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

Implied ±8.1%, either direction · provisional.

THGNYSEFire, Marine & Casualty Insurance

Hanover Insurance Group, Inc. (THG) earnings date, market-implied expected move, and options open interest by expiry

241.63

+6.51 · +2.77%

post 241.63 0.00%

Closed16:00 ET

Open239.76Volume431,224Mkt cap$8.4BP/E11.32EPS21.35Div yield1.57%

Day239.15 – 242.1084%52-wk163.54 – 242.5499%

THG

Hanover Insurance Group, Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±8.1%implied · straddle

222.54261.64

spot 242.09exp Feb 19ATM strike 240ATM straddle 23.00IV 22%

Oct 30 closeprovisional

Expected move

Inputs

Next report

Feb 2

after close · in 93 days

est.Q4 FY26

Calendar

Next report

Last report

+0.80%

vs ±4.8% implied · ×0.17

shaded = implied · ▲▼ = realized

Oct 28 '26 · confirmed

Implied vs realized

Largest filed tie

—

Supply chain

Largest filed tie

13F top-10 QoQ

+6.24%

shares held · 10 largest managers

13F · Jun 30 '26124d lag

545 managers

Top fund weight

0.21%

THG weight · MDY

N-PORTJun 30 '26

5 funds

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

Hanover Insurance (THG) is expected to report on Feb 2 after close (estimated date).

Implied vs realized

2 reports

—≥ implied

Q2 FY26Jul 28 '26confirmed—▲+3.65%—

Oct 28 '26Oct 28 '26confirmed±4.8%▲+0.80%×0.17

quarterimplied−5%0+5%realized×

Oct '26±4.8%▲+0.80%×0.17

Q2 FY26—▲+3.65%—

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

Implied vs realized

Positioning

OI · 3 expiries · Oct 27 close

0.70OI · 3 expiries · Oct 27 closeP/C open interest · Feb 19 · first expiry after the report

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

700%Nov 2019d0.53131−1%0.53

0—Dec 1847d0.0060%0.00

report · Feb 2 · after close · est.

230%Feb 19110d330%

ExpiryPutsCallsP/C

Nov 2019d700%131−1%0.53

Dec 1847d0—60%0.00

report · Feb 2 · after close · est.

Feb 19110d230%

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

Positioning

Linked exposure

scenario · straddle±8.1%

Funds 4

MDY±0.0%

REVS±0.0%

VIG±0.0%

VTI±0.0%

Dashed = straddleMethod 1 more fund Source: SEC filings · N-PORT · market data

Linked exposure

Revenue flow

as filedQ2 FY26

11.22%as filednet margin · revenue +1.18% QoQ · +3.93% YoY

Revenue$1.7B+1.18%

Pre-tax income$245M+3.16%

Net income$192M11.22%+2.57%

Tax$53M+5.77%

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

Revenue flow

Intraday

15m bars

Long dash = implied range · Oct 30 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 16:00 ET

Intraday

Event sensitivity

NFP ×1.48· ±1.5% vs ±1.0% · 10 releases

eventrelease day|move|up · n×base

NFPjobs report±1.5%4 of 10×1.48

PCEpersonal income & outlays±1.4%10 of 19×1.36

CPIconsumer prices±1.2%6 of 11×1.19

GDPgross domestic product±1.2%10 of 19×1.13

PPIproducer prices±1.0%6 of 11×0.96

CPROFcorporate profits±1.0%6 of 12×0.92

FOMCrate decision±0.9%9 of 24×0.86

Bar = avg |move| to ±2% · tick = ±1.0% avg day · ×base = |move| ÷ ±1.0% · min 6 releases

Earnings history

EPS 5.38 · consensus —

Quarter	Reported	EPS	Consensus
Q2 FY26	Jul 28 '26 · confirmed	5.38	—
Q1 FY26	—	5.20	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod