Ciena Earnings Volatility and Options Straddle


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Ciena (CIEN)

Ciena (NASDAQ: CIEN) is scheduled to report Q1 Wednesday, March 8, Before the Market Open

Telecom networking equipment maker Ciena is scheduled to announce its quarterly figures BMO March 8, 2017.

Implied Volatility for CIEN reached its lowest level in more than a year on January 24.  From there, IV began an advance that continued through February.  Last Friday, the measure took another tick up, reaching 53.9, its highest level since its last earnings report in early December.

Analysts are looking for Ciena to earn $0.29 per share for the current quarter.  This would be a notable improvement from the $0.18 per share posted in the same period last year.  Revenue growth is projected to be about 10%, with analysts looking for the top line to increase to around $632 million.

Ciena's earnings results have tended to inspire notable moves recently.  In four of the past five quarters, the post-earnings stock price change for CIEN has been more extreme than the pre-report expectation.  That includes last time around, when the stock jumped 15.1% compared to a pre-release expectation of an 8.6% move.

Overall, the average absolute post-earnings move over the last four quarters has been 13.5%.  This is notable higher than the average implied straddle of 9.3% headed into the reports.

The ATM Straddle premium for CIEN for the March 10 expiration is $2.18, or 8.3%.

Earnings History and Price Reaction can be viewed here: https://marketchameleon.com/Overview/CIEN/Earnings/