GOLDMAN SACHS: Here’s one overlooked strategy that will help you make a killing in the market this March

• Goldman Sachs still sees plenty of opportunities to profit from single-stock moves in March.
• The firm says the options market isn’t adequately pricing in the effect of corporate analyst days, and it provides 10 trade recommendations to take advantage of that.

As earnings season comes to a close — and as the S&P 500 looks to rebound from its worst month in two years — investors are hungry for the types of large single-stock moves that create money-making opportunities.

And while March may appear at first glance to be a dead zone of sorts, Goldman Sachs argues there are plentiful stock-price shifts ahead, all thanks to a glut of analyst days.

Held once a year, a company’s analyst day gives investors and analysts an opportunity to interact with corporate executives. High-ranking company officials do deep dives on their respective businesses, and attendees can usually ask questions face-to-face.

A strategy that involves buying call options — contracts betting a stock will rise — around a company’s analyst day has returned an average of 21% since 2004, according to data from Goldman, which looked at more than 7,000 instances. The firm’s study involved buying calls five days before an analyst day, then exiting the position one day after.

“Despite the fact that analyst days have been significant catalysts in many instances for stocks historically, we see signs in the options market that investors are overlooking these events,” Katherine Fogertey and the Goldman derivatives team wrote in a client note.

According to Goldman, options investors are “not focusing on the potential for outsized moves around upcoming analyst days.”

That’s shown in the chart by the ratio of one-month implied volatility for companies hosting analyst days in March, relative to the average S&P 500. The measure is close to its lowest in at least three years.

But Goldman’s recommendations don’t stop there — Fogertey and her team have gone the extra mile and identified the top 10 single-stock opportunities.

To arrive at this select group, they’ve screened the 50 companies with analyst days scheduled for March and narrowed it down to those with particularly liquid options.

In that universe, Goldman looked for the 10 cheapest call contracts available, presented below in increasing order of option price as a percentage of spot price: