Earnings Preview: Groupon Inc, BioCryst Pharmaceuticals, Inc., and Cablevision Systems Corporation

Analyzing pre-earnings option trends on Groupon Inc (NASDAQ:GRPN), BioCryst Pharmaceuticals, Inc. (NASDAQ:BCRX), and

Aug 6, 2015 at 12:17 PM
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A number of notable names are making big post-earnings moves today, including Herbalife Ltd. (NYSE:HLF), Keurig Green Mountain Inc (NASDAQ:GMCR), and Tesla Motors Inc (NASDAQ:TSLA). Tomorrow could be more of the same, with coupon concern Groupon Inc (NASDAQ:GRPN), drugmaker BioCryst Pharmaceuticals, Inc. (NASDAQ:BCRX), and cable operator Cablevision Systems Corporation (NYSE:CVC) all on deck. Below, we'll take the pre-earnings temperature of GRPN, BCRX, and CVC.

  • Over the past eight quarters, GRPN has swung -- on average -- 15% in the session subsequent to reporting. This time around, the equity's near-term at-the-money (ATM) straddle is forecasting a slimmer 13.9% move. Option traders have been betting on the action to resolve itself to the upside following tonight's results, per GRPN's 50-day International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) call/put volume ratio of 7.58 -- in the 92nd annual percentile. Simply stated, calls have been bought to open over puts with more rapidity just 8% of the time within the past year. Technically speaking, Groupon Inc could use a shot in the arm, considering the shares are down 42.5% year-to-date to trade at $4.75 -- and notched a new two-year low of $4.62 on Monday.

  • BCRX has been on fire since hitting an annual low of $7.85 in late March -- up 82% at $14.32, and fresh off a July 20 eight-year high of $16.83. Nevertheless, put buyers have been active ahead of tomorrow morning's scheduled event, as evidenced by the security's 10-day ISE/CBOE/PHLX put/call volume ratio of 1.79, which rests just 10 percentage points from a 12-month peak. Those currently purchasing the equity's short-term options are paying relatively inflated premiums, considering BCRX's 30-day ATM implied volatility of 72.5% ranks above 77% of all comparable readings taken in the past year. Historically speaking, BioCryst Pharmaceuticals, Inc. has averaged a single-session post-earnings move of 6.7% in the past eight quarters, much less than the 12% the stock's near-term ATM straddle is pricing in for this go-round.

  • Option traders have been quick to initiate long calls over puts on CVC in the lead-up to tomorrow morning's earnings report. Specifically, the security's 10-day ISE/CBOE/PHLX call/put volume ratio of 69.33 rests higher than 94% of all other readings taken in the last 52 weeks. Meanwhile, CVC's short-term options are pricing in extremely high volatility expectations at the moment. In fact, the equity's Schaeffer's Volatility Index (SVI) of 74% stands at an annual high. Looking back over the past eight quarters, Cablevision Systems Corporation has moved an average of 3.4% in the session after reporting, but in tomorrow's session, the equity's near-term ATM straddle is pricing in a much bigger 14.4% swing. On the charts, the security popped higher in late May on sector-related M&A buzz, and has yet to look back. In fact, the shares tagged a 14-year high of $28.95 one week ago, and were last seen lingering near $26.11.
 

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