Recent movements in macro assets on Nvidia earnings demonstrate the major role of the AI theme and the chipmaker as a key market bellwether, Goldman Sachs said in a Wednesday report.
NVIDIA Corporation (NASDAQ:NVDA) is set to report its earnings for the second quarter of fiscal 2025 on Wednesday and investor attention is notably growing, Goldman notes, as evidenced by an increase in options trading volume over the past week.
“We find that NVDA options volumes currently constitute 20% of all S&P 500 single stock options volume, significantly below June 2024 levels,” they wrote.
Over the past month, the put-call skew for Nvidia has decreased, signaling a shift in sentiment. Current positioning appears less bullish compared to the lead-up to the February earnings, but is comparable to positioning before the May earnings.
The S&P 500 (SPX) has typically moved by an average of +/-1.2% during Nvidia's earnings over the last four quarters, while the average SPX 2-day straddle was priced at 0.8% ahead of these earnings events, according to Goldman’s note.
Notably, in two of the last four earnings reports, the realized SPX movements exceeded the implied moves suggested by straddles. The S&P 500 2-day straddles are currently priced at 1.0%, which is below the realized average move of +/-1.2% over the last four quarters.
Moreover, Goldman Sachs points out that NVDA options are pricing in a more significant move than usual for this earnings report, with an implied move of +/-10%, compared to the 4-quarter average move of +/-7%.
In their note, strategists highlighted the top 20 exchange-traded funds (ETFs) that have historically seen large movements in response 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, and KWEB.
The biggest average absolute moves on past Nvidia earnings were seen in SMH (3.4%), followed by SOXX (2.9%), ARKK (2.4%), and KWEB (2.4%).