In a recent US Equity Strategy and US Derivatives Research report on Russell 1000 stocks (NYSEARCA:IWB) reporting this week, 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.
PPG Industries (PPG) ranks the highest, with a report date of April 18, an implied move of 1.9%, an implied volume score of -1.18, a positioning…