Companies with lower implied volume have higher potential for earnings surprise - BofA
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A Monday BofA Securitiesâ 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 of 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 an 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).


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