '%Y/%m/%d')                                     AS expiry_label,
    formatDateTime(any(date), '%Y/%m/%d')                                           AS as_of,
    any(days_to_expiry)                                                             AS dte,
    round(avg(implied_volatility) * 100, 1)                                         AS atm_iv_pct,
    round(avg(implied_volatility) * sqrt(any(days_to_expiry) / 365) * 100, 2)       AS expected_move_pct,
    round(any(toFloat64(underlying_close)) * avg(implied_volatility)
          * sqrt(any(days_to_expiry) / 365), 2)                                     AS expected_move_usd,
    count()                                                                         AS contracts
FROM global_markets.options_greeks
WHERE underlying_symbol = 'MSFT'
  AND date >= today() - 14
  AND date = (
        SELECT max(date)
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'MSFT'
          AND date >= today() - 14
      )
  AND iv_converged = 1
  AND volume > 0
  AND underlying_close > 0
  AND days_to_expiry BETWEEN 5 AND 120
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02
GROUP BY expiration_date
HAVING count() >= 2
ORDER BY expiration_date

SQL to run

SELECT
    toString(expiration_date)                                                       AS expiry_date,
    formatDateTime(expiration_date, '%Y/%m/%d')                                     AS expiry_label,
    formatDateTime(any(date), '%Y/%m/%d')                                           AS as_of,
    any(days_to_expiry)                                                             AS dte,
    round(avg(implied_volatility) * 100, 1)                                         AS atm_iv_pct,
    round(avg(implied_volatility) * sqrt(any(days_to_expiry) / 365) * 100, 2)       AS expected_move_pct,
    round(any(toFloat64(underlying_close)) * avg(implied_volatility)
          * sqrt(any(days_to_expiry) / 365), 2)                                     AS expected_move_usd,
    count()                                                                         AS contracts
FROM global_markets.options_greeks
WHERE underlying_symbol = 'MSFT'
  AND date >= today() - 14
  AND date = (
        SELECT max(date)
        FROM global_markets.options_greeks
        WHERE underlying_symbol = 'MSFT'
          AND date >= today() - 14
      )
  AND iv_converged = 1
  AND volume > 0
  AND underlying_close > 0
  AND days_to_expiry BETWEEN 5 AND 120
  AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02
GROUP BY expiration_date
HAVING count() >= 2
ORDER BY expiration_date

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