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

Implied ±1.6%, either direction.

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

3 of the last 5 reports moved at least as far as the implied move.

CNYSENational Commercial Banks

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

122.64

−3.12 · −2.48%

post 122.60 −0.03%

Closed19:53 ET

Open125.90Volume13.6MMkt cap$205.7BP/E12.97EPS9.45Div yield2.01%

Day120.73 – 126.1335%52-wk94.40 – 147.2153%

Citigroup Inc

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±1.6%implied · report alone

8Q avg ±4.1%·×0.39·cheap

120.69124.59

straddle ±9.1%

spot 122.64exp Jan 15ATM strike 125ATM straddle 13.20IV 29%

Oct 30 closereport share · term structure

Expected move

Inputs

Next report

Jan 13

in 73 days

est.

Calendar

Next report

Last report

−5.60%

vs ±3.4% implied · ×1.63

shaded = implied · ▲▼ = realized

Oct 13 '26 · confirmed

Implied vs realized

Linked news

3dASX · customerASE Technology Holding 3Q26 net revenues NT$244,161 million; net income NT$26,996 million
3dNLY · customerAnnaly posts net loss of $1,000,698 thousand for quarter; net income $117,590 thousand nine months
3dAAL · supplierThe Interaction Group Partners with American Airlines to Refresh Passenger Safety Briefing Cards

News

Largest filed tie

13F top-10 QoQ

−2.55%

shares held · 10 largest managers

13F · Jun 30 '26124d lag

2,647 managers

Top fund weight

3.14%

C weight · XLF

N-PORTJun 30 '26

10 funds

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

Citigroup (C) is expected to report on Jan 13 (estimated date).

Implied vs realized

8 reports

3 of 5≥ implied

avg implied: ±3.5%
avg realized: ±4.1%

Jan 15 '25Jan 15 '25confirmed—▲+6.49%—

Apr 15 '25Apr 15 '25confirmed—▲+1.76%—

Jul 15 '25Jul 15 '25confirmed—▲+3.68%—

Q3 FY25Oct 14 '25confirmed±4.1%▲+3.89%×0.95

Jan 14 '26Jan 14 '26confirmed±3.3%▼−3.34%×1.01

Q1 FY26Apr 14 '26confirmed±3.2%▲+2.61%×0.82

Q2 FY26Jul 14 '26confirmed±3.6%▼−5.29%×1.48

Oct 13 '26Oct 13 '26confirmed±3.4%▼−5.60%×1.63

quarterimplied−10%0+10%realized×

Oct '26±3.4%▼−5.60%×1.63

Q2 FY26±3.6%

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

Implied vs realized

Positioning

OI · 11 expiries · Oct 30 close

1.74OI · 11 expiries · Oct 30 closeP/C open interest · Jan 15 · first expiry after the report

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

5 nearer expiries

23,821+3%Nov 65d2.1910,875+21%2.19

7,542+1%Nov 1312d2.423,120+7%2.42

89,7840%Nov 2019d1.9146,992+5%1.91

2,664+216%Nov 2726d1.122,386+461%1.12

225+15%Dec 433d0.89253+13%0.89

1—Dec 1140d0.176—0.17

118,330+3%Dec 1847d1.9461,085+12%1.94

ExpiryPutsCallsP/C

5 nearer expiries

Nov 65d23,821+3%10,875+21%2.19

Nov 1312d7,542+1%3,120+7%2.42

Nov 2019d89,7840%46,992

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

Positioning

Linked exposure

scenario · straddle±9.1%

Funds 4

XLF±0.3%

REVS±0.2%

VTV±0.1%

SPY±0.0%

Customers 4

ASX±5.2%×0.56

DDS±3.9%×0.43

ADSK±2.6%×0.29

Dashed = straddle · × = co-movement · max 500dMethod 2 more funds Source: SEC filings · N-PORT · market data

Linked exposure

Revenue flow

as filedQ2 FY26

24.32%as filednet margin · revenue +0.54% QoQ · +14.30% YoY

Revenue$24.8B+0.54%

Pre-tax income$8.0B+6.81%

Net income$6.0B24.32%+1.45%

Tax$2.0B+27.06%

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

Revenue flow

Intraday

15m bars

Long dash = implied range · Oct 30 close · Hatch = extended hours · ▯ up · ▮ down · bars = volume, 15mSource: market data · 19:45 ET

Intraday

Event sensitivity

PPI ×1.44· ±1.9% vs ±1.3% · 11 releases

eventrelease day|move|up · n×base

PPIproducer prices±1.9%8 of 11×1.44

FOMCrate decision±1.6%15 of 24×1.17

NFPjobs report±1.5%3 of 10×1.14

CPIconsumer prices±1.2%5 of 11×0.91

GDPgross domestic product±1.0%14 of 20×0.78

PCEpersonal income & outlays±1.0%12 of 20×0.76

CPROFcorporate profits±1.0%8 of 12×0.74

Bar = avg |move| to ±2% · tick = ±1.3% avg day · ×base = |move| ÷ ±1.3% · min 6 releases

Earnings history

EPS 3.15 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Jul 14 '26 · confirmed	3.15	—
Q1 FY26	Apr 14 '26 · confirmed	3.06	—
Q3 FY25	Oct 14 '25 · confirmed	1.86	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod