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

Implied ±19.3%, either direction.

How often does Aspen Aerogels move more than the options market prices?

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

ASPNNYSEWholesale-Lumber & Other Construction Materials

Aspen Aerogels Inc (ASPN) earnings date, market-implied expected move, and options open interest by expiry

4.97

Pre-market16:00 ETdelayed

Open5.00Volume1.0MMkt cap$400.0MEPS-1.52

Day4.93 – 5.0530%52-wk2.30 – 8.2445%

ASPN

Aspen Aerogels Inc

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±19.3%implied · report alone

8Q avg ±23.8%·×0.81·cheap

4.005.92

straddle ±21.4%

spot 4.96exp Nov 20ATM strike 5ATM straddle 1.25IV 147%

Nov 3 closereport share · term structure

Expected move

Inputs

Next report

Nov 5

before open · in 1 day

est.Q3 FY26

Calendar

Next report

Last report

+37.52%

vs ±16.0% implied · ×2.35

shaded = implied · ▲▼ = realized

Aug 6 '26 · confirmed

Implied vs realized

Largest filed tie

59.00%

of ASPN revenue · General Motors

customerASPN 10-K

Supply chain

Largest filed tie

13F top-10 QoQ

+5.14%

shares held · 10 largest managers

13F · Jun 30 '26127d lag

181 managers

Top fund weight

0.01%

ASPN weight · IWM

N-PORTJun 30 '26

3 funds

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

Aspen Aerogels (ASPN) is expected to report on Nov 5 before open (estimated date).

Implied vs realized

8 reports

4 of 8≥ implied

avg implied: ±18.2%
avg realized: ±23.8%

Nov 6 '24Nov 6 '24confirmed±15.0%▼−0.53%×0.04

Feb 12 '25Feb 12 '25confirmed±12.1%▼−23.40%×1.94

May 8 '25May 8 '25confirmed±14.5%▼−24.25%×1.68

Aug 7 '25Aug 7 '25confirmed±16.7%▼−8.13%×0.49

Q3 FY25Nov 6 '25confirmed±16.9%▼−44.53%×2.64

Q1 FY26Feb 25 '26confirmed±29.5%▼−27.81%×0.94

May 7 '26May 7 '26confirmed±24.6%▲+24.27%×0.99

Q2 FY26Aug 6 '26confirmed±16.0%▲+37.52%×2.35

quarterimplied−45%0+45%realized×

Q2 FY26±16.0%▲+37.52%×2.35

May '26±24.6%

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

Implied vs realized

Positioning

OI · 4 expiries · Oct 30 close

0.82OI · 4 expiries · Oct 30 closeP/C open interest · Nov 20 · first expiry after the report

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

2,083+1%Nov 2016d2,527+5%

0—Dec 1844d0.00115—0.00

1,5150%Jan 1572d0.1411,0540%0.14

5280%Feb 19107d4.47118+9%4.47

ExpiryPutsCallsP/C

Nov 2016d2,083+1%2,527+5%0.82

Dec 1844d0—115—0.00

Jan 1572d1,5150%11,0540%0.14

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

Positioning

Linked exposure

scenario · straddle±21.4%

Funds 3

IWM±0.0%

UWM±0.0%

VTI±0.0%

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

Linked exposure

Revenue flow

as filedQ2 FY26

−46.67%as filednet margin · revenue +31.58% QoQ · −36.11% YoY

Revenue$50M+31.58%

Gross profit$3M6.55%−23.67%

Operating income−$29M−57.74%−38.16%

Pre-tax income−$23M+5.43%

Net income−$23M−46.67%+1.80%

Cost of revenue$47M+38.61%

Operating expenses$32M+27.63%

Tax$619,000+344.66%

Other income$6M+297.40%

Source: SEC filings · standardized · QE Jun 30 '26 · bars = % of revenue

Revenue flow

Intraday

15m bars

Long dash = implied range · Nov 3 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 16:00 ET

Intraday

Event sensitivity

NFP ×0.96· ±3.5% vs ±3.6% · 10 releases

eventrelease day|move|up · n×base

NFPjobs report±3.5%4 of 10×0.96

PPIproducer prices±3.1%3 of 10×0.84

CPROFcorporate profits±3.0%6 of 12×0.83

PCEpersonal income & outlays±2.9%8 of 19×0.80

GDPgross domestic product±2.9%11 of 19×0.80

CPIconsumer prices±2.9%6 of 10×0.80

FOMCrate decision±2.4%10 of 24×0.67

Bar = avg |move| to ±4% · tick = ±3.6% avg day · ×base = |move| ÷ ±3.6% · min 6 releases

Earnings history

EPS -0.28 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Aug 6 '26 · confirmed	-0.28	—
Q1 FY26	Feb 25 '26 · confirmed	-0.29	—
Q3 FY25	Nov 6 '25 · confirmed	-0.08	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod