Best volatility ranking stocks with low moves and straddle premiums vs. history – BofA

Russell 1000 (NYSEARCA:IWF) stocks are expected to report earnings this week.

BofA Securities analysts ranked stocks based on how expensive are calls and puts expiring on Friday after earnings, compared to history.

Stocks are also ranked on how this quarter’s EPS estimates by BofA analysts are compared to the Bloomberg consensus; on how heavily owned or shorted the stocks are; on how they reacted during their least eight earnings releases and the option prices during the lats three months since the last earnings release.

According to the data, companies rank better on volatility if they have low implied moves and straddle premiums — options that involve buying or selling both a call and a put with the same strike price and expiration on the same asset — compared to history:

• Fox (FOXA) – Implied move: 3.4%; implied move vs. history: -0.27; earnings straddle premium: -0.04; implied volatility score: -0.15
• Sarepta Therapeutics (SRPT) – Implied move: 6.2%; implied move vs. history: 0.19; earnings straddle premium: 0.06; implied volatility score: 0.13
• Lucid Group Inc. (LCID) – Implied move: 12.8%; implied move vs. history: 0.23; earnings straddle premium: 1.37; implied volatility score: 0.80
• Illumina (ILMN) – Implied move: 7.9%; implied move vs. history: 0.97; earnings straddle premium: 2.22; implied volatility score: 1.60
• Williams Companies (WMB) – Implied move: 1.4%; implied move vs. history: -0.55; earnings straddle premium: 5.04; implied volatility score: 2.25
• Gilead Sciences (GILD) – Implied move: 3.8%; implied move vs. history: -0.15; earnings straddle premium: 5.65; implied volatility score: 2.75
• Baxter International (BAX) – Implied move: 5%; implied move vs. history: -0.51; earnings straddle premium: 7.08; implied volatility score: 3.29
• Lyft (LYFT) – Implied move: 13.4%; implied move vs. history: -0.52; earnings straddle premium: 7.93; implied volatility score: 3.70
• Robinhood (HOOD) – Implied move: 11.4%; implied move vs. history: 0.76; earnings straddle premium: 7.57; implied volatility score: 4.17
• Caterpillar (CAT) – Implied move: 5.2%; implied move vs. history: -0.04; earnings straddle premium: 8.88; implied volatility score: 4.42
• Amgen (AMGN) – Implied move: 4.3%; implied move vs. history: 0.14; earnings straddle premium: 15.30; implied volatility score: 7.72
• Diamondback Energy (FANG) – Implied move: 3.5%; implied move vs. history: 0.30; earnings straddle premium: 14.38; implied volatility score: 7.84
• Monster Beverage (MNST) – Implied move: 5.6%; implied move vs. history: 0.55; earnings straddle premium: 15.83; implied volatility score: 8.19
• Zillow (Z) – Implied move: 10.2%; implied move vs. history: 0.41; earnings straddle premium: 15.21; implied volatility score: 8.31
• CF Industries (CF) – Implied move: 4.1%; implied move vs. history: 1.21; earnings straddle premium: 15.46; implied volatility score: 8.33
• Fortinet (FTNT) – Implied move: 10.4%; implied move vs. history: -0.28; earnings straddle premium: 17.41; implied volatility score: 8.56
• Airbnb (ABNB) – Implied move: 8.4%; implied move vs. history: 0.38; earnings straddle premium: 18.46; implied volatility score: 9.42
• Akamai Technologies (AKAM) – Implied move: 9.3%; implied move vs. history: 0.68; earnings straddle premium: 21.40; implied volatility score: 11.04
• Toast (TOST) – Implied move: 15.4%; implied move vs. history: 0.50; earnings straddle premium: 25.92; implied volatility score: 13.21
• Walt Disney (DIS) – Implied move: 6.5%; implied move vs. history: -0.30; earnings straddle premium: 32.15; implied volatility score: 15.93