Earnings Cheat Sheet: $TSLA, $GMCR & $GRPN

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Here is a quick technical preview of some high short interest names reporting earnings tonight:

TSLA:

Implied Move:  The options market is implying about a 13% move vs the 4 qtr avg move of ~7.5% and the 8 qtr avg move of ~6.75%.

Sentiment:  Wall Street analysts are fairly mixed on the stock with 8 Buys, 4 Holds and 3 Sell, though the avg 12 month price target is only ~$48.  Short interest is at around 46% of the float, approaching 12 month highs.

Options Volumes / Open Interest:  Amazingly, despite the huge rally in the stock in the last month, the call to put ratio of open interest is still around 0.7, so more puts than calls outstanding, by a large amount.  However, the recent option volume has had a decidedly bullish bent, with the 1 month average call to put ratio at around 2.75 to 1.  Clearly, a lot of very low put options traded in prior months are now far out of the money.

Vol Snapshot: Vol has been climbing along with the stock. May IV is about 108 and June about 75. IV30 is basically as high as its even been. June vol should fall to about 50 or lower following the report:

Screen Shot 2013-05-08 at 8.25.26 AM

IV30 (red) vs HV30 (blue) from LiveVol Pro


GMCR:

Implied Move:  The options market is implying about a 14% move vs the 4 qtr avg move of ~26% and the 8 qtr avg move of ~25%.

Sentiment:  Wall Street analysts are fairly bullish on the stock with 10 Buys, 4 Holds and 1 Sell, with an avg 12 month price target of ~$62.  Short interest is at around 27% of the float,  up from ~25% in November.

Options Volumes / Open Interest:  Another name where the call to put open interest ratio is below 1, despite the huge rally.  That ratio stands at 0.6, and even over the last month, the stock has averaged slightly more put than call volume.   Just a bit ago, a trader bought the May 50/55 1×2 put spread, 800 x 1600 for .26, this trade is profitable on May expiration if the stock is bwtn 45.26 and 54.74.

Vol Snapshot: May vol is about 110 and June is about 62. IV30 is high but expected given IV levels from its recent reports. June vol should fall to around 40 following the report:

Screen Shot 2013-05-08 at 8.29.22 AM

from LiveVol Pro


GRPN:

Implied Move:  The options market is implying about a 17% move vs the 5 qtr avg (since IPO) move of ~22%.

Sentiment:  Wall Street analysts are VERY bearish on the stock with 4 Buys, 14 Holds and 7 Sells, with an avg 12 month price target of ~$5.40.  Short interest is at around 12% of the float.

Options Volumes / Open Interest:  Call to put open interest ratio skewed to calls by a ratio of 1.5 to 1, and the 1 month average options volume has been similar bullish, around 1.75 to 1.   On Friday, a trader bought 6k of the May10th weekly 6 calls for .27, short term defined risk bet that is only profitable if the stock is above 6.27, or ~15% higher than current levels.

Vol Snapshot: GRPN vol is up into its report but not as high as previous earnings. With the stock only 5 dollars vol is probably less important than just the dollar value of the options. June vol is about 80 and should come back to about 60 following the report. Here’s how the vol looks historically:

Screen Shot 2013-05-08 at 8.36.16 AM

from LiveVol Pro