Earnings Options Scan — Week of 2026-09-21
Algolearn.AI September 20, 2026 2 min read 35 views
Earnings 2026-09-21 to 2026-10-04 · 2 trades · 4 watchlist
Automated weekly scan of large/mid-cap names reporting earnings between 2026-09-21 and 2026-10-04. Each idea is defined-risk and built from live options-chain data. Not investment advice.
Trades
1. MU — Micron Technology, Inc. (iron condor)
| Earnings | 2026-09-30 (AMC) |
|---|---|
| Expiration | 2026-10-02 |
| Legs | -1 1170C / +1 1225C / -1 900P / +1 865P |
| Entry | +$9.75 credit per iron condor |
| Fill band | $8.25 credit crossing every spread (-$150 vs the mid, widest leg 11% wide) |
| Max risk / reward | $4525 / $975 (0.21:1) · breakeven $890.25 - $1,179.75 |
| P&L | +10.2%: +$975 · -10.2%: +$975 · flat: +$975 |
| Expected move | expected move stays inside both short strikes (up clears by $48.63, down clears by $14.12) |
| IV | ATM IV 66.3% · expected move 10.2% · expected 10.18% vs hist 8.97% over 8 quarters -> 13.5% overpriced |
| Thesis | Options are pricing a move materially wider than Micron's measured history, and the sector wire is constructive rather than fearful — Intel's CEO called memory a compounding bottleneck while the China NAND expansion is framed as a greater threat to rivals. The condor sits outside the expected move on both sides, selling rich vol without taking a directional side. |
| Enter by | 2026-09-30 before market close (report is AMC) |
2. COST — Costco Wholesale Corporation (iron condor)
| Earnings | 2026-09-24 (AMC) |
|---|---|
| Expiration | 2026-09-25 |
| Legs | -1 940C / +1 950C / -1 860P / +1 850P |
| Entry | +$2.58 credit per iron condor |
| Fill band | $1.66 credit crossing every spread (-$92 vs the mid, widest leg 22% wide) |
| Max risk / reward | $742 / $258 (0.35:1) · breakeven $857.42 - $942.58 |
| P&L | +3.5%: +$258 · -3.5%: +$258 · flat: +$258 |
| Expected move | expected move stays inside both short strikes (up clears by $11.45, down clears by $5.05) |
| IV | ATM IV 33.7% · expected move 3.5% · expected 3.54% vs hist 2.72% over 7 quarters -> 30.2% overpriced |
| Thesis | Analysts going into the print warn that consensus already reflects the best-case scenario on expenses, yet a separately flagged special catalyst adds genuine upside uncertainty that makes a directional bet uncomfortable. The iron condor with full expected-move coverage expresses the overpricing without picking a side on ambiguous tape. |
| Enter by | 2026-09-24 before market close (report is AMC) |
Watchlist
- ACN — Passes the pricing screen with substantial edge but the execution filter blocked every structure — spreads at target strikes exceeded the allowed limit; worth revisiting if the near-dated chain tightens before the print.
- CTAS — Implied sits close to its measured history, so there is no premium edge worth crossing a spread for.
- NKE — Implied sits close to its measured history, so there is no premium edge worth crossing a spread for.
- AZO — Not priced this week: no expiration is listed close enough to the report date.
Expected vs. historical moves
| Ticker | Expected | Historical avg | Verdict | Widest quote |
|---|---|---|---|---|
| MU | 10.2% | 9.0% | OVERPRICED | 11% |
| COST | 3.5% | 2.7% | OVERPRICED | 22% |
| ACN | 10.7% | 7.2% | OVERPRICED | 94% |
| CTAS | 4.8% | 5.1% | FAIR | 165% |
| NKE | 8.9% | 8.3% | FAIR | 63% |
Generated 2026-09-20 23:21 UTC by the AlgoLearn earnings scanner. Defined-risk options ideas for informational purposes only — not investment advice.
https://pagerankcafe.com/pressRelease/blog/earnings-scan-2026-09-21
