Stocks with cheap implied volatility – JPM

J.P. Morgan analysts put together a list of stocks that have cheap implied volatility according to their scoring percentage.

Bram Kaplan, head of Americas Equity Derivatives Strategy at J.P. Morgan, said in a note that he defines the cheap implied volatility candidates as stocks where the volatility score is less than 25%.

In addition, to calculate the volatility score, analysts take the average of the two-year percentile ranking of three-month implied volatility over the realized volatility to the S&P 500 (SP500), and the two-year percentile ranking of the three-month sector relative implied volatility over the realized volatility, he said.

Here are the cheap implied volatility stocks:

• Starbucks Corp. (SBUX) – Volatility score: 1.3%
• DexCom (DXCM) – Volatility score: 1.4%
• KLA Corp. (KLAC) – Volatility score: 1.8%
• Nike Inc. (NKE) – Volatility score: 2.3%
• FedEx Corp. (FDX) – Volatility score: 2.5%
• Ally Financial (ALLY) – Volatility score: 2.8%
• Lam Research (LRCX) – Volatility score: 2.9%
• Dollar General (DG) – Volatility score: 3.1%
• Newmont Corp. (NEM) – Volatility score: 3.1%
• Paramount Global (PARA) – Volatility score: 3.7%
• Whirlpool Corp. (WHR) – Volatility score: 4%
• United Parcel (UPS) – Volatility score: 4%
• Kimberly-Clark (KMB) – Volatility score: 4.3%
• Intel Corp. (INTC) – Volatility score: 4.6%
• Tesla Inc. (TSLA) – Volatility score: 5.3%
• Broadcom Inc. (AVGO) – Volatility score: 5.7%
• Paccar (PCAR) – Volatility score: 6.2%
• Domino’s Pizza (DPZ) – Volatility score: 6.2%
• Philip Morris International (PM) – Volatility score: 6.5%
• ON Semiconductor (ON) – Volatility score: 6.6%
• Centene Corp. (CNC) – Volatility score: 6.6%
• Verizon Communications (VZ) – Volatility score: 6.8%
• Ford Motor Co. (F) – Volatility score: 7.4%
• The Charles Schwab (SCHW) – Volatility score: 7.6%
• Applied Materials (AMAT) – Volatility score: 7.7%
• General Motors (GM) – Volatility score: 8.4%
• Norfolk Southern (NSC) – Volatility score: 8.7%
• Intuitive Surgical (ISRG) – Volatility score: 9.4%
• ServiceNow Inc. (NOW) – Volatility score: 9.5%
• Air Products and Chemicals (APD) – Volatility score: 9.6%
• Texas Instruments (TXN) – Volatility score: 10.4%
• McKesson Corp. (MCK) – Volatility score: 10.8%
• Wells Fargo & Co. (WFC) – Volatility score: 10.8%
• Eaton Corp. (ETN) – Volatility score: 11%
• RH (RH) – Volatility score: 11.1%
• Micron Technology (MU) – Volatility score: 11.7%
• Diamondback Energy (FANG) – Volatility score: 12.1%
• Elevance Health (ELV) – Volatility score: 12.2%
• Pool Corp. (POOL) – Volatility score: 12.4%
• General Electric (GE) – Volatility score: 12.7%