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

Implied ±20.6%, either direction.

OBIONasdaqSurgical & Medical Instruments & Apparatus

Orchestra BioMed Holdings, Inc. (OBIO) earnings date, market-implied expected move, and options open interest by expiry

5.55

−0.14 · −2.40%

post 5.55 +0.01%

Closed16:00 ET

Open5.82Volume317,495Mkt cap$342.0MEPS-0.83

Day5.55 – 5.870%52-wk3.46 – 6.5069%

OBIO

Orchestra BioMed Holdings, Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±20.6%implied · report alone

4.426.70

straddle ±21.4%

spot 5.56exp Nov 20ATM strike 5ATM straddle 1.40IV 146%

Nov 3 closereport share · term structure

Expected move

Inputs

Next report

Nov 12

in 8 days

est.Q3 FY26

Calendar

Next report

Last report

—

Largest filed tie

17.00%

of OBIO revenue · Ligand Pharmaceuticals Incorporated ("Ligand")

customerOBIO 10-K

Supply chain

Largest filed tie

13F top-10 QoQ

+22.61%

shares held · 10 largest managers

13F · Jun 30 '26127d lag

77 managers

Top fund weight

0.00%

OBIO weight · IWM

N-PORTJun 30 '26

3 funds

Orchestra BioMed (OBIO) is expected to report on Nov 12 (estimated date).

Implied vs realized

No reported quarters.

Implied vs realized

Positioning

OI · 2 expiries · Oct 30 close

0.30OI · 2 expiries · Oct 30 closeP/C open interest · Nov 20 · first expiry after the report

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

2390%Nov 2016d7980%

400%Feb 19107d0.12339+3%0.12

ExpiryPutsCallsP/C

Nov 2016d2390%7980%0.30

Feb 19107d400%339+3%0.12

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

Positioning

Linked exposure

scenario · straddle±21.4%

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

−26994.32%as filednet margin · revenue −20.00% QoQ · −89.47% YoY

Revenue$88,000−20.00%

Gross profit$63,00071.59%−19.23%

Operating income−$22M−25404.55%−1.27%

Pre-tax income−$24M−14.81%

Net income−$24M−26994.32%−14.81%

Cost of revenue$25,000−21.88%

Operating expenses$22M+1.20%

Other expense−$1M−201.01%

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 ×1.10· ±4.2% vs ±3.8% · 24 releases

eventrelease day|move|up · n×base

FOMCrate decision±4.2%10 of 24×1.10

PCEpersonal income & outlays±3.7%9 of 19×0.98

GDPgross domestic product±3.7%9 of 19×0.96

NFPjobs report±3.5%4 of 10×0.91

PPIproducer prices±2.8%6 of 10×0.74

CPIconsumer prices±2.6%5 of 10×0.68

CPROFcorporate profits±2.4%5 of 12×0.62

Bar = avg |move| to ±5% · tick = ±3.8% avg day · ×base = |move| ÷ ±3.8% · min 6 releases

Earnings history

EPS -0.38 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	—	-0.38	—
Q1 FY26	—	-0.33	—
Q3 FY25	—	-0.40	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod