Analyzing pre-earnings option trends on Cisco Systems, Inc. (CSCO), Cyberark Software Ltd (CYBR), and Macy's, Inc. (M)
An overseas decision has derailed the stock market's upward momentum from yesterday. Meanwhile, a number of companies are gearing up for trips into the earnings spotlight, including blue chip Cisco Systems, Inc. (NASDAQ:CSCO), Israel-based cybersecurity firm Cyberark Software Ltd (NASDAQ:CYBR), and department store operator Macy's, Inc. (NYSE:M). Below, we'll take the pre-earnings temperature of CSCO, CYBR, and M.
- CSCO is scheduled to report earnings after tomorrow's close, and the options market is pricing in a 4.7% move in the subsequent session, based on near-term at-the-money (ATM) straddle data. This single-day swing is slightly less than the shares have averaged over the past eight quarters (5.2%). It looks like recent traders at the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) are counting on Cisco Systems, Inc. to resolve to the upside, based on its 10-day call/put volume ratio of 4.66 -- in the 88th percentile of its annual range. Meanwhile, the shares have been steadily muscling their way higher since consolidating in the $27 area in early July, up about 4.2% to trade at $28.13, and establishing a foothold atop their 40-week trendline.
- Since early July, CYBR has been struggling to take out its 50-day moving average. Today, the stock is down 4% at $60.61 amid broad-market headwinds, with the company scheduled to report earnings after the closing bell. Based on the equity's short-term ATM straddle, the options market is pricing in a single-day post-earnings swing of 14% -- which is less than the 16.6% absolute move the shares have made, on average, following the past three quarterly events. Option traders have been rolling the dice on an upside breakout, based on data from the ISE, CBOE, and PHLX. During the last 20 days, speculators have bought to open 3.53 calls for every put. If Cyberark Software Ltd disappoints tonight, a mass exodus of option bulls could make life hard on the stock.
- M will hit the earnings stage bright and early tomorrow, and expectations are for a 5.2% post-earnings move, based on the stock's near-term ATM straddle. This is slightly more than the 4.5% swing the shares have averaged in the aftermath of the company's previous eight appearances. Heading into the event, option bears have been extremely active. Macy's, Inc.'s 10-day ISE/CBOE/PHLX put/call volume ratio registers at 3.52, in the 95th percentile of its annual range. On the charts, the stock has gained just under 2% in 2015, and was last seen at $67 -- just above its 32-week moving average.