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In a recent US Equity Strategy and US Derivatives Research report on Russell 1000 stocks (NYSEARCA:IWB), BoFA Securities showed how cheap or expensive it is to position for a potential earnings surprise with options.
“We go beyond the frequently cited implied moves (the size of the earnings reaction implied by option markets) and rely on historical option costs and post-earnings reactions, proprietary positioning metrics, and this quarter’s BofA EPS estimates from our fundamental equity research analysts,” wrote BoFA analyst Nicholas Dunne.
BofA screened for long call opportunities where "companies rank higher if they have low implied vol, high BofA EPS estimates, and are heavily shorted and/or lightly owned."
The companies are ranked by how cheap it is to position with calls for a potential earnings surprise.
Johnson & Johnson (JNJ) ranks the highest with a report date of Jan. 23, an implied move of 1.9%, an implied volume score of -1.62, a positioning score of -0.19 and an aggregate score of 3.33.
AGNC Investment (AGNC) is next, with a reporting date of Jan. 22, an implied move of 2.4%, an implied volume score of -0.50, a positioning score of 0.95 and an aggregate score of 0.23.
Archer-Daniels-Midland (ADM) followed AGNC, with a reporting date of Jan. 26, an implied move of 0%, an implied volume score of 0.10, a positioning score of -0.31 and an aggregate score of -0.05.
Tesla (TSLA), which is scheduled to report after market on 24th Jan. has an implied move of 5.3%, an implied volume score of -2.54, positioning score of -0.10 and an aggregate score of -1.02.
Halliburton (HAL), TX-based provider of technical products and services to drillers of oil and gas wells, has an implied move of 3.0%, an implied volume score of -2.18, positioning score of -0.83 and an aggregate score of -0.85.
Other stocks include: Western Alliance Bancorp (WAL), United Rentals (URI), Intuitive Surgical (ISRG), International Business Machines (IBM), NextEra Energy (NEE), 3M (MMM), Valero Energy (VLO), Halliburton (HAL), Dow (DOW), Abbott Laboratories (ABT), Blackstone (BX), Tesla (TSLA), CSX (CSX), AT&T (T), T-Mobile (TMUS), Freeport-McMoRan (FCX), Verizon (VZ), General Dynamics (GD), Colgate-Palmolive (CL), Lam Research (LRCX), Southwest Airlines (LUV), KLA (KLAC), Union Pacific (UNP), Elevance Health (ELV), United Airlines (UAL), Dr Horton (DHI), American Express (AXP), Norfolk Southern (NSC), Lockheed Martin (LMT), Intel (INTC), Visa (V), Las Vegas Sands (LVS), Western Digital (WDC), ServiceNow (NOW), Capital One (COF), Comcast (CMCSA), Northrop Grumman (NOC), General Electric (GE), Procter & Gamble (PG), Netflix (NFLX) and Humana (HUM).
The brokerage listed RTX (RTX) and Kimberly-Clark (KMB) in the list of short calls.