JPM lists stocks with the least price swings, most attractive option-sale candidates

J.P. Morgan analysts listed stocks with the lowest rangebound score to identify those with the least swings in price over the past three months compared with the current option premium, making them attractive as option-sale candidates.

J.P. Morgan, in its US Single Stock Volatility Chartbook report Tuesday, said the rangebound 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 rangebound 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, analysts led by Bram Kaplan on J.P. Morgan’s global quantitative and derivatives strategy desk said.

These stocks have a rangebound score lower than 75%:

• Eli Lilly (LLY) – Three-month rangebound score: 39%
• Intuitive Surgical (ISRG) – Three-month rangebound score: 40%
• T-Mobile US (TMUS) – Three-month rangebound score: 41%
• Upstart Holdings (UPST) – Three-month rangebound score: 42%
• Automatic Data (ADP) – Three-month rangebound score: 42%
• Intuit (INTU) -Three-month rangebound score: 44%
• Parker Hannifin (PH) – Three-month rangebound score: 44%
• Bath & Body Works (BBWI) – Three-month rangebound score: 45%
• Discover Financial (DFS) – Three-month rangebound score: 45%
• Affirm Holdings (AFRM) – Three-month rangebound score: 45%
• Cisco Systems (CSCO) – Three-month rangebound score: 46%
• QuantumScape (QS) – Three-month rangebound score: 47%
• Enphase Energy (ENPH) – Three-month rangebound score: 47%
• Amazon (AMZN) – Three-month rangebound score: 49%
• CME Group (CME) – Three-month rangebound score: 49%
• MetLife (MET) – Three-month rangebound score: 50%
• Take-Two (TTWO) – Three-month rangebound score: 50%
• Wolfspeed (WOLF) – Three-month rangebound score: 50%
• Capital One (COF) – Three-month rangebound score: 51%
• United Rentals (URI) – Three-month rangebound score: 51%

Here are some ETFs that track major U.S. stock indexes:

(SPY), (VOO), (QQQ), (DIA), (IWB) and (DDM).

Tags: AFRM