What move does the options market price into Conagra Brands's report?

Implied ±4.7%, either direction.

CAGNYSEFood and Kindred Products

Conagra Brands Inc. (CAG) earnings date, market-implied expected move, and options open interest by expiry

14.56

+0.47 · +3.37%

post 14.53 −0.24%

Closed17:54 ET

Open14.28Volume10.7MMkt cap$7.0BEPS-3.98Div yield8.41%

Day14.28 – 14.5883%52-wk12.39 – 19.5930%

CAG

Conagra Brands Inc.

OpenVolumeMkt capP/EEPSDiv yield

Day – 52-wk –

Expected move

Inputs

±4.7%implied · report alone

13.8915.25

straddle ±9.5%

spot 14.57exp Dec 18ATM strike 15ATM straddle 1.62IV 37%

Oct 30 closereport share · term structure

Expected move

Inputs

Next report

Dec 18

before open · in 48 days

est.Q2 FY27

Calendar

Next report

Last report

−4.88%

vs ±4.2% implied · ×1.16

shaded = implied · ▲▼ = realized

Sep 30 '26 · confirmed

Implied vs realized

Linked news

2dWMT · customerFTC demands Walmart, Uber, Delta and others hand over data on personalized pricing: Reuters
2dWEN · supplierThe Wendy's Company Confirms Receipt of Unsolicited Proposal from Trian Partners

News

Largest filed tie

13F top-10 QoQ

+9.09%

shares held · 10 largest managers

13F · Jun 30 '26123d lag

788 managers

Top fund weight

0.13%

CAG weight · REVS

N-PORTJul 31 '26

4 funds

Last reportshaded = implied▲▼ = realized× = |realized| ÷ implied

Conagra Brands (CAG) is expected to report on Dec 18 before open (estimated date).

Implied vs realized

1 report

—≥ implied

Q1 FY27Sep 30 '26confirmed±4.2%▼−4.88%×1.16

quarterimplied−5%0+5%realized×

Q1 FY27±4.2%▼−4.88%×1.16

Shaded = implied · tick ▲▼ = realized · × = |realized| ÷ impliedSource: options EOD · implied at prior close · realized close to close

Implied vs realized

Positioning

OI · 8 expiries · Oct 30 close

0.31OI · 8 expiries · Oct 30 closeP/C open interest · Dec 18 · first expiry after the report

PUTS · chgexpiry · days · P/CCALLS · chgP/C

3 nearer expiries

4,146+17%Nov 66d1.153,607+57%1.15

560+26%Nov 1313d0.252,243+1%0.25

3,798+13%Nov 2020d0.3810,061+3%0.38

1,800+6%Nov 2727d3.59502+7%3.59

100—Dec 434d0.85118—0.85

ExpiryPutsCallsP/C

3 nearer expiries

Nov 66d4,146+17%3,607+57%1.15

Nov 1313d560+26%2,243+1%0.25

Nov 2020d3,798+13%10,061

Hatched = puts · solid = calls · bars scaled per expiry · chg = OI vs prior sessionSource: options EOD

Positioning

Linked exposure

scenario · straddle±9.5%

Funds 4

REVS±0.0%

VTI±0.0%

VOO±0.0%

VT±0.0%

Dashed = straddleMethod Source: SEC filings · N-PORT · market data

Linked exposure

Revenue flow

as filedQ1 FY27

6.71%as filednet margin · revenue −9.93% QoQ · −1.39% YoY

Revenue

$2.6B−9.93% QoQ

Gross profit

$619M−12.13% QoQ

23.83% margin

Operating income

$268M+116.19% QoQ

10.34% margin

Pre-tax income

$233M+113.80% QoQ

Net income

$174M+110.78% QoQ

6.71% margin

Cost of revenue

$2.0B−9.22% QoQ

Operating expenses

$350M−85.21% QoQ

Other expense

$36M

Tax

$59M+182.65% QoQ

Revenue$2.6B−9.93%

Gross profit

$619M−12.13%

23.83% margin

Operating income

$268M+116.19%

10.34% margin

Pre-tax income

$233M+113.80%

Net income

$174M+110.78%

6.71% margin

Cost of revenue

$2.0B−9.22%

Operating expenses

$350M−85.21%

Other expense

$36M

Tax$59M+182.65%

flow · deduction · signed % = QoQSource: SEC filings · standardized · QE Aug 30 '26 · width = $

Revenue flow

Intraday

15m bars

Long dash = implied range · Oct 30 close · Hatch = extended hours · ▯ up · ▮ downSource: market data · 17:45 ET

Intraday

Event sensitivity

PPI ×1.83· ±2.3% vs ±1.3% · 11 releases

eventrelease day|move|up · n×base

PPIproducer prices±2.3%7 of 11×1.83

NFPjobs report±1.7%7 of 10×1.38

GDPgross domestic product±1.6%10 of 19×1.29

CPIconsumer prices±1.4%4 of 11×1.15

CPROFcorporate profits±1.4%5 of 12×1.10

FOMCrate decision±1.4%6 of 24×1.08

PCEpersonal income & outlays±1.3%11 of 19×1.06

Bar = avg |move| to ±3% · tick = ±1.3% avg day · ×base = |move| ÷ ±1.3% · min 6 releases

Earnings history

EPS 0.36 · consensus —

Quarter	Reported	EPS	Consensus
Q1 FY27	Sep 30 '26 · confirmed	0.36	—
Q4 FY26	—	-3.37	—
Q3 FY26	—	0.42	—
Q2 FY26	—	-1.39

Methodology

ties · implied moves · holdersMethod