Earnings Options Scan — Week of 2026-07-06
Algolearn.AI July 5, 2026 4 min read 19 views
Earnings 2026-07-06 ? 2026-07-19 · 3 trades · 2 watchlist
Automated weekly scan of large/mid-cap names reporting earnings between 2026-07-06 and 2026-07-19. Each idea is defined-risk and built from live options-chain data. Not investment advice.
Trades
1. JPM — J P Morgan Chase & Co (iron condor)
| Earnings | 2026-07-14 (BMO) |
|---|---|
| Expiration | 2026-07-17 |
| Legs | +1 310P / -1 320P / -1 347.5C / +1 355C |
| Entry | +$3.24 credit per condor |
| Max risk / reward | $676 / $324 · breakeven $316.76 to $350.74 |
| P&L | +5.0%: +$117 · -5.0%: -$17 · flat: +$324 |
| IV | ATM IV 32.8% · expected move 5.0% · expected 4.95% vs hist 2.64% (9-qtr avg) ? options 88% overpriced; bank earnings IV crush is historically among the most reliable in large-cap |
| Thesis | JPM reports BMO July 14 at essentially its 52-week high ($334.47 close vs $335.12 peak), with consensus EPS of $5.49 vs $4.96 a year ago. The 9-quarter historical average actual move is 2.64%, yet the July 17 expiry prices 4.95% — nearly double. The iron condor collects $3.24/share via put spread (320/310, $1.75 cr) and call spread (347.5/355, $1.49 cr); the breakeven range of $316.76–$350.74 spans ±5.3% and has contained 7 of JPM's last 9 earnings reactions. Even at the full implied expected move up (+4.95% to ~$349.57), the condor is still profitable by $1.17/share. A stable credit environment, NIM expansion, and strong investment-banking revenue support an in-line or beat outcome. |
| Enter by | July 13, 2026 (EOD Monday, before BMO July 14 report) |
2. TSM — Taiwan Semiconductor Manufacturing Company Ltd. (iron condor)
| Earnings | 2026-07-16 (BMO) |
|---|---|
| Expiration | 2026-07-17 |
| Legs | +1 385P / -1 405P / -1 480C / +1 500C |
| Entry | +$7.15 credit per condor |
| Max risk / reward | $1285 / $715 · breakeven $397.85 to $487.15 |
| P&L | +9.6%: +$715 · -9.6%: -$182 · flat: +$715 |
| IV | ATM IV 60.6% · expected move 9.6% · expected 9.56% vs hist 3.98% (6-qtr avg: Jan-2024 9.79%, May-2024 2.39%, Aug-2024 1.38%, Nov-2024 0.99%, Jan-2025 3.86%, Jan-2026 4.44%) ? options 140% overpriced; geopolitical premium inflates chip IV well above realized |
| Thesis | TSM reports BMO July 16 with robust AI/data-center demand providing a structural tailwind. The 9.56% implied move dwarfs the 6-quarter historical average of 3.98%; even the single large outlier quarter (Jan 2024: +9.79%) barely equaled today's implied. The symmetric 25?/15? iron condor uses $20-wide wings (405/385 puts, 480/500 calls) and collects $7.15/share; at the full expected up-move (+9.56% to ~$479.79), the stock barely touches the $480 short call and the position captures the full $715/contract credit. Primary tail risk is an exogenous Taiwan Strait geopolitical shock; close the position immediately if the stock moves more than 6% before expiry. |
| Enter by | July 15, 2026 (EOD Wednesday, before BMO July 16 report) |
3. JNJ — Johnson & Johnson (iron condor)
| Earnings | 2026-07-15 (BMO) |
|---|---|
| Expiration | 2026-07-17 |
| Legs | +1 245P / -1 250P / -1 275C / +1 285C |
| Entry | +$2.53 credit per condor |
| Max risk / reward | $748 / $252 · breakeven $247.47 to $277.53 |
| P&L | +5.6%: +$58 · -5.6%: +$18 · flat: +$253 |
| IV | ATM IV 37.3% · expected move 5.6% · expected 5.59% vs hist 2.84% (6-qtr avg: Jul-2023 6.07%, Jan-2024 1.64%, Apr-2024 2.13%, Jul-2024 3.69%, Oct-2024 1.55%, Jan-2025 1.94%) ? options ~97% overpriced; JNJ has moved less than 3% in 4 of 6 recent quarters |
| Thesis | JNJ reports BMO July 15 at a fresh 52-week high ($263.04), driven by strong pharmaceutical and MedTech execution with full-year 2026 sales guidance of $99.5–$100.5B. The 6-quarter historical average move is 2.84% vs the 5.59% implied — a near-doubling of typical volatility pricing. Critically, the iron condor remains profitable even at the FULL implied expected move in either direction (+5.59% to $276.95 yields +$58; -5.59% to $247.65 yields +$18), because the historical average is so far below the implied. Note the asymmetric structure: call spread is $10 wide (275/285, $1.56 cr) vs put spread $5 wide (250/245, $0.97 cr), producing a lower $247.50 max loss on the put leg vs $747.50 on the call leg. |
| Enter by | July 14, 2026 (EOD Tuesday, before BMO July 15 report) |
Watchlist
- ASML — Highest premium-selling conviction in the entire scan: 77.36% ATM IV pricing an 11.46% expected move vs only 2.18% (Jan 2026) and 2.40% (Apr 2026) realized the last two quarters — both quarters saw the implied move exceed actual by more than 3x. The 25D/15D iron condor (sell 1620P/1980C, buy 1540P/2100C) collects $34.05/share ($3,405/contract) against an $8,595 call-side max risk, a 39.6% return on risk. Excluded from main trades due to capital intensity (~$8,500/contract margin) and tail risk from booking-miss blowups. Highest-priority upgrade to an active trade for accounts above $50K that can absorb the margin.
- BAC — Reporting BMO July 14 alongside JPM. Expected move of 4.61% sits only ~25% above the ~3.70% historical average implied move — the narrowest overpricing edge in this scan. Stock is at a 52-week high ($58.73) with solid YoY EPS growth ($1.11 est vs $0.89 prior year). Thin premium edge (straddle only $2.705) relative to commissions makes it a marginal standalone trade. If JPM reports a strong beat before the open on July 14 and BAC IV spikes sympathetically, reconsider entering a $57/$59/$60/$62 iron condor for an additional premium-selling play into the July 17 expiry.
Expected vs. historical moves
| Ticker | Expected | Historical avg | Verdict |
|---|---|---|---|
| TSM | 9.6% | 4.0% | OVERPRICED |
| JPM | 5.0% | 2.6% | OVERPRICED |
| ASML | 11.5% | 2.3% | OVERPRICED |
| JNJ | 5.6% | 2.8% | OVERPRICED |
| BAC | 4.6% | 3.7% | OVERPRICED |
| GE | 7.9% | 9.0% | FAIR |
Generated 2026-07-05 14:16 UTC by the AlgoLearn earnings scanner. Defined-risk options ideas for informational purposes only — not investment advice.
https://pagerankcafe.com/pressRelease/blog/earnings-scan-2026-07-06
