Recent Movements in Macro Assets on Nvidia Earnings

Recent movements in macro assets concerning Nvidia earnings highlight the significant impact of the AI theme, as noted in a Wednesday report by Goldman Sachs.

NVIDIA Corporation (NASDAQ:NVDA) is scheduled to report its earnings for Q2 of fiscal 2025 this Wednesday. Investor interest has intensified, evident from rising options trading volume in the past week.

Goldman Sachs observed that Nvidia options volumes currently make up 20% of all S&P 500 single stock options volume, which is considerably lower than the levels recorded in June 2024.

Over the previous month, the put-call skew for Nvidia has diminished, indicating a shift in sentiment. Current positions seem less bullish when compared to the period preceding February’s earnings, though they are on par with positions prior to the May earnings.

The S&P 500 (SPX) typically fluctuates by an average of +/-1.2% during Nvidia’s earnings release, with the average SPX 2-day straddle priced at 0.8% before these events, according to Goldman’s analysis.

Notably, in two of the last four earnings reports, the actual SPX movements exceeded the implied moves suggested by straddles. Currently, the S&P 500 2-day straddles are priced at 1.0%, which falls short of the realized average move of +/-1.2% over the last four quarters.

Goldman Sachs highlights that NVDA options are anticipating a more notable movement than usual; the implied move for this earnings report is priced at +/-10%, higher than the 4-quarter average of +/-7%.

In their report, strategists identified the top 20 exchange-traded funds (ETFs) that have historically reacted significantly to Nvidia’s earnings. These include:
– SMH
– SOXX
– XLK
– QQQ
– VOO
– SPY
– EMB
– DIA
– XLV
– ARKK
– HYG
– XLY
– XLI
– XLU
– FXI
– XLP
– XBI
– IWM
– LQD
– KWEB

Historically, the largest average absolute moves following Nvidia earnings have been seen in SMH (3.4%), followed by SOXX (2.9%), ARKK (2.4%), and KWEB (2.4%).