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

Implied ±6.1%, either direction.

IMCRNasdaqManufacturing

Immunocore Holdings plc (IMCR) earnings date, market-implied expected move, and options open interest by expiry

30.46

−0.81 · −2.60%

post 30.46 0.00%

Closed16:00 ET

Open31.25Volume290,233Mkt cap$1.6BEPS-0.37

Day30.46 – 31.250%52-wk27.50 – 40.7122%

IMCR

Immunocore Holdings plc

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±6.1%implied · report alone

28.6332.35

straddle ±12.1%

spot 30.49exp Nov 20ATM strike 30ATM straddle 4.32IV 74%

Oct 30 closereport share · term structure

Expected move

Inputs

Next report

Nov 5

before open · in 4 days

est.Q3 FY26

Calendar

Next report

Last report

—

Largest filed tie

—

13F top-10 QoQ

+2.32%

shares held · 10 largest managers

13F · Jun 30 '26124d lag

135 managers

Top fund weight

—

Immunocore (IMCR) is expected to report on Nov 5 before open (estimated date).

Implied vs realized

No reported quarters.

Implied vs realized

Positioning

OI · 3 expiries · Oct 30 close

0.02OI · 3 expiries · Oct 30 closeP/C open interest · Nov 20 · first expiry after the report

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

270%Nov 2019d1,328+1%

3440%Dec 1847d0.113,2340%0.11

9980%Jan 1575d2.21451+9%2.21

ExpiryPutsCallsP/C

Nov 2019d270%1,328+1%0.02

Dec 1847d3440%3,2340%0.11

Jan 1575d9980%451+9%2.21

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

Positioning

Linked exposure

No linked exposure.

Linked exposure

Revenue flow

as filedQ2 FY26

−0.70%as filednet margin · revenue +8.67% QoQ · +18.34% YoY

Revenue$116M+8.67%

Gross profit$115M99.06%+8.09%

Operating income−$3M−2.58%−141.15%

Pre-tax income−$514,000−103.87%

Net income−$808,000−0.70%−106.23%

Cost of revenue$1M+150.69%

Operating expenses$118M+19.07%

Tax$294,000−2.33%

Other income$2M−58.58%

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 · ▮ downSource: market data · 16:00 ET

Intraday

Event sensitivity

FOMC ×1.20· ±2.4% vs ±2.0% · 25 releases

eventrelease day|move|up · n×base

FOMCrate decision±2.4%10 of 25×1.20

PPIproducer prices±2.1%6 of 11×1.07

NFPjobs report±2.0%4 of 10×1.01

GDPgross domestic product±2.0%8 of 20×1.00

CPROFcorporate profits±1.9%6 of 12×0.96

CPIconsumer prices±1.9%6 of 11×0.96

PCEpersonal income & outlays±1.6%5 of 20×0.81

Bar = avg |move| to ±3% · tick = ±2.0% avg day · ×base = |move| ÷ ±2.0% · min 6 releases

Earnings history

EPS -0.02 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	—	-0.02	—
Q1 FY26	—	0.25	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod