What move does the options market price into Assured Guaranty's report?

Implied ±5.9%, either direction.

AGONYSESurety Insurance

Assured Guaranty Ltd (AGO) earnings date, market-implied expected move, and options open interest by expiry

70.43

−0.45 · −0.63%

post 70.43 0.00%

Closed16:00 ET

Open71.33Volume350,837Mkt cap$3.1BP/E9.24EPS7.62Div yield2.10%

Day70.20 – 71.3321%52-wk67.24 – 91.0713%

AGO

Assured Guaranty Ltd

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±5.9%implied · report alone

66.3274.64

straddle ±6.6%

spot 70.48exp Nov 20ATM strike 70ATM straddle 5.47IV 41%

Oct 30 closereport share · term structure

Expected move

Inputs

Next report

Nov 5

after close · in 4 days

est.Q3 FY26

Calendar

Next report

Last report

−8.65%

shaded = implied · ▲▼ = realized

Aug 6 '26 · confirmed

Implied vs realized

Linked news

4dSPGI · supplierS&P Global Q3 net income $1,240 million, revenue $3,678 million, diluted EPS $4.25
6dGS · supplierGoldman Sachs slashes Kospi target to 9,000 but still sees over 60% upside

News

Largest filed tie

13F top-10 QoQ

+0.17%

shares held · 10 largest managers

13F · Jun 30 '26124d lag

368 managers

Top fund weight

0.01%

AGO weight · VIG

N-PORTJul 31 '26

3 funds

Last reportshaded = implied▲▼ = realized× = |realized| ÷ implied

Assured Guaranty (AGO) is expected to report on Nov 5 after close (estimated date).

Implied vs realized

1 report

—≥ implied

Q2 FY26Aug 6 '26confirmed—▼−8.65%—

quarterimplied−10%0+10%realized×

Q2 FY26—▼−8.65%—

Shaded = implied · tick ▲▼ = realized · × = |realized| ÷ impliedSource: options EOD · implied at prior close · realized close to close

Implied vs realized

Positioning

OI · 5 expiries · Oct 30 close

4.33OI · 5 expiries · Oct 30 closeP/C open interest · Nov 20 · first expiry after the report

PUTS · chgexpiry · days · P/CCALLS · chgP/C

8610%Nov 2019d199+4%

159—Dec 1847d2.6560+1400%2.65

1,2390%Jan 1575d0.294,3310%0.29

382+8%Mar 19138d1.582420%1.58

60%Apr 16166d0.35170%0.35

ExpiryPutsCallsP/C

Nov 2019d8610%199+4%4.33

Dec 1847d159—60+1400%2.65

Jan 1575d1,2390%4,3310%0.29

Hatched = puts · solid = calls · bars scaled per expiry · chg = OI vs prior sessionSource: options EOD

Positioning

Linked exposure

scenario · straddle±6.6%

Funds 3

VIG±0.0%

VTI±0.0%

VT±0.0%

Dashed = straddleMethod Source: SEC filings · N-PORT · market data

Linked exposure

Revenue flow

as filedQ2 FY26

20.30%as filednet margin · revenue −29.64% QoQ · −2.48% YoY

Revenue

$197M−29.64% QoQ

Gross profit

$197M−29.64% QoQ

100.00% margin

Operating income

$92M+12.20% QoQ

46.70% margin

Pre-tax income

$49M−24.62% QoQ

Net income

$40M−52.94% QoQ

20.30% margin

Operating expenses

$105M−46.97% QoQ

Other operating $61M

SG&A $39M

Other operating $5M

Other expense

$43M

Tax

$9M+145.00% QoQ

Revenue$197M−29.64%

Gross profit

$197M−29.64%

100.00% margin

Operating income

$92M+12.20%

46.70% margin

Pre-tax income

$49M−24.62%

Net income

$40M−52.94%

20.30% margin

Cost of revenue

Operating expenses

$105M−46.97%

Other operating $61M

SG&A $39M

Other operating $5M

Other expense

$43M

Tax$9M+145.00%

flow · deduction · signed % = QoQSource: SEC filings · standardized · QE Jun 30 '26 · width = $

Revenue flow

Intraday

15m bars

Long dash = implied range · Oct 30 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 16:00 ET

Intraday

Event sensitivity

NFP ×2.46· ±2.6% vs ±1.1% · 10 releases

eventrelease day|move|up · n×base

NFPjobs report±2.6%4 of 10×2.46

CPIconsumer prices±1.3%2 of 11×1.21

FOMCrate decision±1.2%12 of 24×1.10

PCEpersonal income & outlays±1.1%8 of 19×1.04

CPROFcorporate profits±0.9%5 of 12×0.86

GDPgross domestic product±0.9%9 of 19×0.83

PPIproducer prices±0.9%4 of 11×0.81

Bar = avg |move| to ±3% · tick = ±1.1% avg day · ×base = |move| ÷ ±1.1% · min 6 releases

Earnings history

EPS 0.88 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Aug 6 '26 · confirmed	0.88	—
Q1 FY26	—	1.91	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod