loveguli
J.P. Morgan analysts listed stocks with the lowest range bound score to identify those with the least swings in price over the past three months compared to the current option premium, making them attractive as option-sale candidates.
According to JPMorgan’s US Single Stock Volatility Chartbook report, the range bound score is calculated as the ratio between the historical high and low prices during a certain period of time, and the high-low range expected given its current implied volatility.
“The lower the range-bound score, the tighter the trading range of the stock has been compared with option market expectations, and the more attractive it is as an option-sale candidate,” wrote Analyst Bram Kaplan.
These stocks have a range bound score lower than 75%.
- The Coca-Cola Co. (KO) - Three-month range bound score: 35%
- L3Harris Technologies (LHX) - Three-month range bound score: 36%
- Datadog, Inc. Class A (DDOG) - Three-month range bound score: 36%
- Illumina, Inc. (ILMN) - Three-month range bound score: 38%
- Capri Holdings (CPRI) - Three-month range bound score: 39%
- Medtronic plc (MDT) - Three-month range bound score: 39%
- Analog Devices (ADI) - Three-month range bound score: 40%
- Prologis, Inc. (PLD) - Three-month range bound score: 42%
- Honeywell International (HON) - Three-month range bound score: 44%
- Credit Acceptance Corp. (CACC) - Three-month range bound score: 44%
- BlackRock, Inc. (BLK) - Three-month range bound score: 45%
- Regeneron Pharmaceuticals (REGN) - Three-month range bound score: 45%
- Kohl's Corp. (KSS) - Three-month range bound score: 45%
- Blackstone Inc. (BX) - Three-month range bound score: 46%
- The Hershey Co. (HSY) - Three-month range bound score: 47%
- HP Inc. (HPQ) - Three-month range bound score: 47%
- Intuit Inc. (INTU) - Three-month range bound score: 48%
- Paycom Software (PAYC) - Three-month range bound score: 49%
- PNC Financial Services (PNC) - Three-month range bound score: 49%
- Ceasars Entertainment (CZR) - Three-month range bound score: 49%