GS Bullish Calendar Call Spread with 314% Upside

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This GS Calendar Call Spread Could Turn 314% Profit

Bullish play with a target stock price of $420

Strategy has +314% upside potential and 30% undervalued

Strategy: GS Calendar Call Spread
Sell 19-Apr-24 420 Call5.20
Buy 17-May-24 420 Call8.10

Goldman Sachs Group has increased by +1.1% today to $394.95. The shares have been in a steady uptrend since February 14, based on GS moving averages. Setting up this calendar spread with strikes at $420 gives you a bullish bias to tap into GS stock's strength.

Option Profit Calculator Results for GS Calendar Spread at 19-Apr-24 Expiration

In this scenario, the optimal stock price for the option strategy would be $420.00 on the date of the first expiration, April 19, 2024. This is equal to the strike price of the options in the spread. Since GS is in a technical uptrend currently, and the strikes are above the current stock price of $395.91, the spread is taking advantage of the stock's upward momentum. If the stock price is $420.00 at expiration, we can benefit from the 19-Apr-24 call, which we sold, expiring worthless, and the option that we are long, the 17-May-24 call, will still have time premium built in.

Since we do now know what the exact implied volatility will be on April 19, we can use our historical data to make an educated estimate to help us calculate the value of the 17-May-24 option. Applying the median historical implied volatility of 26.5 from similar options, the theoretical value of the call is 12.01 at the date of the 19-Apr-24 expiration. Using the above assumptions gives us a potential upside of +314% for this calendar spread.

GS Calendar Spread Value vs. Market Price

According to Market Chameleon estimated value, GS Calendar Spread is trading at a 30% discount to historical benchmark.

If we use historical data to measure how similar spreads in GS were priced in the market, the 4-year average price was 4.12, with a high mark of 5.32 and a low of 2.75.

Currently, the calendar call spread is bid at 2.55 and offered at 2.90. The midpoint of the spread is 2.73.

If we use 4.12 as our historical fair value benchmark, the current market ask price is at a 30% discount, while the current market midpoint represents a 34% discount.

Current PriceHistorical Values of Similar Spreads
Market Chameleon captures daily records of market data to calculate historical benchmarks and generate estimated values.


The GS calendar call spread we've identified here can be a good way to play a bullish outlook because the option strategy has a +314% upside potential, is 30% underpriced relative to historical measures, and will benefit if the stock continues to trend higher to $420.

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