Earnings Options Scan — Week of 2026-06-29
Algolearn.AI June 28, 2026 3 min read 22 views
Earnings 2026-06-29 ? 2026-07-12 · 2 trades · 2 watchlist
Automated weekly scan of large/mid-cap names reporting earnings between 2026-06-29 and 2026-07-12. Each idea is defined-risk and built from live options-chain data. Not investment advice.
Trades
1. NKE — Nike, Inc. (long straddle)
| Earnings | 2026-06-30 (AMC) |
|---|---|
| Expiration | 2026-07-02 |
| Legs | +1 40.50C @ $1.885 / +1 40.50P @ $1.575 |
| Entry | -$3.46 debit per straddle |
| Max risk / reward | $346 / $3704 · breakeven $37.04 / $43.96 |
| P&L | +8.6%: -$23 · -8.6%: +$23 · flat: -$346 |
| IV | ATM IV 117.7% · expected move 8.6% · expected 8.59% vs hist avg 8.88% (5-qtr abs moves: Jun24 19.98%, Mar24 6.90%, Dec23 11.83%, Mar25 5.46%, Dec24 0.21%) ? options ~3% underpriced; upper breakeven requires +9.2% from spot, lower breakeven only -8.0% |
| Thesis | NKE printed a 52-week low ($40.75) after a 41.5% collapse from highs; the 5-quarter average absolute earnings move of 8.88% modestly exceeds the 8.59% implied, and the distribution is fat-tailed — two of the last five reports exceeded 10% (Jun 2024: -19.98%, Dec 2023: -11.83%). With macro headwinds from tariffs, China channel inventory, and EPS declining YoY ($0.11 est vs $0.14 last year), outcome uncertainty is high in both directions. The Jul 2 expiry (two sessions post AMC) ensures near-total IV crush on exit, leaving only intrinsic value; max risk is the $3.46 debit paid. |
| Enter by | June 30, 2026 by 3:30 PM ET (before AMC announcement) |
2. DAL — Delta Air Lines, Inc. (iron condor)
| Earnings | 2026-07-10 (BMO) |
|---|---|
| Expiration | 2026-07-10 |
| Legs | -1 99C @ $1.405 / +1 105C @ $0.720 / -1 86P @ $1.415 / +1 84P @ $0.875 |
| Entry | +$1.225 credit per condor |
| Max risk / reward | $478 / $122 · breakeven $84.78 / $100.23 |
| P&L | +8.4%: +$69 · -8.4%: -$69 · flat: +$122.50 |
| IV | ATM IV 61.0% · expected move 8.4% · expected 8.41% vs hist avg 3.52% ? options ~139% overpriced (2.4x historical average); nearly flat skew -1.82% supports symmetric wing construction |
| Thesis | DAL is at its 52-week high ($92.57, +66% from lows) with options pricing a 2.4x premium above the historical average post-earnings move of 3.52%. Short strikes at $99C and $86P require moves of +7.8% and -6.5% from the Jul 9 close to breach — both well beyond historical norms. Nearly flat put/call skew (-1.82%) confirms no strong directional premium, making the condor construction symmetric. Key risk: the put wing is only $2 wide ($86/$84) vs the $6 call wing, so the call side carries the bulk of max risk ($477.50) while the put side is capped at $77.50; at the full expected downside move (-8.41% to ~$84.09), P&L is -$69 as the $86P finishes $1.91 ITM with no $84P offset. |
| Enter by | July 9, 2026 by market close (earnings BMO July 10 — must enter prior session) |
Watchlist
- PEP — Earnings BMO July 9 (expiry July 10). Implied move 5.81% vs estimated historical avg ~2.0% (Trefis: median post-earnings day return +1.5% in 78% of instances over five years) — options appear significantly overpriced. However, call-side wings are near-illiquid: the 15d $152.5C shows a $0.01 bid vs $1.93 ask, making a clean iron condor impractical. A bull put spread ($135P/$131P) yields only $0.40 credit on a $4 wide spread (~11% ROC) with breakeven at $134.60 — nearly 3.6% below current spot — which sounds safe but the near-full $3.17 loss materializes at the full expected downside move ($131.43). Pass unless call-side liquidity improves before July 7.
- CCEP — Earnings June 30 (time unknown, $45B market cap). Nearest available options expiry returned as June 18 — two weeks before the earnings date. No post-earnings expiry constructable; skipping. Monitor chain for potential July weekly additions.
Expected vs. historical moves
| Ticker | Expected | Historical avg | Verdict |
|---|---|---|---|
| NKE | 8.6% | 8.9% | UNDERPRICED |
| DAL | 8.4% | 3.5% | OVERPRICED |
| PEP | 5.8% | 2.0% | OVERPRICED |
Generated 2026-06-28 16:23 UTC by the AlgoLearn earnings scanner. Defined-risk options ideas for informational purposes only — not investment advice.
https://pagerankcafe.com/pressRelease/blog/earnings-scan-2026-06-29
