Jabil options priced 7.9%, it fell 6.2%; Conagra priced 5.4%, fell 5.4%. Micron priced for 7.6% tonight
Two stocks whose options looked expensive against their history moved about as far as priced. Next up: Micron after Wednesday's close, then Accenture and Nike on Thursday, with implied volatility near one-year lows on all three.
On Tuesday we flagged Jabil and Conagra as the two names this week whose options were priced for far more than their usual report-day move. Both reported before Wednesday's open, and both moved roughly as far as the options said they might, not as little as their history suggested. That is worth keeping in mind for the three large reports still to come: Micron after the bell Wednesday, and Accenture and Nike on Thursday.
How the number is built
Each figure is an at-the-money straddle: the price of one call plus one put at the strike closest to the share price, in the first weekly expiry after the report, here Friday, October 2. It measures the size of move the options market is paying for, in either direction. It is not a forecast or a target. Prices are from the Robinhood feed at 7:02 a.m. Eastern Wednesday; past moves run from the close before each report to the close after it.
The scorecard: history said quiet, options said otherwise
| Company | Priced move (Wed feed) | Avg. of last 4 moves | Move by 11:20 a.m. Wed |
|---|---|---|---|
| Jabil (JBL) | $25.30 (7.9%) | 2.5% | -$19.93 (-6.2%) |
| Conagra (CAG) | $0.77 (5.4%) | 2.4% | -$0.76 (-5.4%) |
Jabil traded at $298.92 at 11:20 a.m., down from Tuesday's $318.84 close, according to Nasdaq. That is a bigger move than any of its last four reports, where the largest was 6.7%. The quarter itself was strong; the concern, as we reported in our Jabil results story, is how much of its cash flow came from supplier payables nearly doubling.
Conagra was at $13.37, down from $14.13, a drop of 76 cents against a 77-cent straddle, per Nasdaq. Our Conagra story covers why a profit beat did not help: grocery volume fell 5.4% and the $1.40 dividend now matches the low end of its EPS guidance.
The lesson is narrow but real. A four-report average is a small sample, and when options price well above it, the options sometimes know something about the setup that the history does not. Neither stock has closed yet, so these are intraday moves.
Still to report
| Company | Reports | Feed price | Implied move | Avg. of last 4 moves |
|---|---|---|---|---|
| Micron (MU) | Wed Sep 30, after close | $1,069.79 | $81.28 (7.6%) | 8.1% |
| Accenture (ACN) | Thu Oct 1, before open | $177.00 | $13.20 (7.5%) | 6.6% |
| Nike (NKE) | Thu Oct 1, after close | $35.61 | $3.08 (8.7%) | 9.3% |
All three report dates are confirmed in the feed.
Micron: a little cheaper than Tuesday
Micron's straddle is now $81.28, or 7.6%, down from 8.0% in Tuesday's feed and just under its 8.1% four-report average. From the feed price, that brackets roughly $988 to $1,151. Its implied volatility rank is 0, the bottom of its one-year range. The history is lopsided: two reports moved it 2.8% and 3.8%, and two moved it 10.2% and 15.7%. CNBC reported that analysts surveyed by LSEG expect $31.61 a share on revenue of $51.07 billion. The stock was at $1,072.95 at 11:20 a.m., up 0.7%. Our Micron preview has the setup.
Accenture: the price moved before the report did
Accenture's 7.5% straddle was set with the stock at $177. By 11:20 a.m. it was at $182.81, up 3.2% on the day, so the at-the-money strike has shifted and the figure will look different by the close. Its 6.6% average is driven by one 18.0% drop in June; the other three reports moved 2.7%, 1.4% and 4.3%. Implied volatility rank is 0.07, near a one-year low.
Nike: priced just under its swings
Nike options price 8.7%, or $3.08, against a 9.3% average, with moves of 6.4%, 10.5%, 15.5% and 4.9% over its last four reports. Its implied volatility rank is 0. The stock was at $35.67 late Wednesday morning, down 0.5%. We covered the downgrade ahead of its report.
Left out
FactSet and Cal-Maine reported Wednesday morning, and Progress Software reports after Wednesday's close. McCormick and Acuity report Thursday morning. For all five, the nearest usable options expire October 16, about two weeks after the report, so their implied numbers blend the earnings reaction with ordinary trading and are not comparable with the table above.
Filings are on SEC EDGAR: Micron, Accenture, Nike, Jabil and Conagra.
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.
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