高盛：本周覆盖（24 年6 月10 日）

Investment Rating - The report maintains an attractive investment rating for Utilities stocks, particularly for overwriting strategies due to their relatively higher implied volatility and lack of near-term catalysts [1]. Core Insights - The S&P 500 average stock 1-month implied volatility decreased to 23, while the index implied volatility is even lower at 10, making single stock overwriting more appealing [1]. - Utilities stocks are highlighted as attractive for overwriting due to their average stock volatility of 21, which is in the 54th percentile compared to the past year [1]. - The report indicates that overwriting strategies have outperformed, with call selling outperforming by 19 basis points and put selling underperforming by 3 basis points since May expiration [5][6]. Summary by Sections Overwriting Ideas - The report identifies top overwriting candidates for June and July expirations, including ALNY, ENPH, ITCI, and EXAS, based on a 27-year study and analysts' ratings [2]. - For 3-6 month overwrites, the report highlights the top 50 opportunities based on analysts' price targets [2]. Performance Update - The average return for a portfolio of 362 liquid stocks in the US is down 1.9% since May expiration, while the average stock performance is down 2.1% [5][6]. - Call selling strategies have shown outperformance in months with moderate to down stock performance, while put selling has outperformed in most months except during sharp market sell-offs [5][6]. Short-term and Long-term Overwriting Strategies - Short-term overwriting focuses on stocks with high implied volatility that do not report earnings before the next expiration, which has historically added over 500 basis points in returns [8]. - Longer-term overwriting strategies utilize analysts' price targets to identify stocks where calls are overpriced relative to expected share prices [8]. Current Yield Generation Opportunities - The report outlines current yield generation opportunities through both short-term (1 month) and longer-term (3-6 months) overwriting strategies [9]. - Specific stocks are recommended for overwriting based on their market cap, implied volatility, and upcoming earnings events [10][12].