Call overwriting and call buying opportunities within the Russell 1000 – JPM

J.P. Morgan analysts put together a list of call overwriting and call buying ideas for stocks within the Russell 1000 (NYSEARCA:IWF) with a liquid options market.

Five technical and fundamental indicators are used with equal weighting to time the buying or selling decision of the stock, and two quantitative measures with equal weighting to estimate the richness or cheapness of their implied volatility, said Bram Kaplan, head of Americas Equity Derivatives Strategy at J.P. Morgan, in a note.

The sell or buy signals include one-month beta adjusted relative performance, the 63-day price z-score, the 14-day relative strength index, EPS four-week percentage change, and the price upside.

Three-month 105% call overwriting candidates:

• Sofi Technologies (SOFI) – Year-to-date price % change: 12.5; Three-month implied volatility over realized volatility percentile to SP500: 84; Three-month 105 call % premium: 10
• Fidelity National Information Services (FIS) – Year-to-date price % change: 51.3; Three-month implied volatility over realized volatility percentile to SP500: 94; Three-month 105 call % premium: 3
• The Williams Companies (WMB) – Year-to-date price % change: 50.1; Three-month implied volatility over realized volatility percentile to SP500: 78; Three-month 105 call % premium: 3
• Palantir Technologies (PLTR) – Year-to-date price % change: 161.9; Three-month implied volatility over realized volatility percentile to SP500: 80; Three-month 105 call % premium: 10
• Robinhood Markets (HOOD) – Year-to-date price % change: 118.8; Three-month implied volatility over realized volatility percentile to SP500: 78; Three-month 105 call % premium: 10.8
• Live Nation Entertainment (LYV) – Year-to-date price % change: 26.5; Three-month implied volatility over realized volatility percentile to SP500: 98; Three-month 105 call % premium: 4.7
• The Mosaic Co. (MOS) – Year-to-date price % change: -23.7; Three-month implied volatility over realized volatility percentile to SP500: 84; Three-month 105 call % premium: 6.3
• EQT Corp. (EQT) – Year-to-date price % change: -3.5; Three-month implied volatility over realized volatility percentile to SP500: 86; Three-month 105 call % premium: 5.4
• Freshpet (FRPT) – Year-to-date price % change: 55.2; Three-month implied volatility over realized volatility percentile to SP500: 95; Three-month 105 call % premium: 7
• Discover Financial Services (DFS) – Year-to-date price % change: 36; Three-month implied volatility over realized volatility percentile to SP500: 69; Three-month 105 call % premium: 6

Three-month 105% call buying candidates:

• Elevance Health (ELV) – Year-to-date price % change: -11.5; Three-month implied volatility over realized volatility percentile to SP500: 12; Three-month 105 call % premium: 3.4
• Lam Research (LRCX) – Year-to-date price % change: -3.7; Three-month implied volatility over realized volatility percentile to SP500: 4; Three-month 105 call % premium: 6.5
• Newmont Corp. (NEM) – Year-to-date price % change: 16.8; Three-month implied volatility over realized volatility percentile to SP500: 6; Three-month 105 call % premium: 4.3
• Centene Corp. (CNC) – Year-to-date price % change: -16.9; Three-month implied volatility over realized volatility percentile to SP500: 8; Three-month 105 call % premium: 4.9
• Capri Holdings (CPRI) – Year-to-date price % change: -57.4; Three-month implied volatility over realized volatility percentile to SP500: 1; Three-month 105 call % premium: 11.2
• Applied Materials (AMAT) – Year-to-date price % change: 14.4; Three-month implied volatility over realized volatility percentile to SP500: 7; Three-month 105 call % premium: 6.6
• 3M Company (MMM) – Year-to-date price % change: 42.5; Three-month implied volatility over realized volatility percentile to SP500: 1; Three-month 105 call % premium: 3
• KLA Corp. (KLAC) – Year-to-date price % change: 16; Three-month implied volatility over realized volatility percentile to SP500: 4; Three-month 105 call % premium: 6.7
• HCA Healthcare (HCA) – Year-to-date price % change: 31.7; Three-month implied volatility over realized volatility percentile to SP500: 22; Three-month 105 call % premium: 3.6
• Dollar General (DG) – Year-to-date price % change: -40.3; Three-month implied volatility over realized volatility percentile to SP500: 2; Three-month 105 call % premium: 7.4