Bellicum Pharmaceuticals, Inc. (BLCM) is a clinical-stage biopharmaceutical company. The Company is focused on discovering and developing cellular immunotherapies for various forms of cancer, including hematological cancers and solid tumors, as well as orphan inherited blood disorders. The Company uses its chemical induction of dimerization (CID) technology platform to engineer and then control components of the immune system. The Company is developing next-generation product candidates in the areas of cellular immunotherapy, including hematopoietic stem cell transplantation (HSCT), chimeric antigen receptors (CAR) T cells therapy and T-cell receptor (TCR) cell therapies.It is reporting earnings on Monday, March 13, after market close:(Source: TD Waterhouse)As evident from the above, the company beat earnings estimates in 13% of time in the last six quarters, showing in-line results in 13% of time, and underperforming in the rest of time. It has seen significant volatility and a sharp downtrend in the market price of its stock over the last three months: $BLCM, Bellicum Pharmaceuticals, Inc. / D The market participants expect the following numbers over the next few quarters, including the upcoming one:(Source: TD Waterhouse)Market data show that the one-week options are undervalued:(Source: TD Waterhouse)The one-week straddles (at-the-money options with a strike price of $12.50 and expiring on March 17, 2017) are worth around 5.1% of the current market price of the stock. Historically, the stock has been more volatile than that on a weekly basis over the last year:(Source: Google Finance. Calculations by author)As you can see, the stock has had a weekly standard deviation of around 5.1% over the last 52 weeks, while the straddle expiring in seven days has an implied monthly volatility of around 11.3% (calculated based on 7 calendar days remaining until expiration), also including volatility from the earnings event this week. I therefore see signs of undervaluation in these options.Hence, buying the straddles is a good idea from a theoretical standpoint.