Earnings Preview: Bank of America, Delta, SanDisk

Analyzing recent option activity on Bank of America Corp (BAC), Delta Air Lines, Inc. (DAL), and SanDisk Corporation (SNDK)

by Griffin Kruse

Published on Apr 14, 2015 at 12:24 PM
Updated on Jun 29, 2020 at 11:10 AM

Among the stocks gearing up to report earnings tomorrow are financial firm Bank of America Corp (NYSE:BAC), airline issue Delta Air Lines, Inc. (NYSE:DAL), and data storage specialist SanDisk Corporation (NASDAQ:SNDK). Below, we'll gauge the pre-earnings temperature of BAC, DAL, and SNDK.

  • The shares of BAC have been sliding, down 13.5% from their Dec. 31 annual high of $18.21 to hover near $15.75. However, traders have been betting bullishly on Bank of America Corp ahead of tomorrow's trip to the earnings confessional. Specifically, BAC's 10-day International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) call/put volume ratio of 5.42 stands in the 78th percentile of its annual range. On the earnings front, BAC has been an underperformer over the past year -- in the session immediately following its last four earnings reports, BAC has lost an average of 3.3%. Traders have been paying relatively fair prices for their short-term bets on the security, as its Schaeffer's Volatility Index (SVI) of 24% ranks in the 49th percentile of all equivalent readings taken over the last 12 months.

  • DAL has been sliding as well, with the shares down 16.2% since notching an all-time high of $51.06 on Jan. 23 to linger near $42.80. Options traders have kept the faith, though, as Delta Air Lines, Inc.'s 50-day ISE/CBOE/PHLX call/put volume ratio of 3.58 is higher than 94% of all similar readings taken over the past year. Speculators anticipating post-earnings upside have history on their side -- in the session immediately following its last four earnings reports, DAL has gained an average of 5.1%. However, any post-event rallies could falter near $44, which has emerged as resistance this month (and is home to the equity's descending 10-week moving average). Near-term options for DAL are available for historically modest prices, as its SVI of 40% stands in the 36th percentile of its annual range.

  • SNDK has been a technical laggard, with the shares down 28% year-to-date to trade at $70.60. What's more, the security notched an annual low of $63 on April 1. Despite this downtrend, options traders have favored calls over puts lately, as SanDisk Corporation's 10-day ISE/CBOE/PHLX call/put volume ratio of 2.93 ranks in the 92nd percentile of its annual range. Meanwhile, in the session immediately following its last four earnings reports, SNDK has lost an average of 2.3%, including a 13.6% plunge in July. Short-term options are pricing in middling volatility expectations, as the stock's SVI of 39% ranks higher than 49% of all equivalent readings taken over the past 12 months.

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