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Financials on the 22V Quant Team “Miss” List. Collar Morgan Stanley (MS) Ahead of Earnings Later This Week

Published on January 13, 2026

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By

Jeff Jacobson

Every quarter, the Quant team puts together their earnings beat list and an earnings miss list by combining their proprietary factor and sentiment models. Historically, companies with high Earnings Quality scores (stable earnings growers) and above average earnings sentiment (an objective scoring of how optimistic management teams sound about their own companies’ earnings) have a better beat rate than the index. Companies with high Earnings Volatility and below average earnings sentiment miss earnings estimates more than normal.

This quarter, Banks are screening on the miss list. Given the negative reaction by JPM on their earnings “beat”, I think it makes sense to consider short-term protective hedges in other financials that have also performed very well into the earnings and are also on the “miss” list. Morgan Stanley (MS) is still up ~ 19% off the November lows, and just below the all-time highs from earlier this month and fits that profile (JPM was on the list as well)

MS options are implying a 3.9% 1-day move for earnings (they report pre-market on 1/15). This implied move is above the 2.85% average move over the last 4 reports. If long, or looking for a synthetic short (with a cushion) I like the following option trade:

Sell MS Jan 16th 192.5 calls

Buy MS Jan 16th 180 puts

Costs ~ $1.20 (MS 184.35 ref)

> Selling the 4.4% upside calls to buy the 2.4% downside puts

> Collar trade helps offset the higher vol, and allows a far greater cushion to the upside than the closer to the money protective puts we are buying

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