12 call buying candidates to leverage analyst days - GS

Goldman Sachs analysts identified 12 call buying candidates around the upcoming analyst days until the end of May.

According to a Weekly Options Watch report, call buying around analyst days is believed to be a systematically profitable option buying strategy, analysts said.

“Over the past 20 years, call buying around analyst days (buying 5b prior and selling 1b after the event) resulted in +18% return on premium on average and was also profitable each year through history except 2008 and 2022, years that were impacted by macro factors,” analysts, led by Analyst John Marshall, wrote.

They believe this is due to a positive bias to share performance on analyst days, since company managements during these days review recent performance, lay out strategic priorities, and provide or update their forward guidance.

In addition, the options market tends to underprice volatility around those days.

“Since the beginning of 2024, we find that call buying around analyst days has delivered strong returns of +42% during 1Q24, well above the +18% historical average,” analysts wrote.

Analysts highlighted 12 call buying candidates based on upcoming analyst days until the end of May, more than $5B in market cap, and the average notional options volume being greater than $10M.

These are the call buying candidates:

• American Express Co. (NYSE:AXP) - Event date: April 30; current 3-month implied volatility: 27; ATM calls capturing analyst days expiry and strike: May 3 - $217.50
• Atlassian Corp. (NASDAQ:TEAM) - Event date: May 1; current 3-month implied volatility: 49; ATM calls capturing analyst days expiry and strike: May 3 - $195
• Fidelity National Information Services Inc. (FIS) - Event date: May 7; current 3-month implied volatility: 29; ATM calls capturing analyst days expiry and strike: May 10 - $71
• AerCap Holdings N.V. (AER) - Event date: May 8; current 3-month implied volatility: 27; ATM calls capturing analyst days expiry and strike: May 17 - $82.50
• Dow Inc. (DOW) - Event date: May 16; current 3-month implied volatility: 23; ATM calls capturing analyst days expiry and strike: May 17 - $57.50
• Parker-Hannifin Corp. (PH) - Event date: May 16; current 3-month implied volatility: 27; ATM calls capturing analyst days expiry and strike: May 17 - $540
• Cummins Inc. (CMI) - Event date: May 16; current 3-month implied volatility: 25; ATM calls capturing analyst days expiry and strike: May 17 - $290
• JPMorgan Chase & Co. (JPM) - Event date: May 20; current 3-month implied volatility: 20; ATM calls capturing analyst days expiry and strike: May 24 - $180
• Norwegian Cruise Line Holdings Ltd. (NCLH) - Event date: May 20; current 3-month implied volatility: 48; ATM calls capturing analyst days expiry and strike: May 24 - $17.50
• The Charles Schwab Corp. (SCHW) - Event date: May 22; current 3-month implied volatility: 27; ATM calls capturing analyst days expiry and strike: May 24 - $73
• Toast Inc. (TOST) - Event date: May 29; current 3-month implied volatility: 59; ATM calls capturing analyst days expiry and strike: May 31 - $22.50
• Cloudflare Inc. (NET) - Event date: May 30; current 3-month implied volatility: 56; ATM calls capturing analyst days expiry and strike: May 31 - $91.