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

Implied ±8.1%, either direction · provisional.

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

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

CBNYSEFire, Marine & Casualty Insurance

Chubb Ltd (CB) earnings date, market-implied expected move, and options open interest by expiry

364.72

Closed18:05 ET

Open365.01Volume1.6MMkt cap$139.1BP/E12.65EPS28.83Div yield1.09%

Day364.04 – 368.6215%52-wk270.02 – 369.0096%

Chubb Ltd

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±8.1%implied · straddle

334.71393.53

spot 364.12exp Feb 19ATM strike 365ATM straddle 34.60IV 22%

Oct 30 closeprovisional

Expected move

Inputs

Next report

Feb 2

after close · in 94 days

est.Q4 FY26

Calendar

Next report

Last report

−0.78%

vs ±4.7% implied · ×0.17

shaded = implied · ▲▼ = realized

Oct 20 '26 · confirmed

Implied vs realized

Linked news

2dNSP · customerInsperity posts net income of $36 million, diluted EPS $0.95 for nine months

News

Largest filed tie

13F top-10 QoQ

+1.06%

shares held · 10 largest managers

13F · Jun 30 '26123d lag

2,166 managers

Top fund weight

1.62%

CB weight · XLF

N-PORTJun 30 '26

11 funds

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

Chubb (CB) is expected to report on Feb 2 after close (estimated date).

Implied vs realized

8 reports

1 of 8≥ implied

avg implied: ±4.4%
avg realized: ±2.4%

Jan 28 '25Jan 28 '25confirmed±4.6%▲+1.31%×0.29

Apr 22 '25Apr 22 '25confirmed±5.0%▼−2.04%×0.41

Jul 22 '25Jul 22 '25confirmed±3.9%▼−3.08%×0.80

Oct 21 '25Oct 21 '25confirmed±4.3%▲+2.70%×0.63

Feb 3 '26Feb 3 '26confirmed±3.6%▲+5.13%×1.43

Q1 FY26Apr 21 '26confirmed±4.1%▼−1.17%×0.28

Q2 FY26Jul 21 '26confirmed±5.2%▼−3.26%×0.62

Q3 FY26Oct 20 '26confirmed±4.7%▼−0.78%×0.17

quarterimplied−10%0+10%realized×

Q3 FY26±4.7%▼−0.78%×0.17

Q2 FY26±5.2%

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

1.16OI · 5 expiries · Oct 30 closeP/C open interest · Feb 19 · first expiry after the report

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

6,5780%Nov 2020d0.877,5950%0.87

2,336+1%Dec 1848d0.763,073+1%0.76

5,683+6%Jan 1576d0.936,1360%0.93

report · Feb 2 · after close · est.

4510%Feb 19111d3880%

1,141+8%Mar 19139d0.512,254+1%0.51

ExpiryPutsCallsP/C

Nov 2020d6,5780%7,5950%0.87

Dec 1848d2,336+1%3,073+1%0.76

Jan 1576d5,683+6%6,1360%0.93

report · Feb 2 · after close · est.

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

Positioning

Linked exposure

scenario · straddle±8.1%

Funds 4

XLF±0.1%

VIG±0.0%

VTV±0.0%

JEPI±0.0%

Dashed = straddleMethod 2 more funds Source: SEC filings · N-PORT · market data

Linked exposure

Revenue flow

as filedQ3 FY26

16.89%as filednet margin · revenue +2.40% QoQ · +0.29% YoY

Revenue$16.2B+2.40%

Pre-tax income$3.4B−6.13%

Net income$2.7B16.89%−5.07%

Tax$666M−10.24%

Source: SEC filings · standardized · QE Sep 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 · 18:00 ET

Intraday

Event sensitivity

NFP ×1.68· ±1.5% vs ±0.9% · 10 releases

eventrelease day|move|up · n×base

NFPjobs report±1.5%3 of 10×1.68

CPIconsumer prices±1.3%3 of 10×1.49

PPIproducer prices±1.0%5 of 10×1.16

GDPgross domestic product±1.0%13 of 19×1.09

PCEpersonal income & outlays±0.9%12 of 19×1.00

CPROFcorporate profits±0.8%9 of 12×0.88

FOMCrate decision±0.7%10 of 24×0.85

Bar = avg |move| to ±2% · tick = ±0.9% avg day · ×base = |move| ÷ ±0.9% · min 6 releases

Earnings history

EPS 7.30 · consensus —

Quarter	Reported	EPS	Consensus
Q3 FY26	Oct 20 '26 · confirmed	7.30	—
Q2 FY26	Jul 21 '26 · confirmed	7.30	—
Q1 FY26	Apr 21 '26 · confirmed	5.88	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod