Dollar General Corp. (DG)

Updated 8/31/2017: DG fell about $6.50 after earnings were published and then recovered about $2 in the ensuing three hours of trading. It came very close to meeting expectations of $1.09 per share, coming in with an eps of $1.08.

Shares showed a net declined of 3.8% over my one-day holding period, o a -1,368% annual rate. Tye options position produced a 33.4% yield on debit for a +12,202% annual rate.

The stock’s move of $2.85 was well below the expected $4.25, which puts it in the same group as 85% of earnings announcements, statistically speaking.

The move was also less than DG has showed historically after earnings, coming in at about half the average, a fifth of the maximum, and a bit less than three-fourths of the central tendency.

Zacks Investment Research listed DG with an earnings surprise predictor score of -0.37, suggesting that there would be a small negative surprise. The beta is 0.93.

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DG publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine days hence, on Sept. 8.

Implied volatility stands at 36%, which is 3.2 times the VIX, a measure of the volatility of the S&P 500 index.

DG’s IV stands in the 80th percentile of its annual range and at the peak of its most recent broad movement.

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Ctrip.com International Ltd. (CTRP)

Update 8/31/2017: CTRP’s stock price fell $3.70 after earnings were published, after earnings came it at double the consensus forecast.  I exited for a loss.

Shares declined by 7.0% over one day, or a -2,558% annual rate. The options position produced a -28.85 loss for a -10,442% annual rate.

The movement after publication was nearly double the average and central tendency of movements following the last four earnings announcements, and just a bit below the maximum.

The Street estimate for earnings was $0.08 per share, and the actual eps was $0.17. Zacks Investment Research going into earnings gave CTRP an earnings surprise predictor score of 11.11, signifying a major earnings surprise to the upside, which indeed is what happened. The beta was 1.71.

The post-earnings movement, at $3.70, far beyond the expected movement $2.51, placing it in a category that in theory covers the response to only 15% of earnings announcements.

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CTRP publishes earnings on Wednesday after the closing bell.

I shall use options that trade for the last time nine days hence, on Sept. 8.

Implied volatility stands at 35%, which is 3.1 times the VIX, a measure of the volatility of the S&P 500 index.

CTRP’s IV stands in the 75th percentile of its annual range and the 86th percentile of its most recent broad movement.

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Ciena Corp. (CIEN)

Update 8/31/2017: CIEN fell $2.52 at the market open after earnings were published. I exited for a loss.

Shares declined by 10.3% over one day, or a -3,754% annual rate. The options position produced a -24.6% loss for a -8,955% annual rate.

The price stayed within the average, maximum and central tendency ranges of the last four earnings announcements. CIEN’s earnings came in close to the mark. The consensus earnings estimate was $0.50 per share, and the actual eps was $0.51.

The actual movement exceeded the $1.99 expected by $0.53, making the response an outlier theoretically occurring after only 15% of earnings announcements..

The Zacks Investment Research earnings surprise predictor gave a -1.31 score prior to publication, forecasting a downside surprise. The beta going into earnings was 1.61.

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CIEN publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine days hence, on Sept. 8.

Implied volatility stands at 48%, which is 4.2 times the VIX, a measure of the volatility of the S&P 500 index.

CIEN’s IV stands in the 70th percentile of its annual range and the 84th percentile of its most recent broad movement.

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8/30 – 2:50 p.m. New York time

I entered three new positions today: CIEN, CTRP and DG.

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8/29 – 2:05 p.m. New York time

As I noted in yesterday’s “Live” post, I had neither entrances into new positions nor exits from existing ones on my desk today. Therefore, no outcomes.

By Tim Bovee, Aug. 29, 2017, Portland, Oregon

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8/28 – 12 p.m. New York time

I entered no new positions and exited MOMO and MRVL.

As is not unusual in the periods between earnings season, my cupboard of options positions is bare. The next trading opportunities for earnings plays will come on Wednesday, although on Tuesday I may explore opportunities unrelated to earnings announcements

Meanwhile, my trading for today is over.

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A giant one-two punch marks the week.

The second gross domestic product estimate for the 2nd quarter will be released on Wednesday, and employment situation stats will be published Friday, each at 8:30 a.m. New York time.

Both are heavy hitters in discourse on our financial future, but it should be noted, both are trailing indicators, telling us what has happened rather than pointing toward what will. Traders who believe that past is prologue will give weight to the two macroeconomic pronouncements. Myself, I am no fan of the PIP theory, having broken my crystal ball in a tragic slip on the ice some years ago.

A leading indicator in the week’s econ mix is from the Institute of Supply Management manufacturing survey, out Friday at 10 a.m.

The employment numbers will get a sneak preview on Wednesday by means of a report produced by a private company, the ADP employment report. Look for it on Wednesday at 8:15 a.m.

Another major report out during the week: International trade in goods on Monday at 8:30 a.m.

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825 – 3:20 p.m. New York time

No new positions; no exits. We’re in the between-the-earnings-season doldrums.

8/24 – 7:25 p.m. New York time

I have no prospective trades on my desk for action on Friday.

By Tim Bovee, Portland, Oregon, Aug. 24-25, 2017

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Marvell Technology Group Ltd. (MRVL)

Update 8/28/2017: MRVL beat earnings expectations, coming in at $0.31 against the $0.28 consensus forecast. Shares rose more than $1 after publication and then fell less than a quarter of the rise before beginning another upward move.

The Earnings Surprise Predictor from Zacks Investment Research gave no indication that a surprise was looming.

Shares rose by 7.0% over over four days, or a +636% annual rate. The options position produced a 46.9% loss for a -1,766% annual rate.

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MRVL publishes earnings on Thursday after the closing bell.

I shall use options that trade for the last time eight days hence, on Sept. 1.

Implied volatility stands at 42%, which is 3.4 times the VIX, a measure of the volatility of the S&P 500 index.

MRVL’s IV stands in the 85th percentile of its annual range and the 88th percentile of its most recent broad movement.

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Broadcom Ltd. (AVGO)

AVGO publishes earnings on Thursday after the closing bell.

I shall use options that trade for the last time eight days hence, on Sept. 1.

Implied volatility stands at 40%, which is 3.3 times the VIX, a measure of the volatility of the S&P 500 index.

AVGO’s IV stands in the 78th percentile of its annual range and at the peak of its most recent broad movement.

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