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

Implied ±15.9%, either direction.

How often does Mercury Systems move more than the options market prices?

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

MRCYNasdaqElectronic Components & Accessories

Mercury Systems Inc (MRCY) earnings date, market-implied expected move, and options open interest by expiry

77.54

Pre-market16:43 ETdelayed

Open80.63Volume543,588Mkt cap$4.7BEPS-0.50

Day76.34 – 81.1325%52-wk65.04 – 128.4520%

MRCY

Mercury Systems Inc

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±15.9%implied · report alone

8Q avg ±11.4%·×1.40·rich

65.2189.87

straddle ±16.0%

spot 77.54exp Nov 20ATM strike 77.5ATM straddle 14.60IV 99%

Oct 30 closereport share · term structure

Expected move

Inputs

Next report

Nov 3

after close · in 1 day

est.Q1 FY27

Calendar

Next report

Last report

−3.57%

vs ±12.5% implied · ×0.29

shaded = implied · ▲▼ = realized

Aug 18 '26 · confirmed

Implied vs realized

Largest filed tie

15.00%

of MRCY revenue · RTX

customerMRCY 10-K

Supply chain

Largest filed tie

13F top-10 QoQ

+3.70%

shares held · 10 largest managers

13F · Jun 30 '26125d lag

393 managers

Top fund weight

0.21%

MRCY weight · IWM

N-PORTJun 30 '26

4 funds

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

Mercury Systems (MRCY) is expected to report on Nov 3 after close (estimated date).

Implied vs realized

8 reports

3 of 8≥ implied

avg implied: ±11.2%
avg realized: ±11.4%

Feb 4 '25Feb 4 '25confirmed±10.4%▲+18.51%×1.79

Apr 1 '25Apr 1 '25confirmed±7.9%▲+0.93%×0.12

May 6 '25May 6 '25confirmed±11.2%▼−4.88%×0.43

Aug 11 '25Aug 11 '25confirmed±11.4%▲+26.95%×2.37

Nov 4 '25Nov 4 '25confirmed±11.3%▲+3.28%×0.29

Q2 FY26Feb 3 '26confirmed±12.4%▼−22.32%×1.80

Q3 FY26May 5 '26confirmed±12.3%▲+10.49%×0.85

Q4 FY26Aug 18 '26confirmed±12.5%▼−3.57%×0.29

quarterimplied−30%0+30%realized×

Q4 FY26±12.5%▼−3.57%×0.29

Q3 FY26±12.3%▲+10.49%×0.85

Q2 FY26±12.4%▼−22.32%×1.80

Nov '25±11.3%▲+3.28%×0.29

Aug '25±11.4%▲+26.95%×2.37

May '25±11.2%▼−4.88%×0.43

2 older reports

Apr '25±7.9%▲+0.93%×0.12

Feb '25±10.4%▲+18.51%×1.79

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

Implied vs realized

Positioning

OI · 5 expiries · Oct 30 close

0.41OI · 5 expiries · Oct 30 closeP/C open interest · Nov 20 · first expiry after the report

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

788+2%Nov 2018d1,908+20%

4060%Dec 1846d0.49827+1%0.49

225−1%Jan 1574d0.221,0260%0.22

109−19%Mar 19137d0.75145+10%0.75

2140%Apr 16165d1.39154+8%1.39

ExpiryPutsCallsP/C

Nov 2018d788+2%1,908+20%0.41

Dec 1846d4060%827+1%0.49

Jan 1574d225−1%1,0260%0.22

Mar 19137d109−19%145+10%0.75

Apr 16165d2140%154+8%1.39

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

Positioning

Linked exposure

scenario · straddle±16.0%

Funds 4

IWM±0.0%

UWM±0.0%

VTI±0.0%

VT±0.0%

Suppliers 3

INTC±6.0%×0.38

AMD±5.8%×0.36

NVDA±3.4%×0.21

Customers 3

BAESY±3.3%×0.21

BA±2.9%×0.18

RTX±2.7%×0.17

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

Linked exposure

Revenue flow

derived from FYQ4 FY26

0.28%derived from FYnet margin · revenue +22.91% QoQ · +6.11% YoY

Revenue

$290M+22.91% QoQ

Gross profit

$89M+28.29% QoQ

30.57% margin

Operating income

$14M+176.58% QoQ

4.99% margin

Pre-tax income

$8M+390.03% QoQ

Net income

$798,000+127.89% QoQ

0.28% margin

Cost of revenue

$201M+20.69% QoQ

Operating expenses

$74M+16.14% QoQ

SG&A $48M

R&D $16M

Other operating $10M

Other expense

$7M

Tax

$7M+3920.11% QoQ

Revenue$290M+22.91%

Gross profit

$89M+28.29%

30.57% margin

Operating income

$14M+176.58%

4.99% margin

Pre-tax income

$8M+390.03%

Net income

$798,000+127.89%

0.28% margin

Cost of revenue

$201M+20.69%

Operating expenses

$74M+16.14%

SG&A $48M

R&D $16M

Other operating $10M

Other expense

$7M

Tax$7M+3920.11%

flow · deduction · signed % = QoQDerived: FY − Q1–Q3 · QE Jul 3 '26 · width = $

Revenue flow

Intraday

15m bars

Long dash = implied range · Oct 30 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 16:30 ET

Intraday

Event sensitivity

NFP ×1.40· ±3.0% vs ±2.1% · 10 releases

eventrelease day|move|up · n×base

NFPjobs report±3.0%5 of 10×1.40

PCEpersonal income & outlays±2.9%12 of 20×1.37

GDPgross domestic product±2.6%14 of 20×1.21

PPIproducer prices±2.5%5 of 11×1.19

CPROFcorporate profits±2.2%8 of 12×1.01

FOMCrate decision±2.1%11 of 24×0.98

CPIconsumer prices±1.4%7 of 11×0.66

Bar = avg |move| to ±3% · tick = ±2.1% avg day · ×base = |move| ÷ ±2.1% · min 6 releases

Earnings history

EPS 0.01 · consensus —

Quarter	Reported	EPS	Consensus
Q4 FY26	Aug 18 '26 · confirmed	0.01	—
Q3 FY26	May 5 '26 · confirmed	-0.04	—
Q2 FY26	Feb 3 '26 · confirmed	-0.26	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod