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

Implied ±5.2%, either direction.

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

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

CINYSEHospital & Medical Service Plans

Cigna Group (CI) earnings date, market-implied expected move, and options open interest by expiry

298.10

−0.31 · −0.10%

post 298.13 +0.01%

Closed16:00 ET

Open301.00Volume1.9MMkt cap$78.8BP/E12.27EPS24.30Div yield2.08%

Day297.77 – 303.007%52-wk234.20 – 316.2778%

Cigna Group

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±5.2%implied · report alone

8Q avg ±5.4%·×0.95·fair

282.80313.66

straddle ±5.6%

spot 298.23exp Nov 6ATM strike 297.5ATM straddle 19.65IV 60%

Oct 30 closereport share · term structure

Expected move

Inputs

Next report

Nov 5

before open · in 5 days

est.Q3 FY26

Calendar

Next report

Last report

−2.97%

vs ±5.9% implied · ×0.51

shaded = implied · ▲▼ = realized

Jul 30 '26 · confirmed

Implied vs realized

Largest filed tie

19.00%

of CI revenue · Single pharmacy benefit client

customerCI 10-K

Supply chain

Largest filed tie

13F top-10 QoQ

−1.90%

shares held · 10 largest managers

13F · Jun 30 '26124d lag

1,701 managers

Top fund weight

1.27%

CI weight · XLV

N-PORTJun 30 '26

10 funds

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

Cigna (CI) is expected to report on Nov 5 before open (estimated date).

Implied vs realized

8 reports

3 of 8≥ implied

avg implied: ±4.9%
avg realized: ±5.4%

Oct 31 '24Oct 31 '24confirmed±5.2%▲+0.61%×0.12

Jan 30 '25Jan 30 '25confirmed±4.5%▼−6.70%×1.49

May 2 '25May 2 '25confirmed±4.2%▼−0.13%×0.03

Jul 31 '25Jul 31 '25confirmed±4.2%▼−10.23%×2.44

Oct 30 '25Oct 30 '25confirmed±4.4%▼−17.39%×3.98

Feb 5 '26Feb 5 '26confirmed±5.7%▲+4.72%×0.82

Q1 FY26Apr 30 '26confirmed±5.2%▼−0.60%×0.12

Q2 FY26Jul 30 '26confirmed±5.9%▼−2.97%×0.51

quarterimplied−20%0+20%realized×

Q2 FY26±5.9%▼−2.97%×0.51

Q1 FY26±5.2%

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

Implied vs realized

Positioning

OI · 10 expiries · Oct 30 close

0.17OI · 10 expiries · Oct 30 closeP/C open interest · Nov 6 · first expiry after the report

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

561+30%Nov 66d3,213+3%

507−10%Nov 1313d3.27155+7%3.27

1,897−1%Nov 2020d0.862,2100%0.86

97+45%Nov 2727d0.66146+115%0.66

15+7%Dec 434d5.003+50%5.00

5 later expiries

2—Dec 1141d—0——

3,7120%Dec 1848d1.20

ExpiryPutsCallsP/C

Nov 66d561+30%3,213+3%0.17

Nov 1313d507−10%155+7%3.27

Nov 2020d1,897−1%2,2100%0.86

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

Positioning

Linked exposure

scenario · straddle±5.6%

Funds 4

XLV±0.1%

REVS±0.1%

VTV±0.0%

RSP±0.0%

Customers 1

CNC±3.5%×0.63

Dashed = straddle · × = co-movement · max 499dMethod 2 more funds Source: SEC filings · N-PORT · market data

Linked exposure

Revenue flow

as filedQ2 FY26

2.62%as filednet margin · revenue +4.13% QoQ · +6.51% YoY

Revenue$71.6B+4.13%

Pre-tax income$2.3B−0.57%

Net income$1.9B2.62%+0.75%

Tax$382M−6.60%

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 · 16:00 ET

Intraday

Event sensitivity

NFP ×1.72· ±2.1% vs ±1.2% · 10 releases

eventrelease day|move|up · n×base

NFPjobs report±2.1%6 of 10×1.72

PCEpersonal income & outlays±1.8%11 of 19×1.42

GDPgross domestic product±1.6%9 of 19×1.31

CPROFcorporate profits±1.2%7 of 12×1.00

FOMCrate decision±1.2%15 of 24×0.97

CPIconsumer prices±1.1%5 of 10×0.92

PPIproducer prices±0.7%6 of 10×0.58

Bar = avg |move| to ±3% · tick = ±1.2% avg day · ×base = |move| ÷ ±1.2% · min 6 releases

Earnings history

EPS 6.29 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Jul 30 '26 · confirmed	6.29	—
Q1 FY26	Apr 30 '26 · confirmed	6.26	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod