Summary of J.P. Morgan Global Quantitative & Derivatives Strategy Conference Call Company and Industry Overview - Industry: U.S. Single Stock Options Market - Focus: Analysis of potential opportunities in the U.S. single stock options universe, including blue-chip stocks with liquid options markets. Key Points and Arguments 1. Call Overwriting Candidates: - IBM (IBM), Bank of New York Mellon (BK), GE Healthcare (GEHC) are identified as candidates for call overwriting due to their volatility richness [2][5]. 2. Put Underwriting Candidates: - Humana Inc (HUM), Estee Lauder (EL), and Take-Two Interactive (TTWO) are highlighted as attractive put underwriting candidates [2][5]. 3. Put Buying Candidates: - Candidates include RH (RH), Zillow Group (Z), and Verizon Communications (VZ), which are characterized by cheap volatility [2][5]. 4. Call Buying Candidates: - FedEx Corp (FDX), Kla Corp (KLAC), and McKesson Corp (MCK) are noted for their potential as call buying candidates [2][5]. 5. Volatility Metrics: - The report emphasizes the importance of implied volatility (IV) and realized volatility (RV) in assessing stock options. Stocks with IV above the 75th percentile are considered "rich," while those below the 25th percentile are "cheap" [12][34]. 6. Technical and Fundamental Indicators: - The analysis employs five technical and fundamental indicators to time stock buying or selling decisions, including 1M beta adjusted relative performance and 63D price Z-score [5][8][36]. 7. Options Pricing: - Options pricing is described as indicative only, with specific methodologies outlined for determining buy/sell signals based on volatility richness/cheapness [5][8][34]. 8. Market Sentiment: - The report indicates a bearish sentiment for certain stocks, with recommendations to sell or underweight based on the analysis of price movements and volatility metrics [5][8][36]. Additional Important Information 1. Analyst Certification: - Analysts certify that their views reflect personal opinions and that no part of their compensation is related to specific recommendations [3][57]. 2. Risks of Options Strategies: - The report outlines the risks associated with various options strategies, including potential losses from selling puts and calls [46][47][48]. 3. Investment Recommendations: - J.P. Morgan uses a rating system of Overweight (buy), Neutral (hold), and Underweight (sell) to guide investors [60][61]. 4. Market Coverage: - The analysis covers 336 liquid members of the Russell 1000 stock index, providing a broad view of the market landscape [34][35]. 5. Volatility Score Calculation: - The volatility score is calculated based on the percentile ranking of the stock's implied volatility relative to the S&P 500, aiding in identifying cheap and rich volatility candidates [12][34]. 6. Confidentiality Notice: - The report includes a confidentiality notice, emphasizing the proprietary nature of the information and the importance of compliance with legal regulations [78]. This summary encapsulates the critical insights and recommendations from the J.P. Morgan Global Quantitative & Derivatives Strategy conference call, focusing on the U.S. single stock options market and the associated investment opportunities and risks.
US Single Stock Volatility Chartbook Trade ideas on IBM, BK, GEHC, FDX, KLAC, MCK, HUM, EL, TTWO, RH, Z and VZRCL