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

Implied ±18.1%, either direction.

How often does James River move more than the options market prices?

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

JRVRNasdaqFire, Marine & Casualty Insurance

James River Group Holdings, Inc. (JRVR) earnings date, market-implied expected move, and options open interest by expiry

3.95

+0.09 · +2.34%

Regular session16:00 ET

Open4.02Volume408,610Mkt cap$182.6MP/E7.90EPS0.50Div yield1.01%

Day3.93 – 4.0223%52-wk3.36 – 7.1516%

JRVR

James River Group Holdings, Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±18.1%implied · report alone

8Q avg ±13.7%·×1.32·rich

3.244.66

straddle ±25.8%

spot 3.95exp Nov 20ATM strike 5ATM straddle 1.20IV 108%

Nov 4 closereport share · term structure

Expected move

Inputs

Next report

Nov 9

after close · in 4 days

est.Q3 FY26

Calendar

Next report

Last report

−7.60%

vs ±13.3% implied · ×0.57

shaded = implied · ▲▼ = realized

Aug 10 '26 · confirmed

Implied vs realized

Largest filed tie

—

Supply chain

13F top-10 QoQ

+4.46%

shares held · 10 largest managers

13F · Jun 30 '26128d lag

116 managers

Top fund weight

0.01%

JRVR weight · IWM

N-PORTJun 30 '26

3 funds

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

James River (JRVR) is expected to report on Nov 9 after close (estimated date).

Implied vs realized

8 reports

2 of 8≥ implied

avg implied: ±17.9%
avg realized: ±13.7%

Nov 12 '24Nov 12 '24confirmed±14.8%▼−25.08%×1.69

Mar 3 '25Mar 3 '25confirmed±15.6%▼−28.37%×1.82

May 5 '25May 5 '25confirmed±20.2%▼−1.83%×0.09

Aug 4 '25Aug 4 '25confirmed±12.0%▲+1.27%×0.11

Q3 FY25Nov 3 '25confirmed±22.3%▲+15.09%×0.68

Q1 FY26Mar 2 '26confirmed±14.9%▼−6.45%×0.43

May 4 '26May 4 '26confirmed±30.1%▼−23.57%×0.78

Q2 FY26Aug 10 '26confirmed±13.3%▼−7.60%×0.57

quarterimplied−35%0+35%realized×

Q2 FY26±13.3%▼−7.60%×0.57

May '26±30.1%

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

Implied vs realized

Positioning

OI · 2 expiries · Nov 4 close

0.33OI · 2 expiries · Nov 4 closeP/C open interest · Nov 20 · first expiry after the report

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

3200%Nov 2015d9750%

6750%Feb 19106d2.322910%2.32

ExpiryPutsCallsP/C

Nov 2015d3200%9750%0.33

Feb 19106d6750%2910%2.32

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

Positioning

Linked exposure

scenario · straddle±25.8%

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

4.11%as filednet margin · revenue +6.82% QoQ · −7.87% YoY

Revenue$156M+6.82%

Pre-tax income$8M+179.56%

Net income$6M4.11%+171.71%

Tax$2M+198.93%

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

Revenue flow

Intraday

15m bars

Long dash = implied range · Nov 4 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 16:00 ET

Intraday

Event sensitivity

CPI ×1.32· ±2.9% vs ±2.2% · 10 releases

eventrelease day|move|up · n×base

CPIconsumer prices±2.9%6 of 10×1.32

FOMCrate decision±2.1%8 of 24×0.93

GDPgross domestic product±2.0%8 of 19×0.89

PPIproducer prices±1.9%4 of 10×0.86

PCEpersonal income & outlays±1.7%8 of 19×0.78

CPROFcorporate profits±1.5%5 of 12×0.70

NFPjobs report±1.5%3 of 10×0.66

Bar = avg |move| to ±3% · tick = ±2.2% avg day · ×base = |move| ÷ ±2.2% · min 6 releases

Earnings history

EPS 0.10 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Aug 10 '26 · confirmed	0.10	—
Q1 FY26	Mar 2 '26 · confirmed	-0.23	—
Q3 FY25	Nov 3 '25 · confirmed	-0.02	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod