Pre-Market IV Report October 12, 2022

Market Rebellion

This article was last updated on 10/12/2022.

Pre-Market IV Report October 12, 2022

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: JPM BAC C WFC USB PNC DPZ DAL PEP AXSM VERU AFRM MSOS NLY RBLX TTD VTRS RLMD LYFT UBER WEBR TCDA OPAD RLMD CEI MIST

Stocks expected to have increasing option volume: INTC JPM C BAC WFC USB DAL PEP

Intel (INTC) 30-day option implied volatility is at 58; compared to its 52-week range of 21 to 58 into planning thousands of job cuts, Bloomberg reports.

Option IV for interest rate products as rates move higher

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 52; compared to its 52-week range of 28 to 54. Call put ratio 6 calls to 1 put.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 26; compared to its 52-week range of 14 to 28. Call put ratio 5.7 calls to 1 put.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 20; compared to its 52-week range of 5 to 21. Call put ratio 1 call to 2.7 puts.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 20; compared to its 52-week range of 5 to 23. Call put ratio 1 call to 3.2 puts.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 18; compared to its 52-week range of 6 to 18. Call put ratio 2.8 calls to 1 put.

Oil

United States Oil Fund (USO) 30-day option implied volatility is at 48; compared to its 52-week range of 29 to 81 as shares sell off 4.6%. Call put ratio 3.6 calls to 1 put.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 44; compared to its 52-week range of 25 to 49 as $WTI crude oil trades below $90. Call put ratio 1 call to 1.9 puts.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 56; compared to its 52-week range of 39 to 64 as WTI crude oil trades below $90. Call put ratio 1 call to 2.4 puts.

Movers

Roblox (RBLX) 30-day option implied volatility is at 107; compared to its 52-week range of 54 to 154.

Zoom (ZM) 30-day option implied volatility is at 64; compared to its 52-week range of 34 to 115.

Affirm Holdings (AFRM) 30-day option implied volatility is at 138; compared to its 52-week range of 74 to 214.

Block (SQ) 30-day option implied volatility is at 90; compared to its 52-week range of 39 to 109.

Shopify (SHOP) 30-day option implied volatility is at 95; compared to its 52-week range of 36 to 103.
Zillow (Z) 30-day option implied volatility is at 84; compared to its 52-week range of 47 to 91.

Roku (ROKU) 30-day option implied volatility is at 108; compared to its 52-week range of 45 to 119.

Straddle price into quarter results.

US Bancorp (USB) October weekly 39 straddle priced for a move of 5% into the expected release of quarter results before the bell on October 14.

Wells Fargo (WFC) October weekly 40 straddle priced for a move of 6% into the expected release of quarter results before the bell on October 14.

Citigroup (C) October weekly 40 straddle priced for a move of 6% into the expected release of quarter results before the bell on October 14.

JPMorgan (JPM) October weekly 102 straddle priced for a move of 6% into the expected release of quarter results before the bell on October 14.

PNC Financial (PNC) October weekly 148 straddle priced for a move of 5% into the expected release of quarter results before the bell on October 14.

Morgan Stanley (MS) October weekly 77 straddle priced for a move of 5.5% into the expected release of quarter results before the bell on October 14.

UnitedHealth (UNH) October weekly 500 straddle priced for a move of 5% into the expected release of quarter results before the bell on October 14.

Options with decreasing option implied volatility: TWTR
Increasing unusual option volume: CNK FIVN IMAX CIM ADT HEAR
Increasing unusual call option volume: IMAX ADT SFL NLY DNMR
Increasing unusual put option volume: CNK CIM LAZR VGK
Popular stocks increasing volume: UBER SOFI DKNG TSM AMC AAL TWTR INTC
Active options: TSLA AAPL AMZN AMD NVDA META UBER SOFI MSFT NFLX DKNG F BAC LAZR TSM GOOGL AMC AAL TWTR INTC
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $90, natural gas mixed, gold at $1679

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