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

Implied ±0.2%, either direction.

ZSNasdaqServices-Computer Programming Services

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

227.33

+3.54 · +1.58%

Regular session12:52 ET

Open222.94Volume2.0MMkt cap$36.5BEPS-0.39

Day221.40 – 228.5982%52-wk114.63 – 336.9951%

Zscaler, Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±0.2%implied · report alone

223.29224.29

straddle ±14.2%

spot 223.79exp Nov 27ATM strike 225ATM straddle 37.50IV 80%

Nov 2 closereport share · term structure

Expected move

Inputs

Next report

Nov 24

after close · in 21 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 '26126d 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 · Oct 30 close

0.71OI · 10 expiries · Oct 30 closeP/C open interest · Nov 27 · first expiry after the report

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

3,604+17%Nov 63d0.943,834+11%0.94

1,499+35%Nov 1310d0.891,688+9%0.89

18,343+6%Nov 2017d0.8621,429+1%0.86

report · Nov 24 · after close · est.

1,345—Nov 2724d1,902—

118—Dec 431d0.22541—0.22

7—Dec 1138d1.754—1.75

4 later expiries

15,5720%Dec 1845d1.0015,500+1%1.00

25,507−3%Jan 1573d0.95

ExpiryPutsCallsP/C

Nov 63d3,604+17%3,834+11%0.94

Nov 1310d1,499+35%1,688+9%0.89

Nov 2017d18,343+6%21,429+1%0.86

report · Nov 24 · after close · est.

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

Positioning

Linked exposure

scenario · straddle±14.2%

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

15m bars

Long dash = implied range · Nov 2 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 12:45 ET

Intraday

Event sensitivity

PPI ×1.40· ±2.9% vs ±2.1% · 10 releases

eventrelease day|move|up · n×base

PPIproducer prices±2.9%4 of 10×1.40

CPIconsumer prices±2.3%5 of 10×1.08

CPROFcorporate profits±2.2%6 of 12×1.04

PCEpersonal income & outlays±2.1%10 of 19×1.02

NFPjobs report±2.0%4 of 10×0.94

GDPgross domestic product±1.7%9 of 19×0.82

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