Earnings Options Scan — Week of 2026-09-28
Algolearn.AI September 27, 2026 2 min read 22 views
Earnings 2026-09-28 to 2026-10-11 · 2 trades · 4 watchlist
Automated weekly scan of large/mid-cap names reporting earnings between 2026-09-28 and 2026-10-11. 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 1225C / +1 1265C / -1 985P / +1 952.5P |
| Entry | +$8.45 credit per iron condor |
| Fill band | $7.75 credit crossing every spread (-$70 vs the mid, widest leg 6% wide) |
| Max risk / reward | $3155 / $845 (0.27:1) · breakeven $976.55 - $1,233.45 |
| P&L | +8.7%: +$845 · -8.7%: +$845 · flat: +$845 |
| Expected move | expected move stays inside both short strikes (up clears by $45.87, down clears by $6.17) |
| IV | ATM IV 79.0% · expected move 8.7% · expected 8.66% vs hist 6.81% over 6 quarters -> 27.2% overpriced |
| Thesis | Sell-side previews expect a beat-and-raise, buy ratings have been reiterated across multiple shops, and the AI memory supercycle narrative is treated as settled consensus going into the print. When the market has priced in the best case on demand and margins, post-earnings range tends to compress. The chain is overpriced relative to measured history, and the iron condor covers the expected move on either side. |
| Enter by | 2026-09-30 before market close (report is AMC) |
2. NKE — Nike, Inc. (long straddle)
| Earnings | 2026-10-01 (AMC) |
|---|---|
| Expiration | 2026-10-02 |
| Legs | +1 36C / +1 36P |
| Entry | -$2.97 debit per long straddle |
| Fill band | $3.00 debit crossing every spread (-$3 vs the mid, widest leg 3% wide) |
| Risk | $297 at risk · upside uncapped · breakeven $33.03 - $38.97 |
| P&L | +8.3%: -$22 · -8.3%: +$22 · flat: -$275 |
| Expected move | a move of the expected size pays only on the down side (up falls $0.22 SHORT of breakeven, down clears breakeven by $0.22) |
| IV | ATM IV 76.7% · expected move 8.3% · expected 8.30% vs hist 10.15% over 5 quarters -> 18.2% underpriced |
| Thesis | BofA moved to Underperform days before the print, following a cascade of sell-side target cuts and a sell-rating cohort not seen in decades. The chain is pricing a narrower move than Nike's historical earnings reactions warrant, so the straddle buys that mispricing gap. Accumulating downgrade flow argues the market hasn't fully digested the turnaround delay, adding a bearish tilt to a cheap volatility setup. |
| Enter by | 2026-10-01 before market close (report is AMC) |
Watchlist
- PEP — Overpriced relative to measured history and would otherwise merit a structure, but bid-ask spreads at target strikes are far outside executable limits — revisit if liquidity improves ahead of the print.
- JBL — Chain is severely overpriced relative to measured history, but spreads at every target strike are untradeable; worth monitoring if market-maker liquidity appears ahead of the morning print.
- ACN — Implied sits close to its measured history, so there is no premium edge worth crossing a spread for.
- DAL — Implied sits close to its measured history, so there is no premium edge worth crossing a spread for.
Expected vs. historical moves
| Ticker | Expected | Historical avg | Verdict | Widest quote at any target strike |
|---|---|---|---|---|
| MU | 8.7% | 6.8% | OVERPRICED | 6% |
| PEP | 4.8% | 3.8% | OVERPRICED | 149% |
| ACN | 8.1% | 7.5% | FAIR | 185% |
| DAL | 8.2% | 8.3% | FAIR | 110% |
| NKE | 8.3% | 10.2% | UNDERPRICED | 43% |
| JBL | 9.1% | 4.3% | OVERPRICED | 194% |
Generated 2026-09-27 15:36 UTC by the AlgoLearn earnings scanner. Defined-risk options ideas for informational purposes only — not investment advice.
https://pagerankcafe.com/pressRelease/blog/earnings-scan-2026-09-28
