Stocks with the highest swings in option premium price over 3 months - JPM

J.P. Morgan analysts listed stocks with the highest range bound score to identify those with the most swings in price over the past three months, compared to the current option premium.

According to JPMorgan’s US Single Stock Volatility Chartbook report, the range bound score is calculated as the ratio between the historical high and low prices during a certain period of time, and the high-low range expected given its current implied volatility.

The higher the range-bound score, analysts said, the looser the trading range of the stock has been, compared with option market expectations and the less attractive it is as an option-sale candidate.

These stocks have a range bound score higher than 125%.

• Humana (HUM) - Three-month bound score: 200%
• General Electric (GE) - Three-month bound score: 150%
• Archer-Daniels (ADM) - Three-month bound score: 148%
• DICK’S Sporting (DKS) - Three-month bound score: 146%
• Snowflake Inc. Class A (SNOW) - Three-month bound score: 146%
• Gilead Sciences (GILD) - Three-month bound score: 142%
• Rivian Automotive (RIVN) - Three-month bound score: 138%
• The Walt Disney Co. (DIS) - Three-month bound score: 135%
• Palo Alto Network (PANW) - Three-month bound score: 135%
• Lululemon Athletica (LULU) - Three-month bound score: 135%
• Eaton Corp. Plc. (ETN) - Three-month bound score: 132%
• Pioneer Natural Resources (PXD) - Three-month bound score: 131%
• Roku Inc. (ROKU) - Three-month bound score: 131%
• Paccar Inc. (PCAR) - Three-month bound score: 130%
• Williams-Sonoma (WSM) - Three-month bound score: 129%
• Marathon Petroleum (MPC) - Three-month bound score: 129%
• Valero Energy (VLO) - Three-month bound score: 129%
• Avis Budget Group (CAR) - Three-month bound score: 128%
• Waste Management (WM) - Three-month bound score: 127%
• Kroger Co. (KR) - Three-month bound score: 126%