Goldman Sachs Recommends Option Straddles Ahead Of Earnings Reports

Goldman Sachs recommended buying option straddles on Groupon Inc GRPN, Whole Foods Market, Inc., WFM and Cree, Inc. CREE ahead of earnings.

Derivatives strategists Katherine Fogertey and John Marshall suggested straddle positions that cost the same or less that the amount shares have moved on prior reports. Traders should look for  the closest-listed February options.

For Whole Foods Market, Inc in particular, Fogertey and Marshall recommended the February $52.50 straddles to play the February 12th earnings move.