Stocks tend to move on
Goldman Sachs equity derivatives strategists John Marshall and Katherine Fogerty took to the
In a note to clients, Marshall and Fogerty write:
We identify 14 stocks where the options market expects high earnings-day moves over the next week. The options markets expects a +/- 13.1% earnings-day move for the average stock in this list, almost 3X the +/- 4.8% implied move for the average S&P 500 stock this earnings season. While these implied moves are high on an absolute basis, they are also high after controlling for historical earning-day moves. We believe incremental research time spent on these stocks could likely yield unusually high alpha potential as big implied moves typically foreshadow big moves around earnings-day.
Stock specific stories: RSH, CBST, ZNGA. While a low beta suggests low systematic risk, their unusually high absolute implied move, as well as relative to average realized move, suggests stock specific risks on earnings day this quarter.
Low realized volatility: EQIX, LXK, AKAM, COH. Recent average daily moves realized by these stocks have been low; however, option prices point to volatile earnings day moves.
The table below shows the moves options markets are pricing in for each stock.