Earnings Options Scan — Week of 2026-10-05
Algolearn.AI October 4, 2026 2 min read 15 views
Earnings 2026-10-05 to 2026-10-18 · 2 trades · 4 watchlist
Automated weekly scan of large/mid-cap names reporting earnings between 2026-10-05 and 2026-10-18. Each idea is defined-risk and built from live options-chain data. Not investment advice.
Trades
1. BAC — Bank of America Corporation (iron condor)
| Earnings | 2026-10-14 (BMO) |
|---|---|
| Expiration | 2026-10-16 |
| Legs | -1 57C / +1 58C / -1 51P / +1 49P |
| Entry | +$0.35 credit per iron condor |
| Fill band | $0.28 credit crossing every spread (-$7 vs the mid, widest leg 29% wide) |
| Max risk / reward | $165 / $35 (0.21:1) · breakeven $50.65 - $57.35 |
| P&L | +4.9%: +$35 · -4.9%: +$35 · flat: +$35 |
| Expected move | expected move stays inside both short strikes (up clears by $0.61, down clears by $0.16) |
| IV | ATM IV 32.1% · expected move 4.9% · expected 4.85% vs hist 2.52% over 8 quarters -> 92.6% overpriced |
| Thesis | Multiple sell-side desks cut their price targets into the print in quick succession, all converging on the same lower mark, while the CEO pre-guided for soft trading and investment banking revenue—so the incremental downside surprise is harder to deliver. Selling the wings on a name where consensus has already done the recalibration earns the richly priced vol without taking a directional side. |
| Enter by | 2026-10-14 pre-market open (report is BMO) |
2. JPM — J P Morgan Chase & Co (iron condor)
| Earnings | 2026-10-13 (BMO) |
|---|---|
| Expiration | 2026-10-16 |
| Legs | -1 350C / +1 355C / -1 315P / +1 305P |
| Entry | +$1.87 credit per iron condor |
| Fill band | $1.47 credit crossing every spread (-$40 vs the mid, widest leg 24% wide) |
| Max risk / reward | $813 / $187 (0.23:1) · breakeven $313.13 - $351.87 |
| P&L | +4.4%: +$187 · -4.4%: +$187 · flat: +$187 |
| Expected move | expected move stays inside both short strikes (up clears by $2.80, down clears by $2.90) |
| IV | ATM IV 25.8% · expected move 4.4% · expected 4.41% vs hist 2.82% over 8 quarters -> 56.2% overpriced |
| Thesis | HSBC lifted its target into the print, rising bond yields support net interest income, and the Barrons wire notes portfolio managers are parked well below their long-run median in financials—a setup that compresses the probability of an outsized reaction in either direction. The wider iron condor covers the full expected move and collects the overpriced vol without picking a side. |
| Enter by | 2026-10-13 pre-market open (report is BMO) |
Watchlist
- TSM — The call credit spread is the sole structure, and the expected upside move breaches the short strike before breakeven; unattractive until a structure with positive upside cushion is available.
- UNH — Implied vol reads underpriced against history pointing toward long vol, but the available straddle and strangle do not clear breakeven at historical average moves on both sides; wire was also unavailable at scan time.
- ASML — Every structure was filtered out because bid/ask spreads at the target strikes exceeded the execution limit; vol remains overpriced but untradeably quoted.
- JNJ — Same execution-filter rejection as ASML—chain too wide at target strikes to pass the execution standard despite vol reading as richly overpriced against history.
Expected vs. historical moves
| Ticker | Expected | Historical avg | Verdict | Widest quote at any target strike |
|---|---|---|---|---|
| TSM | 5.4% | 3.6% | OVERPRICED | 39% |
| JPM | 4.4% | 2.8% | OVERPRICED | 24% |
| ASML | 7.4% | 6.0% | OVERPRICED | 57% |
| JNJ | 4.2% | 2.2% | OVERPRICED | 61% |
| BAC | 4.8% | 2.5% | OVERPRICED | 29% |
| UNH | 8.0% | 10.7% | UNDERPRICED | 27% |
Generated 2026-10-04 16:18 UTC by the AlgoLearn earnings scanner. Defined-risk options ideas for informational purposes only — not investment advice.
https://pagerankcafe.com/pressRelease/blog/earnings-scan-2026-10-05
