Earnings expected moves: Jabil options price 8.3%, triple its usual swing; Micron 8%, Nike 8.7%

Five large companies report between Wednesday morning and Thursday evening. What matters is not the size of each options price but how it compares with what the stock actually did on its last four report days. On that test, Jabil and Conagra options look rich, and Micron, Nike and Accenture look roughly in line or cheap.

How the number is built

Every figure below is an at-the-money straddle: the cost of one call plus one put at the strike closest to the share price, in the first weekly expiry after the report. It is not a forecast and it says nothing about direction. Prices come from the Robinhood feed as of 7:04 a.m. Eastern on Tuesday. The past moves are close before the report to close after it.

Company	Reports	Price	Implied move	Avg. of last 4 moves
Micron (MU)	Wed Sep 30, after close	$1,073.15	$86.05 (8.0%)	8.1%
Jabil (JBL)	Wed Sep 30, before open	$320.50	$26.60 (8.3%)	2.5%
Conagra (CAG)	Wed Sep 30, before open	$14.17	$0.77 (5.5%)	2.4%
Accenture (ACN)	Thu Oct 1, before open	$174.48	$14.60 (8.4%)	6.6%
Nike (NKE)	Thu Oct 1, after close	$36.54	$3.17 (8.7%)	9.3%

All five report dates are confirmed in the feed. For Micron, Jabil and Conagra the expiry used is Friday, October 2, two days after the report, so a small slice of each price covers ordinary trading days as well as the earnings reaction.

Jabil: priced for a move it has not made in a year

Jabil's straddle costs $26.60, or 8.3% of the stock. Over its last four reports the shares moved 6.7%, 1.8%, 1.4% and 0.1%, an average of 2.5%. Not one of those four came close to 8.3%. Its 30-day implied volatility also sits at the top of its one-year range, so the options are the most expensive they have been all year. The history says Jabil has been a quiet stock on report day; the options say traders expect that to change.

Conagra: the same pattern on a smaller stock

Conagra options price a 5.5% move, or 77 cents, against a four-report average of 2.4%. Its largest recent reaction, 5.4% last October, lands almost exactly on this week's price; the three since were 2.5%, 1.3% and 0.4%. Implied volatility is at a one-year high.

Micron: the biggest name, priced right at its history

Micron's straddle is worth about $86 a share, 8.0%, almost exactly its 8.1% average. That average hides a wide spread: moves of 2.8% and 3.8% on two reports, and 10.2% and 15.7% on the other two, the last of which took the stock from $1,048.51 to $1,213.56 in June. Its implied volatility rank is at the bottom of its one-year range, so by that measure the options are cheaper going into this report than at any point in the past year. CNBC reported that analysts surveyed by LSEG expect $31.61 a share on revenue of $51.07 billion, and that Micron guided to an adjusted gross margin of about 86%. We covered the setup in our Micron preview.

Accenture: one bad day skews the average

Accenture is priced for 8.4%, above its 6.6% four-report average. But that average is carried by a single 18.0% drop in June. The other three moves were 2.7%, 1.4% and 4.3%, a median across all four of about 3.5%. The market is pricing in something closer to a repeat of June than to the quieter reports before it, even though its implied volatility rank is at a one-year low.

Nike: priced a little under its recent swings

Nike's straddle costs $3.17, or 8.7%, slightly under its 9.3% average. Two of its last four reports moved the stock by more than that: down 10.5% in December and down 15.5% in March. Like Micron and Accenture, its implied volatility is at the low end of its one-year range. Our earlier story covers the analyst downgrade ahead of the report.

Left out of the table

Carnival and Uranium Energy reported before Tuesday's open, so their pricing is already spent. FactSet, Cal-Maine, Progress Software, McCormick and Acuity also report this week, but the nearest usable options for them expire October 16, more than two weeks after the report, so their implied numbers mix the earnings reaction with weeks of ordinary movement.

By 11:20 a.m. Tuesday, Nasdaq quotes had all five stocks within 2% of those prices. Filings for each company are on SEC EDGAR: Micron, Jabil, Conagra, Nike and Accenture.

Sources: implied volatility, straddle prices, earnings dates and past earnings moves via Robinhood; live quotes via Nasdaq; CNBC; filings via SEC EDGAR. Some data may be delayed. This is market information, not investment advice.