CALM Moves

Cal-Maine Foods Inc CALM 64.6 -1.07 -1.63%

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Expected move

November 06, 2026 close · $64.60

Horizon	Expected move	Typical range	2 in 3 closes	9 in 10 closes
Next session	±1.6% ±$1.06	$63.54 – $65.66	$63.33 – $65.87	$62.33 – $66.87
2 sessions	±2.3% ±$1.47	$63.13 – $66.07	$62.81 – $66.39	$61.42 – $67.78
3 sessions	±2.9% ±$1.86	$62.74 – $66.46	$62.38 – $66.82	$60.64 – $68.56
1 week	±3.7% ±$2.36	$62.24 – $66.96	$61.71 – $67.49	$59.57 – $69.63
2 weeks	±5.1% ±$3.31	$61.29 – $67.91	$60.50 – $68.70	$57.53 – $71.67
3 weeks	±6.4% ±$4.16	$60.44 – $68.76	$59.43 – $69.77	$55.81 – $73.39
1 month	±7.7% ±$4.99	$59.61 – $69.59	$58.37 – $70.83	$54.02 – $75.18

Size, not direction. The 68% and 90% bands held 66–68% and 89–90% of closes in held-out years 2019–2026. Draw the cone on the chart →

Volatility premium

Beta

The forecast is for the current session, which this plan does not open.

Earnings: priced against what happened

Average implied move

±9.87%

Average actual move

1.75%

Beyond the implied move

0 / 2

Median IV change

-27.34%

Reaction session	Implied	Actual	Used	ATM IV before → after
April 09, 2025	±11.79%	+2.49%	0.21×	94.4% → 59.7%
January 08, 2025	±7.96%	+1.01%	0.13×	59.4% → 35.2%

Reconstructed from archived mid quotes; the straddle covers its expiration, not only the reaction session. These are not option returns. Method and missing reports →