Put underwriting and put buying opportunities within the Russell 1000 – JPM

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

They used five technical and fundamental indicators with equal weighting to time the buying or selling decision of the stock, and two quantitative measures to gauge 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, the note said.

Three-month 95% put underwriting candidates:

• Cigna Group (CI) – YTD price % change: 5.2; One-month beta adjusted real performance %: -10.2; Three-month implied volatility over realized volatility percentile to SP500: 87; Three-month 95 put % premium: 3.4
• Regeneron Pharmaceuticals (REGN) – YTD price % change: 5.7; One-month beta adjusted real performance %: -12.2; Three-month implied volatility over realized volatility percentile to SP500: 90; Three-month 95 put % premium: 3.1
• Hasbro (HAS) – YTD price % change: 28.9; One-month beta adjusted real performance %: -10.7; Three-month implied volatility over realized volatility percentile to SP500: 77; Three-month 95 put % premium: 3.1
• S&P Global (SPGI) – YTD price % change: 10.6; One-month beta adjusted real performance %: -6.9; Three-month implied volatility over realized volatility percentile to SP500: 85; Three-month 95 put % premium: 2
• Idexx Labs (IDXX) – YTD price % change: -19; One-month beta adjusted real performance %: -14.7; Three-month implied volatility over realized volatility percentile to SP500: 91; Three-month 95 put % premium: 3.6
• Etsy (ETSY) – YTD price % change: -39.8; One-month beta adjusted real performance %: -17.1; Three-month implied volatility over realized volatility percentile to SP500: 91; Three-month 95 put % premium: 7.7
• Advance Auto Parts (AAP) – YTD price % change: -39.2; One-month beta adjusted real performance %: -12.1; Three-month implied volatility over realized volatility percentile to SP500: 97; Three-month 95 put % premium: 11.2
• Medical Properties Trust (MPW) – YTD price % change: -5.1; One-month beta adjusted real performance %: -24.4; Three-month implied volatility over realized volatility percentile to SP500: 81; Three-month 95 put % premium: 12.6
• AGNC Investment (AGNC) – YTD price % change: -1.7; One-month beta adjusted real performance %: -10.8; Three-month implied volatility over realized volatility percentile to SP500: 86; Three-month 95 put % premium: 3.5
• Adobe (ADBE) – YTD price % change: -19.4; One-month beta adjusted real performance %: -9; Three-month implied volatility over realized volatility percentile to SP500: 71; Three-month 95 put % premium: 3.8

Three-month 95% put buying candidates:

• Wells Fargo & Co. (WFC) – YTD price % change: 33.3; One-month beta adjusted real performance %: 15.7; Three-month implied volatility over realized volatility percentile to SP500: 16; Three-month 95 put % premium: 3.3
• Digital Realty (DLR) – YTD price % change: 36.2; One-month beta adjusted real performance %: 11.8; Three-month implied volatility over realized volatility percentile to SP500: 26; Three-month 95 put % premium: 2.5
• Philip Morris International (PM) – YTD price % change: 38.7; One-month beta adjusted real performance %: 7.2; Three-month implied volatility over realized volatility percentile to SP500: 9; Three-month 95 put % premium: 1.8
• Paccar (PCAR) – YTD price % change: 9.6; One-month beta adjusted real performance %: 7.4; Three-month implied volatility over realized volatility percentile to SP500: 5; Three-month 95 put % premium: 2.6
• Albemarle (ALB) – YTD price % change: -32.1; One-month beta adjusted real performance %: -0.7; Three-month implied volatility over realized volatility percentile to SP500: 23; Three-month 95 put % premium: 8.5
• Pool Corp. (POOL) – YTD price % change: -7.2; One-month beta adjusted real performance %: -3.1; Three-month implied volatility over realized volatility percentile to SP500: 9; Three-month 95 put % premium: 3.3
• Upstart Holdings (UPST) – YTD price % change: 27.2; One-month beta adjusted real performance %: 22; Three-month implied volatility over realized volatility percentile to SP500: 24; Three-month 95 put % premium: 14.1
• Morgan Stanley (MS) – YTD price % change: 27.8; One-month beta adjusted real performance %: 12.4; Three-month implied volatility over realized volatility percentile to SP500: 28; Three-month 95 put % premium: 2.8
• Nike (NKE) – YTD price % change: -27.3; One-month beta adjusted real performance %: -13.5; Three-month implied volatility over realized volatility percentile to SP500: 2; Three-month 95 put % premium: 3.6
• General Motors (GM) – YTD price % change: 46.8; One-month beta adjusted real performance %: 11.1; Three-month implied volatility over realized volatility percentile to SP500: 5; Three-month 95 put % premium: 3.2