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What a 5.5% Nasdaq drop looked like next to options-implied earnings moves (and how we scored them)

#earnings #stocks #fintech #buildinpublic

On Nov 5, 2026 the S&P 500 closed down 4.36%, the Nasdaq down 5.52%, the Philadelphia Semiconductor Index (SOX) down 12.25%, and VIX closed at 28.18. It was a chip-led drop. That same week we were scoring earnings reactions against the move that options had priced in beforehand, so we had a small, awkward test case: how does a pre-announcement "expected move" look next to what happened on a session like that?

We build SIGNUM HQ, a US stock app that shows an expected move before each earnings report and the actual move after it. This post is the scorecard for the week of Nov 2, how it is computed, and what it can and cannot say. It is not a forecast and not investment advice.

The numbers (interim, n = 21)

Of the 21 earnings reactions where we had a complete stored pair (expected move recorded before the report, actual move computed after), 15 landed inside the expected range and 6 outside. The median expected move was 7.7%; the median absolute actual move was 3.73%.

The six outside, by how far the actual absolute move exceeded the expected one:

Ticker Expected Actual Excess
XYZ ±8.8% +15.30% +6.50 pp
ARM ±9.9% −13.08% +3.18 pp
DD ±6.5% +8.61% +2.11 pp
QCOM ±8.4% −9.49% +1.09 pp
BKNG ±8.8% +9.83% +1.03 pp
ETN ±6.7% +7.00% +0.30 pp

Eight of the 21 reactions happened on Nov 5 itself. Six of those eight were inside the range; the two outside were ARM and QCOM, both of which reported after the Nov 4 close. Their reaction day was also the day SOX fell 12.25%. Our scorecard is a raw close-to-close number, not market-adjusted, so it cannot separate the company's report from the market's session. On Nov 5 the briefing in our app points to same-session reports of declines at Dell, HPE and Super Micro as the strongest candidate for the chip move, labelled as a possible cause rather than a finding.

Five names that reported after the Nov 5 close (TEAM, AXON, NET, AFRM, IONQ) are not in the set yet. Missing records are excluded, never counted as a zero move, and we will confirm them on Nov 7 morning. So this is an interim snapshot, not the full week.

How the expected move is computed

For each report we take the at-the-money straddle on the first expiry after the announcement, add the call and put mid prices, and divide by the underlying price:

type Quote = { bid: number; ask: number };

const mid = (q: Quote) => (q.bid + q.ask) / 2;

// ATM straddle mid / spot, as a percentage
export function expectedMovePct(call: Quote, put: Quote, spot: number): number {
  return ((mid(call) + mid(put)) / spot) * 100;
}

// Equality counts as inside the range
export function isWithinRange(actualPct: number, expectedPct: number): boolean {
  return Math.abs(actualPct) <= expectedPct;
}

// Positive = the reaction was bigger than priced, in percentage points
export function excessPp(actualPct: number, expectedPct: number): number {
  return Math.abs(actualPct) - expectedPct;
}
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Two details matter more than the formula:

  1. The horizons differ. The expected move runs to option expiry (some of these expire days after the report, a few more than two weeks after). The actual move is one regular session, close to close (previous close to announcement-day close for before-open reports, announcement-day close to next close for after-close reports). A range that spans several days is easier to stay inside than a one-day move, so "15 of 21 inside" is not a measure of how accurate the options market is.
  2. It is a size, not a direction. The straddle says how big the move was priced, nothing about up or down.

We also reject any expected-move record that was captured after the release, and anything incomplete is omitted rather than filled in.

What changed in the app

The dashboard now carries a selloff briefing on days like Nov 5: the index moves, VIX, a "Why" line that states a possible cause only as far as the sources support it, and the earnings that finished beyond their options-implied range.

SIGNUM HQ dashboard at 375px: Market Selloff Briefing for 2026-11-05 with S&P 500, Nasdaq, SOX and VIX moves, a Why line, and earnings beyond the options-implied range

The earnings calendar shows the week's running count and the reminder that the two horizons differ:

SIGNUM HQ earnings calendar at 375px: "This week: 15 of 21 within range" and options-implied moves with expiry for upcoming reports

We also wrote a short explainer on what to check when US stocks sell off (VIX versus VIX3M, why the chip index can move more than the Nasdaq, and how to read an expected move in a selloff week): When US stocks sell off.

Caveats

  • The set is interim and excludes missing records.
  • Raw reactions include the market's own move that day.
  • 21 observations is a small sample; read it as a log, not a statistic.

The scorecard API behind this is public if you want to check the rows: https://www.signumhq.com/api/earnings/scorecard?week=2026-11-02.

Disclosure: SIGNUM HQ is our own product, and this post was generated with AI for the SIGNUM HQ team. Information only, not investment advice or a recommendation to buy or sell any security.

If you have an iPhone and want to try it: code EARNINGS gives 1 month of PRO (first 500 redemptions): https://www.signumhq.com/app?code=EARNINGS&from=devto_1106

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