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

Implied ±12.4%, either direction.

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

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

LMNDNYSEFire, Marine & Casualty Insurance

Lemonade, Inc. (LMND) earnings date, market-implied expected move, and options open interest by expiry

45.91

Closed19:59 ET

Open41.50Volume1.5MMkt cap$3.2BEPS-2.24

Day41.35 – 46.3392%52-wk39.60 – 99.9010%

LMND

Lemonade, Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±12.4%implied · straddle

8Q avg ±17.2%·×0.72·cheap

36.2046.48

spot 41.34exp Nov 6ATM strike 41.5ATM straddle 6.05IV 200%

Nov 3 close

Expected move

Inputs

Next report

Today

before open

confirmedQ3 FY26

Calendar

Next report

Last report

−23.72%

vs ±13.3% implied · ×1.78

shaded = implied · ▲▼ = realized

Jul 29 '26 · confirmed

Implied vs realized

Linked news

3hAMZN · supplierKyndryl Uses Agentic AI to Accelerate Enterprise Modernization with AWS
10hAAPL · customerApple cements its status as tech’s biggest heavyweight with the stock’s best day in over a year
14hGOOGL · customerWatch out for Big Tech companies like Meta and Alphabet issuing more shares and diluting your stock ownership

News

Largest filed tie

13F top-10 QoQ

+8.61%

shares held · 10 largest managers

13F · Jun 30 '26128d lag

343 managers

Top fund weight

0.14%

LMND weight · IWM

N-PORTJun 30 '26

4 funds

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

Lemonade (LMND) reports on Nov 5 before open (confirmed date).

Implied vs realized

8 reports

5 of 8≥ implied

avg implied: ±13.4%
avg realized: ±17.2%

Oct 30 '24Oct 30 '24confirmed±13.1%▲+26.77%×2.04

Feb 25 '25Feb 25 '25confirmed±18.2%▼−1.59%×0.09

May 6 '25May 6 '25confirmed±12.6%▲+1.03%×0.08

Aug 5 '25Aug 5 '25confirmed±12.9%▲+29.54%×2.29

Q3 FY25Nov 5 '25confirmed±12.7%▲+34.21%×2.68

Q4 FY25Feb 19 '26confirmed±13.0%▼−6.18%×0.48

Apr 29 '26Apr 29 '26confirmed±11.6%▼−14.85%×1.29

Q2 FY26Jul 29 '26confirmed±13.3%▼−23.72%×1.78

quarterimplied−35%0+35%realized×

Q2 FY26±13.3%▼−23.72%×1.78

Apr '26±11.6%

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

Implied vs realized

Positioning

OI · 8 expiries · Oct 29 close

0.81OI · 8 expiries · Oct 29 closeP/C open interest · Nov 6 · first expiry after the report

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

2,058+539%Nov 61d2,531+730%

509+133%Nov 138d0.79643+350%0.79

2,799+92%Nov 2015d0.733,850+67%0.73

64+3100%Nov 2722d9.147—9.14

51—Dec 429d1.3837—1.38

3 later expiries

5,6180%Dec 1843d0.4412,699+4%0.44

15,056−5%Jan 1571d0.43

ExpiryPutsCallsP/C

Nov 61d2,058+539%2,531+730%0.81

Nov 138d509+133%643+350%0.79

Nov 2015d2,799+92%3,850+67%0.73

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

Positioning

Linked exposure

scenario · straddle±12.4%

Funds 4

IWM±0.0%

UWM±0.0%

VTI±0.0%

VT±0.0%

Suppliers 1

AMZN±1.4%×0.11

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

Linked exposure

Revenue flow

as filedQ2 FY26

−14.74%as filednet margin · revenue +79.40% YoY

Revenue$294M—

Pre-tax income−$42M—

Net income−$43M−14.74%—

Tax$2M—

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

Revenue flow

Intraday

15m bars

Long dash = implied range · Nov 3 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 19:45 ET

Intraday

Event sensitivity

FOMC ×1.56· ±5.5% vs ±3.5% · 24 releases

eventrelease day|move|up · n×base

FOMCrate decision±5.5%11 of 24×1.56

PPIproducer prices±3.7%4 of 10×1.06

GDPgross domestic product±3.4%9 of 19×0.97

CPROFcorporate profits±3.3%4 of 12×0.94

PCEpersonal income & outlays±3.1%10 of 19×0.89

CPIconsumer prices±2.6%4 of 10×0.74

NFPjobs report±2.4%5 of 10×0.69

Bar = avg |move| to ±6% · tick = ±3.5% avg day · ×base = |move| ÷ ±3.5% · min 6 releases

Earnings history

EPS -0.56 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Jul 29 '26 · confirmed	-0.56	—
Q4 FY25	Feb 19 '26 · confirmed	-0.27	—
Q3 FY25	Nov 5 '25 · confirmed	-0.51	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod