Earnings Options Scan — Week of 2026-07-27
Algolearn.AI July 26, 2026 3 min read 76 views
Earnings 2026-07-27 ? 2026-08-09 · 2 trades · 3 watchlist
Automated weekly scan of large/mid-cap names reporting earnings between 2026-07-27 and 2026-08-09. Each idea is defined-risk and built from live options-chain data. Not investment advice.
Trades
1. MSFT — Microsoft Corporation (iron condor)
| Earnings | 2026-07-29 (AMC) |
|---|---|
| Expiration | 2026-07-31 |
| Legs | -1 407.5C / +1 422.5C / -1 360.0P / +1 347.5P |
| Entry | +$5.23 credit per iron condor |
| Max risk / reward | $977 / $523 · breakeven $354.77 (lower) / $412.73 (upper) |
| P&L | +7.2%: +$383 · -7.2%: -$87 · flat: +$523 |
| IV | ATM IV 78.0% · expected move 7.2% · Expected 7.21% against a measured six-quarter average of 5.77% — 25% overpriced; ATM IV 78% is extremely elevated for a mega-cap; call/put skew nearly flat at ?1.33%, no directional lean from the market |
| Thesis | Microsoft's options price a 7.21% earnings move against a 5.77% six-quarter average measured from the tape — a 25% premium in implied volatility. The iron condor sells the 25-delta wings and hedges at the 15-delta, collecting $5.23 credit. Breakevens sit at $354.77 and $412.73, ?7.0% and +8.2% from $381.40: the upside breakeven is outside the expected move, the downside fractionally inside it. MSFT is in a repair cycle 25% below its 52-week high; unless Azure cloud-revenue guidance dramatically misses or blows out, price discovery is likely to settle within the range and IV crush will further erode option value overnight. |
| Enter by | 2026-07-29 before 3:30 PM ET |
2. AAPL — Apple Inc. (iron condor)
| Earnings | 2026-07-30 (AMC) |
|---|---|
| Expiration | 2026-07-31 |
| Legs | -1 345C / +1 352.5C / -1 322.5P / +1 315P |
| Entry | +$2.91 credit per iron condor |
| Max risk / reward | $459 / $291 · breakeven $319.59 (lower) / $347.91 (upper) |
| P&L | +4.3%: +$60 · -4.3%: -$86 · flat: +$291 |
| IV | ATM IV 43.6% · expected move 4.3% · Expected 4.29% against a measured six-quarter average of 3.52% — 22% overpriced; 25-delta put IV (49.46%) runs 15.75% above 25-delta call IV (42.73%), inflating the put wing's collected premium and improving overall IC economics |
| Thesis | Apple's options price a 4.29% earnings move against a 3.52% six-quarter average measured from the tape — 22% overpriced. The stock sits 0.22% from its 52-week high ($333.02 against a $333.74 high), a technically strong position that historically suppresses post-earnings downside volatility. The short strikes are not symmetric around spot: the 345 call is +3.6% away and the 322.5 put ?3.2%, so an average-sized up-move stays inside the range while an average-sized down-move just breaches the put wing. The elevated 15.75% put skew is what pays for accepting that asymmetry, contributing $1.51 of the $2.91 credit. |
| Enter by | 2026-07-30 before 3:30 PM ET |
Watchlist
- META — Reports July 29 AMC. Expected move 8.40% against a measured six-quarter average of 8.01%: roughly 5% rich, the thinnest edge of any name scanned. That is too narrow to sell premium into a name whose last six prints include +11.25%, ?11.33% and +10.40%, and far too narrow to buy it. Passed over in both directions.
- AMZN — Reports July 30 AMC. Expected move 7.21% against a measured six-quarter average of 5.87%, so premium is rich here too — comparable to the two trades above. Passed over for a neutral structure because the stock is 15.6% below its 52-week high in a clear downtrend, where a range trade carries directional risk the credit does not pay for; call skew of ?2.17% offers no offsetting lean.
- LLY — Reports BMO August 5; expected move 8.18% against a measured six-quarter average of 7.55%, ATM IV 57.16%, expiry 2026-08-07. The bid/ask spread on the Aug-7 chain is economically prohibitive: the ATM call spread is 9.45% of mid price, and the 25-delta call (1285 strike) is bid $13.00 / ask $20.00 — a 42% spread. Multi-leg strategies would face $3–$8 per leg of slippage, erasing all edge before the position is on. Watch for liquidity to improve; consider a simple long call or put only if spreads compress below 5% of mid closer to the report date.
Expected vs. historical moves
| Ticker | Expected | Historical avg | Verdict |
|---|---|---|---|
| MSFT | 7.2% | 5.8% | OVERPRICED |
| AAPL | 4.3% | 3.5% | OVERPRICED |
| META | 8.4% | 8.0% | OVERPRICED |
| AMZN | 7.2% | 5.9% | OVERPRICED |
Generated 2026-07-26 14:18 UTC by the AlgoLearn earnings scanner. Options data — strikes, credits, implied volatility and skew — is taken from the live chain at that time. Historical move figures are the mean absolute close-to-close move on each earnings print, measured from Theta end-of-day data over the last six completed quarters. Defined-risk options ideas for informational purposes only — not investment advice.
https://www.youtube.com/watch?v=VHRn3IUCCbo
