With the significant volatility and uncertainty in equity markets expected to continue through 2023, some investors are seeking alternative short to medium-term trading ideas.
Identifying companies that have usually been heavily sold off on lower valuations with a spark in recent momentum and a high interest in the options market can sometimes lead to a gamma squeeze rally.
The gamma squeeze happens when the underlying stock’s price begins to rally very quickly within a short period of time due to activity that is occurring in the options market. As more money flows into call options from investors, that forces more buying activity from market makers, driving stock prices higher.
The Fintel Gamma Squeeze Leaderboard analyses the change of open interest in short-dated put and call options to identify stocks that may be susceptible to a squeeze.
The leaderboard includes many quantitative factors like the put/call ratio to determine the level of bullish vs bearish bets in a stock’s options market. Other factors include changes in the IV30 score and the share price performance over the previous month.
The top 10 stocks from this leaderboard with the highest scores have been included below:
10. SST / System1 Group
Global marketing research firm System1 Group has risen 69 ranks this week to the 10th spot on the leaderboard with a score of 96.66. On a one-month view, the stock has moved 4.9% higher.
Call open interest currently equates to 11.65% of the total float with a put/call ratio that has declined -1.44% over the week to 0.30. SST’s IV30 has declined -13% over the past week to 1.03.
SST reported Q3 results in early November with results broadly in-line with consensus forecasts. The company downgraded revenue and profit guidance for the full year which did not phase investors with the stock rallying post result.
9. ACHV / Achieve Life Sciences
Smoking-focused specialty pharma Achieve Life Sciences retained the 9th spot on the leaderboard this week with a score of 96.66. Over the past month, the ACHV stock seems to have bottomed out with a 4.6% gain over the past month.
Call open interest equates to 3.2% of the total float, and the put/call ratio has declined significantly, flailing -99.87% to 0.06 as call open interest outweighs put interest for the stock. ACHV’s IV30 has declined -9.84% over the week to 1.24.
ACHV reported Q3 results in November with losses outpacing forecasts. At the same time, the company announced a 4.1 million share private placement to raise $18.9 million.
8. CSBR / Champions Oncology
Biopharma company Champions Oncology held the 8th spot on the leaderboard this week with a score of 96.68. CSBR’s shares have risen 2.4% over the last month as it consolidates from annual lows.
Call open interest currently equates to 7.51% of the float and significantly outweighs put interest for the stock. CSBR has an IV30 of 1.80 which has declined -41.4% over the past week.
During the first quarter, CSBR generated $13.7 million in revenue which was ahead of consensus forecasts with broadly flat underlying losses.
7. DMRC / Digimarc Corp
Anti-counterfeiting software firm Digimarc Corp held the 7th spot this week with a score of 97.20. DMRC’s share price has risen 14.6% over the past month as shares move higher from annual lows.
Call open interest equates to 5.43% of the total float and outweighs put interest by almost two-thirds. The put/call ratio has declined -73.9% over the past week as put demand has faded relative to call option demand for the stock.
DMRC’s IV30 has risen 4.66% to 0.97 over the past week.
6. KALV / Kalvista Pharmaceuticals
Small cap biotech Kalvista Pharma retained the 6th spot on the leaderboard this week with a score of 97.21. KALV’s share price has held relatively firm over the last month.
Call open interest equates to 5.6% of the total float. The put/call ratio has retreated -87% over the last week with very open put interest in the market. The stock’s IV30 has doubled with a 116% gain to 2.60.
KALV announced Phase 1 data for its oral tablet formation of sebetralstat which pushed shares higher into November. The stock remains down significantly after announcing the termination of the KVD824 Phase 2 trial which was announced at the beginning of October.
5. UBX / Unity Biotechnology Inc
Unity Biotechnology has gained 3 ranks this week to the fifth spot on the leaderboard with a score of 97.22.
Call open interest equates to 5% of Unity’s total float and outweighs put interest described by a put/call ratio of 0.16. This ratio has declined -7.5% over the past week. UBX’s IV30 has declined -71.9% over the week to 1.15.
The stock reported Q3 results in early November that came in slightly ahead of forecasts. The company does not yet generate revenue but reported $104 million in cash and short term liquidity on the balance sheet.
4. KLXE / KLX Energy Services Holdings Inc
Oil industry service provider KLX Energy services has risen 11 ranks to the third spot on the leaderboard with a score of 97.42.
Call open interest equates to 6.95% of the total float and has strengthened relative to put interest in the stock described by a -7.5% decline in the put/call ratio over the week to 0.16. The IV30 has declined by -71.9% to 1.15 during this period.
KLX’s share price has been appreciating significantly with strong earnings growth. During Q3 the company grew revenues to $221 million and expects to generate $91-97 million in adjusted EBITDA for the full year.
3. BILI / Bilibili Inc.
Shanghai-based video sharing website Bilibili has rocketed up 91 ranks over the past week to third spot on the leaderboard with a score of 97.47. Short interest currently equates for 6.10% for the float.
Call option has risen over the past week with the put/call ratio declining -10.6% to 0.38. The IV score has also risen 7.65% over the past week to 1.23.
BILI’s share price continues to build momentum with a 10.2% appreciation over the past month. At the last Q2 result, the company told investors it grew monthly active users and paying users by around 29% and 32% over the year, respectively.
2. AMPX / Amprius Technologies Inc
Battery producer Amprius Technologies has risen 14 ranks this week to the second spot on the leaderboard with a score of 97.57.
Call open interest equates to 18.7% of the total float, and the put/call ratio has declined -5.76% over the week to 0.08. AMPX’s IV30 has grown 24.94% over the week to 1.05.
During AMPX’s most recent Q4 result, the company grew revenues to $0.82 million and beat forecasts of around $0.5 million. The stock continues to generate losses but is growing sales.
1. GCI / Gannett Co Inc
Mass media holding company Gannett Co holds the top spot on the gamma squeeze leaderboard with a score of 97.78.
Short interest only equates to 5.64% of the float, however, the put/call ratio has declined 98.34% over the week with significant call option interest in the market. The stock has an IV30 of 1.10, which has risen 10% over the past week. The stock price has also appreciated 14% over the past month.
During early November, GCI reported a -9% decline in same-store revenues over the year with adjusted EBITDA falling to $52 million from $102 million in 2021. For the full year the company expects same-store sales to decline -6% to -7%.
This article originally appeared on Fintel
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