Earnings Preview: Ambarella Inc, Dollar Tree, Inc., and Bob Evans Farms Inc

Analyzing pre-earnings option trends on Ambarella Inc (AMBA), Dollar Tree, Inc. (DLTR), and Bob Evans Farms Inc (BOBE)

Aug 31, 2015 at 11:32 AM
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Earnings season is winding down, but there are still a handful of notable names waiting in the wings. Semiconductor concern Ambarella Inc (NASDAQ:AMBA), discount retailer Dollar Tree, Inc. (NASDAQ:DLTR), and restaurateur Bob Evans Farms Inc (NASDAQ:BOBE) are slated to step on stage tomorrow. Below, we'll take the pre-earnings temperature of AMBA, DLTR, and BOBE.

  • Put buyers have been busier than usual in AMBA's options pits, per the stock's 10-day International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) put/call volume ratio of 0.93 -- in the 82nd percentile of its annual range. Short-term traders are paying up to bet on AMBA, too, as the stock's Schaeffer's Volatility Index (SVI) of 87% stands higher than nearly three-quarters of all other readings from the past year. Over the past eight quarters, Ambarella Inc has averaged a one-day post-earnings move of 4.5%. This go-round, options players are anticipating a much bigger swing, as the stock's near-term at-the-money (ATM) straddle is pricing in a 12.3% move. In early trading, AMBA is up 1.1% at $97.35, and boasts a year-to-date gain of nearly 92%.
  • Over the past eight quarters, DLTR has moved an average of 3.8% in the session subsequent to reporting. Now, the stock's short-term ATM straddle suggests traders are anticipating a swing of nearly twice the norm, at 7.2%. Option traders, it seems, are expecting this action to occur to the upside, as evidenced by the stock's 10-day ISE/CBOE/PHLX call/put volume ratio of 7.89, which arrives north of 88% of all comparable readings taken in the last 12 months. Again, volatility expectations are high, as DLTR's SVI of 36% sits higher than 81% of all other readings from the past year. On the charts, Dollar Tree, Inc. has suffered along with the broader equities market of late, but remains 8.7% higher on the year, at $76.52.
  • BOBE is up 3.5% at $45.13, and attempting to claw its way back atop its 20-day moving average, after KeyBanc upgraded the shares to "sector weight" from "underweight." Most analysts are already in the bulls' corner -- two of three offer up "strong buy" ratings -- as are recent option buyers. The stock's 10-day call/put volume ratio sits at a whopping 60.86, near an annual high. Ahead of earnings, Bob Evans Farms Inc sports an SVI of 51%, in the 77th percentile of its annual range. Over the past eight quarters, BOBE has averaged a one-day post-earnings move of 7.5% -- just short of the 9% swing expected after tomorrow night's report, per the stock's near-term ATM straddle.

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