CAG Earnings Preview: Options Price a ±4.9% Move
· The NYC Memo · CAG reports 2026-09-30
ConAgra Brands, Inc. reports September 30, 2026. The October 2, 2026 straddle implies ±4.88% against a 3.21% average reaction, with dealers long gamma and max pain at $14.5.
Live updates
Sep 30 — Ahead of CAG earnings on September 30, 2026, the options implied move compressed from ±5.65% to ±4.88%, indicating expectations for a smaller post-announcement share reaction despite at-the-money implied volatility rising from 68.8% to 71.5%.
Sep 29 — Ahead of September 30, 2026 earnings, CAG at-the-money implied volatility rose from 62.7% to 68.8%, implying an expected earnings move of 5.65% around the 14.16 spot price.
Sep 28 — Ahead of CAG earnings on September 30, 2026, the options-implied move narrowed from ±6.08% to ±5.65%, implying diminished market expectations for post-earnings share price volatility.
Sep 28 — Ahead of earnings on September 29, 2026, the CAG implied move expanded from ±5.73% to ±6.08% as spot fell from $14.67 to $14.32, implying expectations of wider post-announcement price swings as at-the-money implied volatility rose from 46.8% to 59.3%.
ConAgra Brands, Inc. reports Q1 2027 earnings on September 30, 2026, before open. Spot is $14.13, off -30.5% from the high and down -12.2% over the past month. For the October 2, 2026 expiry, the $0.69 straddle prices an implied move of 4.88%, establishing an implied range of $13.44 to $14.82 alongside 71.5% volatility. The market demands more movement than recent history delivers. Across 7 prints counted, the average realised reaction is 3.21%, with 2 moves higher and 4 lower.
Positioning shows put to call open interest at 0.63, with max pain at $14.5. The dealer lean is long gamma. This positioning anchors the tape, muting volatility into the print.
What the market will be watching
The desk enters the ConAgra Brands print focused on retail demand trends and volume recovery across frozen and grocery portfolios. Traders will scrutinize gross margins against input cost pressures, packaging inflation, and supply chain efficiencies. Pricing power and promotional cadence remain central to evaluating brand strength as consumers manage household budgets. Guidance for the remainder of the fiscal year will drive the post-earnings reaction, especially commentary regarding volume elasticity, retailer inventory adjustments, and supply reliability in key packaged food categories.
What the options market is pricing
| Measure | Level |
|---|---|
| September 30, 2026, Before Open | |
| Expiry used | October 2, 2026 (2 days out) |
| Spot | $14.13 |
| ATM straddle | $0.69 |
| Implied move | ±4.88% ($13.44 to $14.82) |
| ATM implied vol | 71.5% |
| Put/call open interest | 0.63 |
| Max pain | $14.5 |
| Net dealer gamma | +$0.19mn per 1% move, LONG GAMMA |
| Heaviest call strike above spot | $15.5 (2,105 contracts) |
| Heaviest put strike below spot | $14 (1,914 contracts) |
Dealers sit long gamma into the print, which means their hedging leans against the move and tends to compress CAG between catalysts. That damping disappears the moment the number crosses the tape.
How the stock has reacted before
| Report | Next-day move |
|---|---|
| Q2 2026, Jul 15 | +2.26% |
| Q4 2025, Apr 1 | +0.00% |
| Q3 2025, Dec 19 | -3.03% |
| Q2 2025, Jul 10 | -4.81% |
| Q1 2025, Apr 3 | +1.14% |
| Q4 2024, Dec 19 | -0.95% |
| Q3 2024, Oct 2 | -10.30% |
Across the last 7 prints the average absolute reaction is 3.21%, with 2 higher and 4 lower. The best was +2.26% and the worst -10.30%. Options are asking ±4.88%, which is 1.67 points richer than the realised average, the premium seller's case.
Where the stock is trading
| Measure | Level |
|---|---|
| Spot | $14.13 |
| 52-week range | $12.53 to $20.32 |
| Position in that range | 21% |
| From the 52-week high | -30.5% |
| From the 52-week low | +12.8% |
| Past week | -4.4% |
| Past month | -12.2% |
| Past three months | +5.0% |
| 50-day average | $15.25 |
| 200-day average | $15.67 |
How the options market is pricing it
The October 2, 2026 straddle marks $13.44 to $14.82 as the range the options market is paying for into the print, with ATM implied vol at 72% set to drain the morning after. A reaction inside that band hands the edge to premium sellers; a break outside it rewards premium buyers. Historically CAG has moved 3.21% on earnings against the ±4.88% now implied, so the market is pricing this print richer than the recent average. Which side of that trade is right depends on the number, the guidance and where positioning unwinds.
Read the mechanics behind the crush in our earnings volatility guide, and pull the live memo for CAG before the print.
Data as of September 30, 2026 from the live option chain, exchange price history and SEC-dated earnings reactions. This is research, not investment advice.
Related: CAG options memo