JEFpost-close
Jefferies Financial Group Inc.
$52.23$43.13$47.68
±9.5%7.4× normal
usually ±2.6% · beat 1/8rich
Stocks This Week
Sep 28 – Oct 2VIX 16.6, normalbreadth 70%put/call 0.83tape 84, risk on
Eight companies report this week. The options market is charging most for CarMax — priced to move 7.9× a normal day. Wednesday carries three of them. Premium looks richest in FactSet Research, at 6.1× its usual reaction, and cheapest in Micron Technology.
The week ahead
expected movecolour = size vs a normal dayroutine under 4x a normal dayelevated 4–5.5xhigh 5.5–7xsevere 7–9xextreme 9x and up
Monday 9/282 reports
MTNpost-close
Vail Resorts, Inc.
$150$122$136
±10.1%7× normal
usually ±3.8% · beat 0/8rich
Tuesday 9/292 reports
KMXpre-open
CarMax Inc
$64.61$49.81$57.21
±12.9%7.9× normal
usually ±3.0% · beat 1/8rich
CCLpre-open
Carnival Corporation Ltd.
$23.80$20.70$22.25
±7.0%4.1× normal
usually ±3.5% · beat 0/8rich
Wednesday 9/303 reports
FDSpre-open
FactSet Research Systems Inc.
$296$240$268
±10.4%5.8× normal
usually ±1.7% · beat 0/8rich
CAGpre-open
ConAgra Brands, Inc.
$14.90$13.42$14.16
±5.2%4.1× normal
usually ±2.3% · beat 3/8rich
MUpost-close
Micron Technology, Inc.
$1144$986$1065
±7.4%2.2× normal
usually ±9.1% · beat 5/8cheap
Thursday 10/11 report
MKCpre-open
McCormick & Company, Incorporated
$52.04$44.76$48.40
±7.5%6.5× normal
usually ±4.8% · beat 1/8rich
10 further companies were withheld from the grid — their at-the-money options were too thinly traded to price a move honestly. They appear in the desk sheet below, flagged thin, and are re-priced each weekday morning as open interest builds.
Sorted richest to cheapest: implied move over the median of past reactions. Exceededcounts past reactions larger than today's implied. Crush is front minus back IV in vol points. Skew is 25Δ put IV minus 25Δ call IV; positive means downside is bid. Past moves marked · are estimated from 10-Q filing dates; unmarked ones the pipeline graded itself.
| Ticker | Reports | Implied | Usually | Ratio | Exceeded | Past reactions | Front IV | Back IV | Crush | Skew | Straddle | ATM OI |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GRFSthin | Mon | ±7.8% | ±0.7% | 11.41× | 0/3 | +0.7-0.9-0.6 | 60 | 41 | 20 pts | — | $0.57 K7 10-16 | 20 |
| FDS | Wed pre | ±10.4% Sun ±11.0 | ±1.7% | 6.08×rich | 0/8 | +6.7+3.6+2.3-0.6-4.8-1.1+1.2-0.8 | 57 | 50 | 7 pts | -1.1 | $27.89 K270 10-16 | 293 |
| KMX | Tue pre | ±12.9% | ±3.0% | 4.30×rich | 1/8 | +4.2+1.9-20.1-2.5+3.5+5.0+1.3+1.6 | 75 | 55 | 20 pts | +3.0 | $7.40 K57.5 10-16 | 691 |
| SAthin | Wed | ±9.3% Sun ±12.1 | ±2.2% | 4.26× | 0/2 | -4.2-0.2 | 66 | 70 | -4 pts | -8.1 | $2.66 K29 10-16 | 272 |
| VFSthin | Thu | ±11.1% Sun ±14.2 | ±2.9% | 3.77× | 0/2 | -2.0+3.9 | — | — | — | — | $0.35 K3 10-16 | 1891 |
| JEF | Mon post | ±9.5% | ±2.6% | 3.60×rich | 1/8 | -3.2+4.0-7.9+1.8+14.9-0.7+2.1-1.0 | 50 | 45 | 5 pts | -2.7 | $4.55 K47.5 10-16 | 1126 |
| JBLthin | Wed pre | ±9.9% Sun ±8.0 | ±3.4% | 2.95×rich | 1/8 | +4.2+5.2+2.0-0.9+14.2-0.1+3.4+3.4 | 106 | 56 | 50 pts | -1.5 | $31.70 K320 10-02 | 305 |
| CALMthin | Wed pre | ±8.9% | ±3.1% | 2.86×rich | 0/8 | -6.3-3.0-2.1-3.3-2.6+2.7+3.6-3.2 | 46 | 42 | 4 pts | 0.0 | $6.00 K65 10-16 | 362 |
| MTN | Mon post | ±10.1% | ±3.8% | 2.66×rich | 0/8 | -4.3-3.5-2.9+7.7+2.5+0.7+4.1-7.1 | 58 | 46 | 12 pts | +14.6 | $13.75 K135 10-16 | 766 |
| NKEthin | Thu post | ±8.4% | ±3.4% | 2.49×rich | 2/8 | -15.5+4.1+6.4-14.4-2.6-1.7-1.4-1.7 | 166 | 50 | 116 pts | -4.2 | $2.98 K35.5 10-02 | 5052 |
| CAG | Wed pre | ±5.2% Sun ±6.1 | ±2.3% | 2.28×rich | 3/8 | +1.3-2.5+5.4+1.5-2.0-8.1+5.4-1.9 | 67 | 35 | 32 pts | +14.5 | $0.74 K14 10-02 | 1363 |
| CCL | Tue pre | ±7.0% Sun ±7.3 | ±3.5% | 1.97×rich | 0/8 | +2.1-4.3-4.0+4.2+2.4-2.5+3.1-4.9 | 81 | 51 | 30 pts | +0.3 | $1.55 K22 10-02 | 8058 |
| MKC | Thu pre | ±7.5% Sun ±9.1 | ±4.8% | 1.56×rich | 1/8 | +5.6-6.1-3.9+5.3+0.8-2.4+4.3+10.5 | 43 | 34 | 9 pts | +1.8 | $3.64 K50 10-16 | 4575 |
| UECthin | Tue pre | ±9.1% Sun ±8.6 | ±6.4% | 1.42×full | 2/8 | -3.7-15.5+6.8+11.8+6.1+4.6-8.1+3.5 | 97 | 68 | 29 pts | -10.2 | $0.86 K9.5 10-02 | 4009 |
| AYIthin | Thu pre | ±9.3% Sun ±10.5 | ±6.7% | 1.39×full | 2/8 | +17.6-7.5-12.8+5.8-9.2+3.2+1.1-1.3 | 54 | 40 | 14 pts | +4.7 | $28.69 K310 10-16 | 16 |
| AIRthin | Tue post | ±9.5% Sun ±12.3 | ±7.3% | 1.30×full | 3/8 | +9.9+3.7+4.2-16.4+8.7-4.5-5.9-10.2 | 64 | 48 | 15 pts | -18.7 | $10.90 K115 10-16 | 46 |
| ACNthin | Thu pre | ±8.8% Sun ±8.4 | ±7.2% | 1.22×full | 2/8 | -18.0+4.3-1.4-6.9-7.3+7.1+7.3-9.3 | 117 | 51 | 66 pts | +21.6 | $15.53 K177.5 10-02 | 1281 |
| MU | Wed post | ±7.4% Sun ±8.6 | ±9.1% | 0.81×cheap | 5/8 | +15.7-4.8+10.2-1.0-8.0-16.2-7.1+14.1 | — | — | — | — | $78.82 K1065 10-02 | 1611 |
Where money went
sectors, past weekXLI
Industrials
+0.95%
XLK
Technology
+0.86%
XLV
Health Care
+0.51%
XLU
Utilities
+0.48%
XLF
Financials
+0.46%
XLE
Energy
-1.26%
Rotation reads neutral.
How last week landed
week of September 211 of 8 moved further than the options market had priced.
Ticker
Priced
Actual
Result
COST
±3.2%
+2.9%
contained
PAYX
±7.4%
-8.8%
exceeded
DRI
±7.9%
-3.0%
contained
GIS
±8.0%
+1.0%
contained
ABVX
±8.6%
-5.0%
contained
UEC
±6.2%
-3.7%
contained
THO
±11.4%
+5.5%
contained
KBH
±9.6%
-3.0%
contained