Earnings Whiplash Map · Weekly Scan · Public preview

10 earnings setups · 0 flagged as asymmetric

Scan day · Saturday, September 26, 2026

Forward earnings scan for the week of 2026-09-28 → 2026-10-02 covered 16 reporters. Every single name is priced with options-implied moves ABOVE its 8-quarter median absolute realized — this is a straight premium-selling regime, and zero setups qualified for the asymmetric long-vol flag (≤ -1.5pp IV-vs-HV gap). Even the two biggest historical movers, MU and ACN, are only mildly cheap-to-realized: MU straddle implies 8.7% vs 7.6% realized (+1.1pp rich), ACN implies 8.1% vs 7.0% (+1.1pp rich). The rest of the tape is priced with 6–19pp of IV premium over history — extreme cases include CNXC (implied 20.3% vs 1.2% realized), PRGS (12.9% vs 0.8%), and KMX (12.9% vs 1.4%), where the ATM straddle is worth roughly 10× what the stock has historically delivered on print.

The read: this is a week for short-vol structures, not long-gamma. Iron condors and short strangles are the natural expression on the JEF/FDS/JBL/CALM/CCL cluster where implied is >8× realized. The two MU/ACN names where implieds are closer to fair remain the only tickers with any pre-earnings vega tradable at all. No asymmetric flag this week — we do not force picks when the regime is premium-selling.

Headline pick — fully revealed

MU

Micron Technology

Semiconductors

EarningsWed, Sep 30 AMC

Implied move8.7%

Historical avg7.6%

IV − HV gap+1.1%

Thesis

Micron is the biggest historical mover on this week's calendar — 8-quarter median absolute post-earnings move of 7.6%, with 5 of the last 10 prints delivering >8% moves and a range spanning -16.2% to +15.7%. The straddle at 8.7% is only marginally rich to that base rate (+1.1pp), so this is one of the few names on the tape where pre-earnings vega is roughly fair-priced. DRAM cycle guidance, HBM ramp commentary, and any AI-mem capacity color are the reflexive catalysts.

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MU

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