8 earnings setups · 1 flagged as asymmetric
Scan window: June 1–13, 2026. Eight S&P 500 names report inside the 14-day window with ≥8 measurable historical quarters and a liquid weekly expiration bracketing the print — HPE (6/1 AMC), ULTA (6/2 AMC), DG (6/2 BMO), AVGO (6/3 AMC), CRWD (6/3 AMC), LULU (6/4 AMC), ORCL (6/10 AMC), ADBE (6/11 AMC). Of the eight, only ONE — LULU — crosses our −1.5pp IV-vs-HV threshold for an asymmetric long-vol setup. The 6/5 ATM straddle prices a 10.2% move while Lululemon has averaged 12.4% across its last 8 reports, with three straight quarters of 14–20% downside reactions and 6 of 8 prints clearing the 8% bar. The options market has been chronically behind LULU's earnings vol.
The other names skew rich rather than cheap. CRWD (+4.5pp) and ADBE (+2.0pp) are paying full freight for moves that haven't been there. HPE is the most extreme print on the board: a 17.96% implied move after the stock ripped 12.65% on Friday into the report — pure premium-selling territory rather than long-vol. AVGO (−0.88pp) and DG (−0.18pp) are functionally fair: close to the threshold but not enough margin of safety to flag. ORCL is roughly fair at +1.3pp, but the historical sample includes a +36% September 2025 OCI-backlog blowup that distorts the average — worth watching, not flagging.
LULU
Lululemon Athletica Inc.IV implies a 10.16% move but LULU has averaged 12.35% over the last 8 reports, with 6 of 8 above 8% and three straight quarters of 14–20% downside reactions. The options market has systematically underpriced this name's earnings vol despite a consistent pattern of comp-driven blowups.
LULU is now a multi-quarter narrative reset story. US comp deceleration, China growth trajectory, and tariff/FX flow-through hit the model on every print, and the stock has reacted with three consecutive double-digit downside gaps (Mar 2025 −14.2%, Jun 2025 −19.8%, Sep 2025 −18.6%). The stock is down ~70% from highs and consensus is muted, which sets up two-sided convexity: any sign of US recovery or AUR stabilization is a violent unwind of shorts; another guide cut compounds the downtrend. The 6/5 straddle at 10.2% is paying for less vol than the realized tape has delivered for two years straight.