Zscaler Options Market Prices in 13% Swing on September Earnings

The options market is pricing in a potential 13% move in either direction for Zscaler Inc. (NASDAQ:ZS) shares following the company's upcoming earnings release. The cybersecurity firm is scheduled to report its financial results after the market close on September 3.

This implied volatility figure, derived from options data compiled by Bloomberg, reflects investor expectations for a significant price swing based on the company's performance and outlook.

Historical Post-Earnings Volatility

A review of Zscaler's past earnings announcements shows a consistent pattern of high volatility, with the stock's actual move often surpassing what the options market had anticipated. The company has exceeded the options-implied move in five of its last eight earnings reports.

This history suggests that traders may be underpricing the potential for a sharp reaction to Zscaler's results. Notable past movements include:

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• May 26: Shares fell 27.6% versus a 12.9% implied move.
• Feb. 26: The stock dropped 14.6%, compared to an implied 10.2% move.
• Sept. 3, 2024: Shares declined 20.6%, nearly double the 10.6% implied move.

Context for Investors

While the stock has frequently moved more than expected, there have been three instances in the last eight quarters where its reaction was more muted than the options market priced in. For example, on March 5, 2025, shares rose 4.7% against an 11.7% implied move.

The data underscores the high stakes for Zscaler's earnings report. For investors and traders, this historical context highlights the potential for substantial price action, though the options data does not predict the direction of the move—only its potential magnitude.