Micron Technology (MU) Earnings IV Crush Suggest Price Volatility Post Earnings
$Micron Technology(MU)$ is expected to release earnings on 20 Dec 2023 after market close.
The market expects Micron (MU) to deliver a year-over-year decline in earnings on higher revenues when it reports results for the quarter ended November 2023.
Consensus EPS estimate is at -$1.01, if Micron could beat this estimate, there is a chance that the stock would trade higher.
Micron Technology (MU) Last Reported Earnings
Micron shares declined -1.8% the day following the earnings announcement on 28 Nov 2023 to close at 76.12. Following its earnings release, 21 days ago, Micron stock has drifted +25.3% higher.
From the time it announced earnings, Micron traded in a range between 63.88 and 82.99. The last price (82.17) is closer to the higher end of range.
Micron Technology (MU) Upcoming Earnings Guidance
Micron has issued earnings guidance for Q1 2024. EPS is estimated at -1.00. Revenue is estimated at 4.7 B, which would be a 15% increase from the same period last year. Gross Margin estimate in the range of -0.5% to 0.0%.
Micron Technology (MU) Historical Moves Ahead of Earnings
Micron historically moved higher heading into earnings more often than not. On average, the stock gained 1.2% for the 2 week period before earnings (based on the last 12 quarters of data).
Micron Technology (MU) Historical Stock Price Reaction to Earnings
Micron shares have moved lower in the immediate aftermath of earnings 8 out of 12 previous reports. On average the stock moved down -0.5% in the first day of trading after the company reported earnings.
Micron Technology (MU) Stock Behavior After Earnings
Based on the previous 12 earnings releases, Micron is more likely to trade higher 1 day after earnings for an average gain of 1.1%
Micron Technology (MU) Post Earnings Movement
The options market overestimated Micron stocks earnings move 75% of the time in the last 12 quarters. The predicted move after earnings announcement was ±6.3% on average vs an average of the actual earnings moves of 4.2% (in absolute terms).
Micron Technology (MU) Post Earnings Announcement Drift
Micron share price has drifted up 25.3% post earnings announcement. Using the last 12 quarters data, the average drift between earnings announcements is 5.7%. The current drift represents a positive 1.1 standard deviation move.
Current post earnings announcement drift: 25.3%
Historical average post earnings announcement drift: 5.7%
Historical post earnings drift standard deviation move: ±24.1%
Micron Technology (MU) Earnings Implied Volatility Crush
Micron's last earnings implied volatility (IV30) going into earnings was 38.8. The last time Micron released earnings, the implied volatility dropped to 33.1, resulting in an implied vol crush of 15%. 5 days after earnings, the 30 day IV was 34.3.
Average Implied Volatility Crush For MU Earnings: 17%
Average 30 Day Implied Volatility 1 Day Before Earnings: 47.8
Average MU 30 Day IV for the Day of Earnings: 39.7
Average 30 Day Implied Volatility 5 Days After Earnings: 38.7
Micron Technology (MU) IV Percentile Rank
Micron implied volatility (IV) is 34.2, which is in the 28% percentile rank. This means that 28% of the time the IV was lower in the last year than the current level. The current IV (34.2) is 0.0% above its 20 day moving average (34.2) indicating implied volatility is trending higher.
Micron Technology (MU) IV vs 20-Day HV
The current IV (34.2) in Micron is 9.9% above its 20 day HV (31.1) suggesting that options markets are predicting future volatility to trade above the most recent 20 day realized volatility.
Micron Technology (MU) Volatility Skew
The implied volatility skew shows the market's bias for pricing in volatility risk to the option premium of downside puts and upside calls.
The implied volatility for downside puts is decreasing relative to upside calls, this suggests the market is pricing in more positivity for upside move.
The current skew indicator show Bullish signal.
Summary
Based on the data I have gathered, I would think that Micron might trade pretty volatile after its earnings announcement even though the skew indicator suggest a bullish upside.
The Implied Volatility crush suggest that there are volatility which might affect how the stock will move, Do note that Micron price has declined in the last 2 earnings, despite both EPS and Revenue beat the estimate and gave a surprise.
I will continue to monitor the price action of Micron, maybe look for opportunity for a quick trade.
Appreciate if you could share your thoughts in the comment section whether you think Micron could give a positive price effect if its EPS and revenue beat estimates?
@TigerStars @Daily_Discussion @Tiger_Earnings @TigerWire appreciate if you could feature this article so that fellow tiger would benefit from my investing and trading thoughts.
Disclaimer: The analysis and result presented does not recommend or suggest any investing in the said stock. This is purely for Analysis.
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Ok so now it’s your turn MU .. they say you not going to beat but I guess u do the opposite sometimes
Great ariticle, would you like to share it?