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

Implied ±38.9%, either direction.

LYELNasdaqPharmaceutical Preparations

Lyell Immunopharma, Inc. (LYEL) earnings date, market-implied expected move, and options open interest by expiry

10.79

pre 10.79 −0.87%

Pre-market16:00 ETdelayed

Open11.06Volume104,063Mkt cap$266.6MEPS-10.64

Day10.69 – 11.0626%52-wk7.20 – 45.009%

LYEL

Lyell Immunopharma, Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±38.9%implied · report alone

6.5814.96

straddle ±39.5%

spot 10.77exp Nov 20ATM strike 11ATM straddle 5.00IV 271%

Nov 3 closereport share · term structure

Expected move

Inputs

Next report

Nov 11

after close · in 7 days

est.Q3 FY26

Calendar

Next report

Last report

+3.52%

vs ±35.4% implied · ×0.10

shaded = implied · ▲▼ = realized

Aug 6 '26 · confirmed

Implied vs realized

Largest filed tie

—

Supply chain

Largest filed tie

13F top-10 QoQ

+9.31%

shares held · 10 largest managers

13F · Jun 30 '26127d lag

87 managers

Top fund weight

0.00%

LYEL weight · IWM

N-PORTJun 30 '26

3 funds

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

Lyell Immunopharma (LYEL) is expected to report on Nov 11 after close (estimated date).

Implied vs realized

1 report

—≥ implied

Q2 FY26Aug 6 '26confirmed±35.4%▲+3.52%×0.10

quarterimplied−40%0+40%realized×

Q2 FY26±35.4%▲+3.52%×0.10

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

Implied vs realized

Positioning

OI · 4 expiries · Oct 28 close

11.35OI · 4 expiries · Oct 28 closeP/C open interest · Nov 20 · first expiry after the report

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

1,010+1%

Positioning

Linked exposure

scenario · straddle±39.5%

Funds 3

IWM±0.0%

Linked exposure

Revenue flow

as filedQ2 FY26

−1118875.00%as filednet margin · revenue +100.00% QoQ · −50.00% YoY

Revenue$4,000+100.00%

Gross profit$4,000100.00%+100.00%

Operating income−$47M−1183425.00%−6.95%

Pre-tax income−$45M−85.30%

Net income−$45M−1118875.00%−85.30%

Cost of revenue$0—

Operating expenses$47M+6.95%

Other income$3M−87.16%

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 · 16:00 ET

Intraday

Event sensitivity

FOMC ×1.08· ±4.6% vs ±4.3% · 24 releases

eventrelease day|move|up · n×base

FOMCrate decision±4.6%10 of 24×1.08

PCEpersonal income & outlays±4.3%8 of 19×0.99

GDPgross domestic product±4.0%8 of 19×0.93

PPIproducer prices±3.3%3 of 10×0.78

CPROFcorporate profits±3.3%5 of 12×0.76

NFPjobs report±3.2%7 of 10×0.75

CPIconsumer prices±2.9%4 of 10×0.67

Bar = avg |move| to ±5% · tick = ±4.3% avg day · ×base = |move| ÷ ±4.3% · min 6 releases

Earnings history

EPS -1.92 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Aug 6 '26 · confirmed	-1.92	—
Q1 FY26	—	-1.10	—
Q3 FY25	—	-2.13	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod