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

Implied ±42.1%, either direction.

STRONasdaqBiological Products, (No Diagnostic Substances)

Sutro Biopharma, Inc. (STRO) earnings date, market-implied expected move, and options open interest by expiry

9.70

+0.19 · +2.01%

post 10.03 +3.39%

Closed16:23 ET

Open10.05Volume127,756Mkt cap$157.7M

Day9.48 – 10.0596%52-wk7.15 – 43.858%

STRO

Sutro Biopharma, Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±42.1%implied · report alone

5.7514.13

straddle ±43.0%

spot 9.94exp Nov 20ATM strike 10ATM straddle 5.03IV 306%

Nov 4 closereport share · term structure

Expected move

Inputs

Next report

Nov 5

after close · in 1 day

est.Q3 FY26

Calendar

Next report

Last report

−14.94%

vs ±20.6% implied · ×0.73

shaded = implied · ▲▼ = realized

Aug 12 '26 · confirmed

Implied vs realized

Largest filed tie

—

Supply chain

Largest filed tie

13F top-10 QoQ

—

Top fund weight

0.01%

STRO weight · IWM

N-PORTJun 30 '26

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

Sutro Biopharma (STRO) is expected to report on Nov 5 after close (estimated date).

Implied vs realized

1 report

—≥ implied

Q2 FY26Aug 12 '26confirmed±20.6%▼−14.94%×0.73

quarterimplied−25%0+25%realized×

Q2 FY26±20.6%▼−14.94%×0.73

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

Implied vs realized

Positioning

OI · 2 expiries · Nov 3 close

0.08OI · 2 expiries · Nov 3 closeP/C open interest · Nov 20 · first expiry after the report

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

65−2%Nov 2016d7820%

300%Feb 19107d1.76170%1.76

ExpiryPutsCallsP/C

Nov 2016d65−2%7820%0.08

Feb 19107d300%170%1.76

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

Positioning

Linked exposure

scenario · straddle±43.0%

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

−391.64%as filednet margin · revenue −32.25% QoQ · −84.57% YoY

Revenue$10M−32.25%

Gross profit$10M100.00%−32.25%

Operating income−$30M−303.77%−0.78%

Pre-tax income−$39M−0.09%

Net income−$39M−391.64%−0.13%

Cost of revenue$0—

Operating expenses$40M−10.08%

Tax$1,000+106.67%

Other expense−$9M+2.25%

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

Revenue flow

Intraday

15m bars

Long dash = implied range · Nov 4 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 16:15 ET

Intraday

Event sensitivity

CPI ×1.13· ±5.0% vs ±4.4% · 11 releases

eventrelease day|move|up · n×base

CPIconsumer prices±5.0%3 of 11×1.13

FOMCrate decision±4.7%10 of 24×1.06

PCEpersonal income & outlays±4.3%7 of 19×0.97

PPIproducer prices±4.2%5 of 10×0.94

NFPjobs report±4.0%6 of 10×0.90

GDPgross domestic product±3.5%8 of 19×0.79

CPROFcorporate profits±1.2%3 of 12×0.27

Bar = avg |move| to ±6% · tick = ±4.4% avg day · ×base = |move| ÷ ±4.4% · min 6 releases

Earnings history

EPS -2.33 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Aug 12 '26 · confirmed	-2.33	—
Q1 FY26	—	-2.94	—
Q3 FY25	—	-0.67	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod