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

Implied ±13.8%, either direction.

ZSNasdaqServices-Computer Programming Services

Zscaler, Inc. (ZS) earnings date, market-implied expected move, and options open interest by expiry

225.91

pre 225.09 0.00%

Pre-market04:07 ETdelayed

Open225.09Volume2.0MMkt cap$36.5BEPS-0.39

Day225.09 – 225.0950%52-wk114.63 – 336.9950%

Zscaler, Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±13.8%implied · straddle

194.11256.07

spot 225.09exp Nov 27ATM strike 225ATM straddle 36.45IV 79%

Nov 3 close

Expected move

Inputs

Next report

Nov 24

after close · in 20 days

est.Q1 FY27

Calendar

Next report

Last report

−4.50%

vs ±12.6% implied · ×0.36

shaded = implied · ▲▼ = realized

Sep 3 '26 · confirmed

Implied vs realized

Largest filed tie

filed ties

13F top-10 QoQ

+22.87%

shares held · 10 largest managers

13F · Jun 30 '26127d lag

761 managers

Top fund weight

0.06%

ZS weight · VUG

N-PORTJun 30 '26

3 funds

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

Zscaler (ZS) is expected to report on Nov 24 after close (estimated date).

Implied vs realized

1 report

—≥ implied

Q4 FY26Sep 3 '26confirmed±12.6%▼−4.50%×0.36

quarterimplied−15%0+15%realized×

Q4 FY26±12.6%▼−4.50%×0.36

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

Implied vs realized

Positioning

OI · 10 expiries · Nov 2 close

0.71OI · 10 expiries · Nov 2 closeP/C open interest · Nov 27 · first expiry after the report

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

4,681+30%Nov 62d1.004,692+22%1.00

1,720+15%Nov 139d0.951,814+7%0.95

18,2650%Nov 2016d0.8521,566+1%0.85

report · Nov 24 · after close · est.

1,355+1%Nov 2723d1,918+1%

118—Dec 430d0.22541—0.22

22+214%Dec 1137d2.0011+175%2.00

4 later expiries

15,650+1%Dec 1844d0.9915,763+2%0.99

25,507−3%Jan 1572d0.9526,9660%0.95

2,1150%Feb 19107d0.346,2570%0.34

5,6830%Mar 19135d1.105,1440%1.10

ExpiryPutsCallsP/C

Nov 62d4,681+30%4,692+22%1.00

Nov 139d1,720+15%1,814+7%0.95

Nov 2016d18,2650%21,566+1%0.85

report · Nov 24 · after close · est.

Nov 2723d1,355+1%1,918+1%0.71

Dec 430d118—541—0.22

Dec 1137d22+214%11+175%2.00

4 later expiries

Dec 1844d15,650+1%15,763+2%0.99

Jan 1572d25,507−3%26,9660%0.95

Feb 19107d2,1150%6,2570%0.34

Mar 19135d5,6830%5,1440%1.10

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

Positioning

Linked exposure

scenario · straddle±13.8%

Funds 3

VUG±0.0%

VTI±0.0%

VT±0.0%

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

Linked exposure

Revenue flow

derived from FYQ4 FY26

−0.38%derived from FYnet margin · revenue +5.61% QoQ · +24.88% YoY

Revenue$898M+5.61%

Gross profit$689M76.73%+4.77%

Operating income−$15M−1.72%+47.73%

Pre-tax income$15M+728.60%

Net income−$3M−0.38%+75.73%

Cost of revenue$209M+8.47%

Operating expenses$705M+2.51%

Tax$18M+58.73%

Other income$30M+11.47%

Derived: FY − Q1–Q3 · QE Jul 31 '26 · bars = % of revenue

Revenue flow

Intraday

No trades yet today.

Intraday

Event sensitivity

PPI ×1.26· ±2.7% vs ±2.1% · 11 releases

eventrelease day|move|up · n×base

PPIproducer prices±2.7%4 of 11×1.26

CPIconsumer prices±2.4%5 of 11×1.11

PCEpersonal income & outlays±2.2%10 of 20×1.03

CPROFcorporate profits±2.2%6 of 12×1.02

NFPjobs report±2.0%4 of 10×0.92

GDPgross domestic product±1.8%9 of 20×0.84

FOMCrate decision±1.5%9 of 24×0.71

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

Earnings history

EPS -0.02 · consensus —

Quarter	Reported	EPS	Consensus
Q4 FY26	Sep 3 '26 · confirmed	-0.02	—
Q3 FY26	—	-0.09	—
Q2 FY26	—	-0.21	—

Source: filed financials

Methodology

ties · implied moves · holdersMethod