8 earnings setups · 0 flagged as asymmetric
Scan window: Mon June 8 through Sat June 20, 2026. Eight S&P 500 names report inside the window: ORCL (6/10 AMC), ADBE and LEN (6/11 AMC), CASY (6/10 BMO), JBL and KMX (6/17 BMO), KR and ACN (6/18 BMO). All eight cleared the quality rails — 8 measurable quarters of post-earnings bars, deliverable front-month ATM straddles. None hit the −1.5pp asymmetry threshold on this scan, so zero names are flagged as asymmetric long-vol setups. The closest to fair-value is ORCL at −0.05pp (front-month implied 13.1% vs realized average 13.2%) — IV is essentially priced to historical mean, but does NOT cover the +35.95% Q1 FY26 tail that printed nine months ago, so it's the only name in the universe where buying earnings vol is not paying a meaningful premium.\n\nThe broader picture is that options markets are demanding a premium ahead of these reports — JBL implies 12.7% versus 6.5% realized, ACN implies 10.2% versus 5.3%, LEN implies 7.7% versus 3.6%, KMX implies 14.0% versus 9.0%. Some of this is regime-driven (ORCL dropped 9.6% on the Friday before its print, JBL dropped 5.5%, sector vol is bid), and some is residual decay in 10-DTE straddles for the second-week names that include ~6 extra trading days of non-event vol on top of the earnings event. Either way, the asymmetric long-vol case isn't here this week — closer to a premium-selling regime if you want to lean directional on the IV-vs-HV gap.
ORCL
Oracle CorpOracle's earnings-day distribution has bimodalized since FY24: 6 of the last 8 reports moved 8%+, with Q1 FY26 (+35.95% on the Stargate/OpenAI cloud-contract reveal) the dominant outlier and Q2 FY26 (-10.83% on capex-vs-bookings digestion) the counter-print. The Street prices off RPO and OCI capacity disclosures more than P&L. ORCL dropped 9.6% Friday into next week's report, telling you positioning is already light and IV is bid (118% on the 7-DTE straddle). At a -0.05pp delta, implied is essentially priced to historical mean — fair, not cheap.