Pre-Market IV Report October 10, 2023
The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By monitoring this market data, traders can create strategies that capitalize on this often over looked information
Options with increasing option implied volatility: UPST BYND CELH BHC BROS RBLX PLTR YETI ABR VET TPR MDLZ MNST MBLY
Stocks expected to have increasing option volume: NOC GD RXT BA LMT LHX U
Aero space-defense–tech stock option implied volatility ticks up with share price
Lockheed Martin (LMT) 30-day option implied volatility is at 28; compared to its 52-week range of 13 to 35. Call put ratio 2.5 calls to 1 put.
Raytheon Technologies (RTX) 30-day option implied volatility is at 33; compared to its 52-week range of 15 to 36. Call put ratio 5 calls to 1 put.
Northrop Grumman (NOC) 30-day option implied volatility is at 30; compared to its 52-week range of 16 to 38.
General Dynamics (GD) 30-day option implied volatility is at 26; compared to its 52-week range of 13 to 32. Call put ratio 3.3 calls to 1 put.
L3Harris Technologies (LHX) 30-day option implied volatility is at 31; compared to its 52-week range of 16 to 75. Call put ratio 4.5 calls to 1 put.
Boeing (BA) 30-day option implied volatility is at 38; compared to its 52-week range of 24 to 60.
General Electric (GE) 30-day option implied volatility is at 34; compared to its 52-week range of 21 to 252.
Honeywell (HON) 30-day option implied volatility is at 24; compared to its 52-week range of 14 to 35.
Spirit AeroSystems (SPR) 30-day option implied volatility is at 73; compared to its 52-week range of 42 to 104.
Huntington Ingalls Industries (HII) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 68.
Ishares U.S. Aerospace & Defense Etf (ITA) 30-day option implied volatility is at 22; compared to its 52-week range of 12 to 34. Call put ratio 3.6 calls to 1 put.
Straddle prices into quarter results
Pepsi (PEP) October weekly 160 straddle is priced for a move of 3.5% into the expected release of quarter results today before the bell on October 10.
Delta (DAL) October weekly 35 straddle is priced for a move of 6% into the expected release of quarter results before the bell on October 12.
Walgreens Boots (WBA) October weekly 22 straddle is priced for a move of 8.5% into the expected release of quarter results before the bell on October 12.
Infosys (INFY) October 18 straddle is priced for a move of 7% into the expected release of quarter results before the bell on October 12.
Fastenal (FAST) October 55 straddle is priced for a move of 5.5% into the expected release of quarter results before the bell on October 12.
Domino’s Pizza (DPZ) October weekly 350 straddle is priced for a move of 7.5% into the expected release of quarter results before the bell on October 12.
Commercial Metal (CMC) October 48 straddle is priced for a move of 7% into the expected release of quarter results before the bell on October 12.
Movers
Pioneer Natural Resources (PXD) October weekly call option implied volatility is at 58, October is at 45; compared to its 52-week range of 19 to 51 after reports Exxon Mobil (XOM) is nearing a $60B deal to buy.
Adobe Systems (ADBE) 30-day option implied volatility is at 31; compared to its 52-week range of 26 to 50 into hosting an investor meeting today.
Unity Software Inc. (U) 30-day option implied volatility is at 68; compared to its 52-week range of 47 to 115 into affirms Q3 guidance.
Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 44; compared to its 52-week range of 24 to 60.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 22; compared to its 52-week range of 13 to 30. Call put ratio 3 calls to 1 put.
Options with decreasing option implied volatility: HELE AEHR ATVI
Increasing unusual option volume: RILY MRTX GRAB DFEN TPX UEC
Increasing unusual call option volume: GRAB DFEN LW FRO LW NEP NOC KTOS
Increasing unusual put option volume: RILY UEC DLO MDLZ ARDX JBL OGN YUM
Popular stocks with increasing volume: PLTR RTX RIVN XOM KO AAL BAC OXY CCL DIS
Active options: TSLA PLTR NVDA AMZN META AAPL AMD RIVN AMC MSFT XOM KO AAL BAC GOOG OXY GOOGL CCL RTX DIS
Global S&P Futures down in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $86, natural gas mixed, gold at $1870
