ELV - Companies with lower implied volume have higher potential for earnings surprise - BofA

2023-10-16 11:56:56 ET

A Monday BofA Securities’ US Equity Strategy and US Derivatives Research report on Russell 1000 stocks ( NYSEARCA: IWB ) reporting this week, showed how cheap or expensive it is to position for a potential earnings surprise with options.

For long calls, companies rank higher if they have low implied volume, high BofA EPS estimates, and are heavily shorted and/or lightly owned, the report showed.

The companies are ranked by how cheap it is to position with calls for a potential earnings surprise.

Kinder Morgan ( KMI ) ranks the highest with a report date for Oct. 18, an implied move of 1.9%, an implied volume score of -0.63, a positioning score of 0.12 and an aggregate score of -0.04.

Johnson & Johnson ( JNJ ) is next, with a reporting date of Oct. 17, an implied move of 1.8%, an implied volume score of -0.67, a positioning score of -0.20 and an aggregate score of -0.23.

AT&T ( T ) followed, with a reporting date of Oct. 19, an implied move of 4.4%, an implied volume score of -0.97, a positioning score of 0.11 and a aggregate score of -0.31.

Others include Tesla ( TSLA ), Keycorp ( KEY ), Western Alliance Bancorp ( WAL ), Elevance Health ( ELV ), Schlumberger ( SLB ), Huntington Bancshares ( HBAN ), Fifth Third Bancorp ( FITB ), Union Pacific ( UNP ), Lam Research ( LRCX ), Philip Morris International ( PM ), Comerica ( CMA ), Procter & Gamble ( PG ), PPG ( PPG ), US Bancorp ( USB ), Lockheed Martin ( LMT ), Truist Financial ( TFC ), Freeport-McMoRan ( FCX ), Las Vegas Sands ( LVS ), Alcoa ( AA ), Discover ( DFS ), Morgan Stanley ( MS ), Ally Financial ( ALLY ), CSX ( CSX ), Goldman Sachs ( GS ), American Express ( AXP ), Blackstone ( BX ), Abbott Laboratories ( ABT ), Intuitive Surgical ( ISRG ), and Netflix ( NFLX ).

More on iShares Russell 1000 ETF:

• IWB: Mixed Picture On Economy
• Seeking Alpha’s Quant Rating on iShares Russell 1000 ETF
• Dividend scorecard for iShares Russell 1000 ETF

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