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

Implied ±27.8%, either direction · provisional.

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

4 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

39.66

−1.82 · −4.38%

post 39.66 0.00%

After hours16:00 ETdelayed

Open41.07Volume2.9MMkt cap$3.2BEPS-2.24

Day39.60 – 42.312%52-wk39.60 – 99.900%

LMND

Lemonade, Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±27.8%implied · straddle

29.9653.00

spot 41.48exp Mar 19ATM strike 40ATM straddle 13.55IV 69%

Nov 5 closeprovisional

Expected move

Inputs

Next report

Feb 18

after close · in 104 days

est.Q4 FY26

Calendar

Next report

Last report

−9.63%

vs ±10.6% implied · ×0.90

shaded = implied · ▲▼ = realized

Nov 5 '26 · confirmed

Implied vs realized

Linked news

8hAAPL · customerHere are Friday's biggest analyst calls: Nvidia, SpaceX, Netflix, Apple, TripAdvisor, Molson Coors & more
23hMETA · supplierMeta Platforms issues $3,250,000,000 5.850% notes due 2031 and four other USD tranches
1dGOOGL · customerAlphabet closes €6 billion euro-denominated senior notes offering

News

Largest filed tie

13F top-10 QoQ

+8.61%

shares held · 10 largest managers

13F · Jun 30 '26129d 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) is expected to report on Feb 18 after close (estimated date).

Implied vs realized

8 reports

4 of 8≥ implied

avg implied: ±13.1%
avg realized: ±15.1%

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

Q3 FY26Nov 5 '26confirmed±10.6%▼−9.63%×0.90

quarterimplied−35%0+35%realized×

Q3 FY26±10.6%▼−9.63%×0.90

Q2 FY26±13.3%

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

Implied vs realized

Positioning

OI · 8 expiries · Nov 4 close

0.59OI · 8 expiries · Nov 4 closeP/C open interest · Mar 19 · first expiry after the report

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

5 nearer expiries

4,532+120%Nov 60d0.686,707+165%0.68

938+84%Nov 137d1.21776+21%1.21

3,555+27%Nov 2014d0.804,442+15%0.80

376+488%Nov 2721d1.29292+4071%1.29

133+161%Dec 428d1.06126+241%1.06

5,244−7%Dec 1842d0.3614,378+13%0.36

14,950−1%Jan 1570d0.4136,129+3%0.41

report · Feb 18 · after close · est.

ExpiryPutsCallsP/C

5 nearer expiries

Nov 60d4,532+120%6,707+165%0.68

Nov 137d938+84%776+21%1.21

Nov 2014d3,555+27%4,442

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

Positioning

Linked exposure

scenario · straddle±27.8%

Funds 4

IWM±0.0%

UWM±0.0%

VTI±0.0%

VT±0.0%

Suppliers 1

AMZN±3.1%×0.11

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

Linked exposure

Revenue flow

as filedQ3 FY26

−13.00%as filednet margin · revenue +14.16% QoQ · +72.80% YoY

Revenue$336M+14.16%

Pre-tax income−$43M−3.35%

Net income−$44M−13.00%−0.69%

Tax$500,000−68.75%

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

Revenue flow

Intraday

15m bars

Long dash = implied range · Nov 5 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 16:00 ET

Intraday

Event sensitivity

FOMC ×1.60· ±5.5% vs ±3.5% · 24 releases

eventrelease day|move|up · n×base

FOMCrate decision±5.5%10 of 24×1.60

PPIproducer prices±3.8%5 of 11×1.10

CPROFcorporate profits±3.3%4 of 12×0.95

GDPgross domestic product±3.3%10 of 20×0.95

PCEpersonal income & outlays±3.0%11 of 20×0.87

CPIconsumer prices±2.5%4 of 11×0.73

NFPjobs report±2.4%5 of 10×0.71

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
Q3 FY26	Nov 5 '26 · confirmed	-0.56	—
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