STOCK NEWS US-Goldman Sachs: Buy calls ahead of analyst days in November

Real-time equity news [E U] U.S. stock market report 1128 ET 30Oct2013 Goldman Sachs: Buy calls ahead of analyst days in November ------------------------------------------------------------------------------- Derivative strategists at Goldman Sachs Group advised investors to buy calls on a group of stocks ahead of the companies' analyst days due to the potential for large stock moves on these events. Among the names with upcoming analyst day events in November, Goldman highlighted calls on General Electric, Mead Johnson Nutrition Co, Monsanto Co, Denbury Resources Inc , Halliburton Co, McDonald's Corp and Xerox Corp as particularly attractive.

"The options market often misses the potential for volatility on analyst days," Goldman strategists wrote in their Weekly Options Watch on Wednesday.

In their analysis of more than 3,800 analyst days since 2002, the strategists found that in many cases these events can be as stock moving as earnings. They estimate buying calls ahead of analyst day events between 2002 and 2013-to-date has returned an average profit of 23 percent compared with the average plus 1 percent move in stocks. The return exceeds the 8 percent return for a similar call-buying trade before earnings over the same period. "Year-to-date, this strategy has returned 38 percent, and is on track to potentially be the most profitable year in our study," Goldman said.

Goldman strategists said buying the closest to the money call five days before the analyst day and selling one day after was profitable in 11 of the past 12 years. Of the more than 3,800 analyst day events Goldman recorded over this time period, 2,639 events passed their liquidity threshold. "We believe the combination of low implied volatility and increasing growth expectations have boosted the profitability of this trade," the report said. November has historically been the most active month in terms of the number of analyst days. Goldman identified 49 companies with analyst days due over the next month, 31 of which have tradable options.

Reuters Messaging: doris.frankel.reuters.com@reuters.net


0932 ET 30Oct2013 Total option open interest increases by 4.93 mln contracts -------------------------------------------------------------------------------

A total of 16.4 million contracts changed hands in the U.S.-listed options market on Tuesday, resulting in net open interest growth of 2.52 million calls and 2.41 million puts, according to Trade Alert.

Facebook Inc, Intel Corp, Microsoft Corp and Polycom Inc attracted the greatest growth in option open positions, data from Trade Alert showed.

The top five new positions opened include 81,000 Microsoft April 2014 $33 strike calls, 63,000 Facebook January 2015 $47 strike puts, 58,000 Facebook January 2015 $55 strike calls, 47,000 Polycom November $12.50 strike calls and 45,000 Polycom November $12.50 strike puts, Trade Alert said.

Reuters Messaging: doris.frankel.reuters.com@reuters.net


0713 ET 30Oct2013-Economic and earnings diary for Oct. 30 ----------------------------------------------------------------------------- Economic data expected on Wednesday includes the Automatic Data Processing October employment report, the September consumer price index and the Federal Open Market Committee's interest rate policy announcement.

S&P 500 companies still expected to post earnings on Wednesday include AGL Resources Inc Automatic Data Processing Inc, Allstate Corp , BorgWarner Inc, Computer Sciences Corp, Requity Residential, Exelon Corp, Expedia Inc, General Motors Co, Hess Corp, JDS Uniphase, Kraft Foods Group Inc , Lincoln National, Marriott International, Microchip Technology, MetLife Inc, Murphy Oil, Owens-Illinois Inc , PG&E Corp, Public Service Enterprise Group, PerkinElmer , Phillips 66, Starbucks Corp, Sealed Air, Southern Co, Visa Inc and Williams Companies.

Charles.mikolajczak@thomsonreuters.com; +1 646 223 5234; Reuters Messaging: Charles.mikolajczak.thomsonreuters.com@reuters.net