Analysis of Every Stock Being Added to the Russell 2000 this Friday
TLDR: Passive funds will buy shares of stocks added to the Russell 2000 this Friday. Some have an unusually high open call interest relative to float. Not financial advice.
Gather ’round boys and girls! For those of you who don’t know, this Friday, the 25th, is when new stocks are added to the Russell 2000 (R2K). I was working with u/FatAspirations on his latest DD, and he needed to analyze all of the stocks being added to the R2K. His idea is to find the stocks market makers will need to buy after inclusion based on open interest, which would indicate stocks with a higher probability of seeing a gamma event after inclusion.
We converted that Russell 2000 PDF into a google spreadsheet and included the total call open interest and shares outstanding for every one of them. I’ve also added the total July open call interest for the ones with the highest open interest to shares outstanding. I used July since it’s the next monthly OPEX after inclusion this Friday. Passive funds will typically start buying at the end of the day / AHs Friday to track the Russell 2000 per their fund allocations.
Here is a spreadsheet with all 255 new additions to the Russell 2000. It is ordered by (Open Interest / Shares Outstanding) for those interested in doing DD or developing their own R2K plays. I’m sharing the spreadsheet to help anyone else looking into R2K plays.
In summary, R2K inclusion should drive up stonk price, which will cause more calls to go ITM, which will create more forced buying as we approach July OPEX.
If you’re playing R2K inclusion, pay attention to call OI as a percentage of total shares outstanding, and in particular July as it’s the closest monthly expiration after the June 25th buy-in date.! Some have an unusually high call open interest.. (Not financial advice!)
Riot 7/16 40c
MARA 7/16 35c
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June 21, 2021 at 04:19PM