Goldman sees a ‘relief rally’ potential for these option calls ahead of earnings

Goldman Sachs analysts listed 25 companies where they see the most “out of consensus” moves for the upcoming quarterly earnings.

Options prices have risen due to the geopolitical environment, and ahead of seasonally high earnings volatility, the U.S. presidential election, and the November FOMC meeting, wrote John Marshall, head of derivatives research at Goldman, in a note.

He said that Goldman analysts see potential for upward earnings revisions in 18 names Gap (GAP), Amgen (AMGN), and Nvidia (NVDA), and potential for downward earnings revisions for seven names including Cheniere Energy (CQP), and Kraft Heinz (KHC).

In addition, option implied earnings-day-moves for S&P 500 (SP500) stocks average at about 6% this quarter, above their 18-year mean, “demonstrating elevated nervousness ahead of results,” said Marshall. Also, earnings-day-moves reached a 14-year high last quarter.

The following are the 25 most out-of-consensus opportunities within U.S. stocks:

Upside potential:

• Gap Inc. (GAP) – Implied stock move: 7.6%; Option call: December term, strike 21.00, cost 9.8%
• Permian Resources (PR) – Implied stock move: 8.4%; Option call: November, strike 15.00, cost 3.1%
• Citigroup (C) – Implied stock move: 6.2%; Option call: October, strike 65.00, cost 2.0%
• Synchrony Financial (SYF) – Implied stock move: 8.3%; Option call: October, strike 55.00, cost 1.2%
• Amgen Inc. (AMGN) – Implied stock move: 7.6%; Option call: November, strike 330.00, cost 3.5%
• Boston Scientific (BSX) – Implied stock move: 6.0%; Option call: November, strike 90.00, cost 2.4%
• Merck & Co. (MRK) – Implied stock move: 5.0%; Option call: November, strike 115.00, cost 1.8%
• Qiagen NV (QGEN) – Implied stock move: 7.7%; Option call: November, strike 45.00, cost 4.3%
• AZEK Co. (AZEK) – Implied stock move: 4.3%; Option call: December, strike 45.00, cost 6.3%
• ADT Inc. (ADT) – Implied stock move: 8.9%; Option call: November, strike 8.00, cost 1.4%
• Broadcom Inc. (AVGO) – Implied stock move: 5.1%; Option call: December, strike 190.00, cost 7.2%
• Dell Technologies (DELL) – Implied stock move: 7.4%; Option call: December, strike 130.00, cost 6.4%
• Klaviyo (KVYO) – Implied stock move: 11.3%; Option call: November, strike 37.50, cost 5.8%
• Monday.com (MNDY) – Implied stock move: 9.6%; Option call: November, strike 290.00, cost 6.0%
• Nvidia Corp. (NVDA) – Implied stock move: 8.0%; Option call: December, strike 135.00, cost 8.7%
• Snowflake Inc. (SNOW) – Implied stock move: 9.7%; Option call: December, strike 120.00, cost 10.0%
• Toast Inc. (TOST) – Implied stock move: 12.7%; Option call: November, strike 30.00, cost 6.5%
• Sempra (SRE) – Implied stock move: 4.2%; Option call: November, strike 85.00, cost 1.3%

Downside potential:

• Choice Hotels (CHH) – Implied stock move: 5.3%; Option call: November, strike 130.00, cost 4.5%
• Cheniere Energy (CQP) – Implied stock move: 4.7%; Option call: November, strike 50.00, cost 8.4%
• Janus Henderson (JHG) – Implied stock move: 4.9%; Option call: November, strike 35.00, cost 5.2%
• LyondellBasell (LYB) – Implied stock move: 3.8%; Option call: November, strike 90.00, cost 1.4%
• Clorox Co. (CLX) – Implied stock move: 5.9%; Option call: November, strike 150.00, cost 1.6%
• Kraft Heinz Co. (KHC) – Implied stock move: 4.1%; Option call: November, strike 32.50, cost 1.0%
• Upstart Holdings (UPST) – Implied stock move: 22.3%; Option call: November, strike 42.50, cost 12.2%