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

Implied ±9.1%, either direction.

How often does Ambarella move more than the options market prices?

6 of the last 8 reports moved at least as far as the implied move.

AMBANasdaqSemiconductors & Related Devices

Ambarella Inc (AMBA) earnings date, market-implied expected move, and options open interest by expiry

62.01

pre 61.56 −0.71%

Pre-market08:47 ETdelayed

Open62.44Volume1.4MMkt cap$2.7BEPS-1.29

Day61.47 – 63.484%52-wk48.30 – 96.6927%

AMBA

Ambarella Inc

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±9.1%implied · report alone

8Q avg ±13.8%·×0.66·cheap

56.3667.64

straddle ±16.2%

spot 62.00exp Nov 27ATM strike 62ATM straddle 11.85IV 94%

Nov 3 closereport share · term structurethin chain

Expected move

Inputs

Next report

Nov 24

after close · in 20 days

est.Q3 FY27

Calendar

Next report

Last report

−0.77%

vs ±12.3% implied · ×0.06

shaded = implied · ▲▼ = realized

Sep 3 '26 · confirmed

Implied vs realized

Largest filed tie

filed ties

13F top-10 QoQ

+17.47%

shares held · 10 largest managers

13F · Jun 30 '26127d lag

343 managers

Top fund weight

0.11%

AMBA weight · IWM

N-PORTJun 30 '26

4 funds

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

Ambarella (AMBA) is expected to report on Nov 24 after close (estimated date).

Implied vs realized

8 reports

6 of 8≥ implied

avg implied: ±11.8%
avg realized: ±13.8%

Nov 26 '24Nov 26 '24confirmed±11.5%▲+5.89%×0.51

Feb 26 '25Feb 26 '25confirmed±11.6%▼−17.13%×1.48

May 29 '25May 29 '25confirmed±10.3%▼−15.10%×1.46

Aug 28 '25Aug 28 '25confirmed±10.1%▲+16.78%×1.67

Q3 FY26Nov 25 '25confirmed±12.5%▼−18.78%×1.51

Feb 26 '26Feb 26 '26confirmed±11.5%▼−14.89%×1.29

Q1 FY27May 28 '26confirmed±14.3%▼−21.41%×1.50

Q2 FY27Sep 3 '26confirmed±12.3%▼−0.77%×0.06

quarterimplied−25%0+25%realized×

Q2 FY27±12.3%▼−0.77%×0.06

Q1 FY27±14.3%

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

Implied vs realized

Positioning

OI · 8 expiries · Nov 3 close

0.39OI · 8 expiries · Nov 3 closeP/C open interest · Nov 27 · first expiry after the report

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

2,970+7%Nov 62d0.624,778+193%0.62

517+4%Nov 139d0.64812+2%0.64

4,5170%Nov 2016d0.3811,869+3%0.38

report · Nov 24 · after close · est.

83+5%Nov 2723d214+2%

50+22%Dec 430d3.5714+17%3.57

11,1650%Dec 1844d1.388,079−2%1.38

2 later expiries

2,9510%Jan 1572d0.358,3820%0.35

4590%Feb 19107d0.27

ExpiryPutsCallsP/C

Nov 62d2,970+7%4,778+193%0.62

Nov 139d517+4%812+2%0.64

Nov 2016d4,5170%11,869+3%0.38

report · Nov 24 · after close · est.

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

Positioning

Linked exposure

scenario · straddle±16.2%

Funds 4

IWM±0.0%

UWM±0.0%

VTI±0.0%

VT±0.0%

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

Linked exposure

Revenue flow

as filedQ2 FY27

−6.19%as filednet margin · revenue +7.74% QoQ · +13.21% YoY

Revenue$108M+7.74%

Gross profit$62M57.73%+6.53%

Operating income−$8M−7.53%+58.06%

Pre-tax income−$6M+63.44%

Net income−$7M−6.19%+63.03%

Cost of revenue$46M+9.44%

Operating expenses$71M−9.55%

Tax$352,000−53.68%

Other income$2M−13.30%

Source: SEC filings · standardized · QE Jul 31 '26 · bars = % of revenue

Revenue flow

Intraday

15m bars

Long dash = implied range · Nov 3 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 08:45 ET

Intraday

Event sensitivity

PPI ×1.63· ±4.4% vs ±2.7% · 10 releases

eventrelease day|move|up · n×base

PPIproducer prices±4.4%4 of 10×1.63

NFPjobs report±4.4%3 of 10×1.63

PCEpersonal income & outlays±3.8%10 of 19×1.43

GDPgross domestic product±3.1%10 of 19×1.15

FOMCrate decision±1.9%16 of 24×0.71

CPROFcorporate profits±1.7%5 of 12×0.65

CPIconsumer prices±1.5%4 of 10×0.56

Bar = avg |move| to ±5% · tick = ±2.7% avg day · ×base = |move| ÷ ±2.7% · min 6 releases

Earnings history

EPS -0.15 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY27	Sep 3 '26 · confirmed	-0.15	—
Q1 FY27	May 28 '26 · confirmed	-0.41	—
Q3 FY26	Nov 25 '25 · confirmed	-0.35	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod