PROCEPT BioRobotics [PRCT] — Trade Construction & Risk

As of 2026-07-29 · spot $18.09 · 12-month target $25 (+38%) · realised vol 252d 63.9%, 63d 72.6%

No position verdict is issued here. This section prices and sizes the instruments; the book decides whether to own any of them.

1. The single most important fact for timing

Q2'26 results land Tuesday 4 August 2026, after close (4:30pm ET) — six calendar days from this memo. Company-announced 2026-07-14.

Everything in the analysis converges on that print:

• It is the first quarter with the handpiece:procedure ratio at ~100% (Q1'26 was ~95%, Q4'25 ~77%). It is the first clean read on the true recurring run-rate free of both channel fill and channel unwind.
• It carries the Q2 procedure count, which tests the arithmetic in PRCT_Research.md §2.4: FY26 guidance needs 39–48% US procedure growth, and Q1'26's 12,200 — flat sequentially against a +17% installed base — annualises to +12.7%, or ~+31% on FY25's own seasonal shape.
• It carries any FY26 guidance action. The guide has been reiterated once (2026-04-29). A second reiteration is a materially different signal from the first.
• It is the first quarter reported after the securities class actions were filed.

Realised vol has already re-accelerated into it: 63d 72.6% vs 252d 63.9%, and the stock is −20% in the last month on no filing.

Implication for construction: any position taken before 4 August is a position on a binary, not on the thesis. The thesis needs one clean quarter to be observable at all.

2. Equity liquidity — Liquidity Criteria (BINDING)

Consolidated tape (Alpaca SIP feed, 81 sessions 2026-04-01 → 2026-07-28):

PASS. A $10m position is ~32% of one day's volume and ~0.97% of the market cap — exitable in 2–3 sessions at normal participation. A $25m position is a week. Size is constrained by volatility, not by liquidity.

3. Options — the chain was pulled first, as the Criteria requires

Live from Alpaca, open interest as of 2026-07-27, quotes 2026-07-28. Four expiries exist: 2026-08-21, 2026-09-18, 2026-10-16, 2027-01-15. There is no 2027-06 or 2028 LEAP.

3.1 Open interest — the whole chain, ranked

This is not an HCA-style dead chain (the precedent in criteria.md: max OI of 18 contracts across an entire expiry). Peak OI is 644 and a dozen strikes carry >250. But it is thin in absolute terms, and the Jan-2027 expiry — the only one that spans the 12-month target horizon — has just 408 contracts at its most-traded strike and 13–55 at most others.

3.2 Quoted markets — where the real cost is

Liquidity Criteria on options: PASS AT SMALL SIZE ONLY, with the friction stated as a number.

The chain is fillable — quoted sizes of 15–255 contracts and OI in the hundreds support a few hundred contracts without moving the market. But near-the-money bid/ask spreads run 34–107% of mid. A defined-risk vertical crosses two of those spreads on entry and two on exit. Round-trip friction of 20–40% of the debit paid is the realistic base case, before any view is expressed.

A vehicle that costs 30% to enter and exit is not a cheap way to express a 38% target. The equity is.

3.3 What the option market is pricing

Aug-21 IV of 88–101% against 63-day realised of 72.6% is a ~20-point event premium for the 4 August print. Oct-16 IV of ~77% is close to realised. Short-dated volatility is expensive; three-month volatility is roughly fair.

3.4 If a vehicle is used

Ranked by cost-adjusted sense, given the above:

1. Common stock. The default, and on this name the correct default. $31.5m ADV, no spread problem, no expiry, and the thesis needs 2–4 quarters of procedure data to resolve — which no listed expiry spans except Jan-2027.
2. Oct-16 $20/$25 call spread (PRCT261016C00020000 / PRCT261016C00025000). OI 160 / 644 — the deepest pairing on the board. Mid-to-mid debit ≈ $1.95 − $0.90 ≈ $1.05, max value $5.00, ~3.8:1. Delta ≈ +0.13 net. Captures the 4 August print plus the Q3 pre-announcement window. Realistic fill is nearer $1.25–1.35 than $1.05, which takes the ratio to ~2.8:1 — still acceptable, and the number is stated rather than the mid assumed.
3. Jan-2027 $25 calls (PRCT270115C00025000, OI 408) — the only expiry reaching the 12-month target horizon. Strike sits exactly at the $25 target, so it needs the target exceeded, not reached. Use only as a small convexity sleeve.
4. Not recommended: any August structure. IV is 20 points over realised into a binary. Selling that premium is a volatility trade, not this thesis; buying it pays for the event twice.

4. Downside Criteria — MEASURED, logged with named causes

Volatility is not the risk. Permanent impairment is. Two causes, both named and both falsifiable.

Cause A — the destock is not finished and procedure growth decelerates with it

Probability: 40%. Modelled outcome: $17–18, roughly flat to spot.

The mechanism: handpiece shipments have been normalising toward procedures (77% → 95%), but procedures themselves went flat sequentially in Q1'26 (12,200 vs 12,200) while the installed base grew 17%. If procedures per system continue to fall — 17.8 → 16.5 already — then handpiece revenue grows only with placements, and placements grew 12%. FY26 lands near $370–380m rather than $390–410m, and FY27 near +15%.

At the post-reset low multiple of 2.35x on $409m of Jul-27 TTM revenue, with $120m of net cash and 59.5m shares, that is $18.2. The permanent loss in this case is not price — it is the twelve months.

Falsifiers, dated: Q2'26 procedures on 4 August. Above ~14,000 kills this case; below ~13,000 confirms it.

Cause B — the runway is spent on an unproven margin path and PRCT raises equity into a depressed price

Probability: 15%. Modelled outcome: $9–11, −40% to −50%.

The mechanism: FY26 adjusted-EBITDA loss is guided to $17–30m, but adjusted EBITDA excludes $59m of guided stock-based compensation — it was $47.6m in FY25 on $308m of revenue, i.e. 15.5% of revenue. GAAP net loss is guided to $78.5–91.5m. And the cash number moved the wrong way: Q1'26 operating burn was $38.1m against Q1'25's $17.0m, with cash down $286.5m → $245.6m in one quarter. FY25's full-year burn was $49.0m; Q1'26 alone was 78% of that.

If FY26 burn runs at $80–100m rather than the ~$25m the adjusted-EBITDA guide implies, net cash falls toward $100m by end-2026 and toward $50m by mid-2027 against a $51.7m term facility. A raise at $12–15 for $150m is 10–12m shares, ~20% dilution, and it would be priced off a broken tape.

Falsifiers, dated: operating cash flow in the Q2'26 10-Q (mid-August). A Q2 burn under $15m materially weakens this case; a second quarter above $30m confirms it.

Cause C — securities litigation (unquantified, deliberately)

Class actions filed July 2026 for purchasers between 28 Feb 2024 and 25 Feb 2026, alleging concealment of the discounting programme and customer overstocking. No 8-K disclosing the actions had been filed as of 2026-07-28; no damages estimate exists; none is modelled. Recorded because it constrains management's freedom to characterise the past, and because a restatement — while nothing in the filings suggests one — would be a different order of event.

Going concern

Not argued. $194.0m net cash, $51.7m non-current debt with no current portion, and even the pessimistic burn path above funds through 2027. The permanent-loss case here is dilution and de-rating, not insolvency.

Composite

Probability-weighted ≈ $24.75 (+37%). Reported for the ledger, not used as the decision rule — the framework is explicit that sensitivity belongs on the exit multiple, not on scenario probabilities, and §1.4 of PRCT_Valuation.md is where the real sensitivity lives.

5. Sizing inputs for the book

The momentum reading and the catalyst distance point the same way. Momentum is MEASURED and blocks nothing, but on this name it is not noise: the tape has been marking this business down continuously for twelve months, it accelerated in the last four weeks with no filing to explain it, and a print lands in six days. Whatever the book decides to do, the case for doing it in one clip before 4 August is weak.

6. Invalidation

The thesis is invalidated — not merely dented — by any of:

1. Q2'26 US procedures below ~13,000 (a second consecutive quarter without sequential procedure growth on a growing installed base). This is the utilisation question in its most direct form.
2. FY26 revenue guidance cut a second time. One reset is a business-practice change; two is a demand problem.
3. Handpiece:procedure ratio still below 90% in Q2'26 — the destock is deeper than "one month to seven weeks" of customer inventory implied.
4. A quarter of operating cash burn above $30m outside Q1 seasonality.
5. Any restatement, or an SEC inquiry disclosed on Form 8-K.

Confirmations, symmetric: 1. Q2'26 procedures above ~14,000 and handpieces ≥100% of procedures. 2. Procedures per system rising above 18.0 for two consecutive quarters — the first evidence in three years of genuine installed-base deepening. 3. Any ASC-channel commentary at all: the phrase "ambulatory surgery" has appeared zero times in ten consecutive earnings releases despite APC 5377 existing since January.