Pre-Market IV Report October 16, 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: GLD PACW MBLY RBLX CPRI EH BDC OGN ESTA RVNC ICPT
Stocks expected to have increasing option volume: PFE MRK JNJ BMY NVO MRNA BNTX CVS LULU LW ADRX MANU RAD
Option IV into Pfizer (PFE) cuts FY 23 view
Pfizer (PFE) 30-day option implied volatility is at 31; compared to its 52-week range of 18 to 34 into cuts FY23 financial view.
Moderna (MRNA) 30-day option implied volatility is at 56; compared to its 52-week range of 40.
BioNTech SE (BNTX) 30-day option implied volatility is at 43; compared to its 52-week range of 30 to 71 into Pfizer (PFE) cuts FY23 financial view.
Eli Lilly & Co. (LLY) 30-day option implied volatility is at 36; compared to its 52-week range of 18 to 36.
Merck (MRK) 30-day option implied volatility is at 24; compared to its 52-week range of 17 to 27.
Bristol-Myers Squibb (BMY) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 28 into Pfizer (PFE) cuts FY23 financial view.
Johnson & Johnson (JNJ) 30-day option implied volatility is at 20; compared to its 52-week range of 11 to 23 into quarter results.
Straddle prices into quarter results
Charles Schwab (SCHW) October 51 straddle is priced for a move of 8% into the expected release of quarter results today before the bell.
Johnson & Johnson (JNJ) October 157 straddle is priced for a move of 3.5% into the expected release of quarter results before the bell on October 17.
Bank of America (BAC) October 27 straddle is priced for a move of 4% into the expected release of quarter results before the bell on October 17.
Lockheed Martin (LMT) October 440 straddle is priced for a move of 4% into the expected release of quarter results before the bell on October 17.
Prologis (PLD) October 110 straddle is priced for a move of 3.5% into the expected release of quarter results before the bell on October 17.
Goldman Sachs (GS) October 305 straddle is priced for a move of 4% into the expected release of quarter results before the bell on October 17.
Bank of New York Mellon (BK) October 40 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on October 17.
United Airlines (UAL) October 29 straddle is priced for a move of 8% into the expected release of quarter results after the bell on October 17.
J.B. Hunt (JBHT) October 190 straddle is priced for a move of 5% into the expected release of quarter results after the bell on October 17.
Tesla (TSLA) October 250 straddle is priced for a move of 7% into the expected release of quarter results after the bell on October 18.
Netflix (NFLX) October 355 straddle is priced for a move of 8.5% into the expected release of quarter results after the bell on October 18.
Morgan Stanley (MS) October 78 straddle is priced for a move of 5% into the expected release of quarter results before the bell on October 18.
U.S. Bancorp (USB) October 32 straddle is priced for a move of 6.5% into the expected release of quarter results before the bell on October 18.
Proctor & Gamble (PG) October 145 straddle is priced for a move of 3.5% into the expected release of quarter results before the bell on October 18.
Novo Nordisk (NVO) 30-day option implied volatility is at 38; compared to its 52-week range of 20 to 67. Call put ratio 2.9 calls to 1 put.
Ardelyx (ARDX) 30-day option implied volatility is at 180; compared to its 52-week range of 24 to 310 into October 17 FDA action date. Call put ratio 4.1 calls to 1 put.
Manchester United plc (MANU) 30-day option implied volatility is at 80; compared to its 52-week range of 32 to 140 amid M&A headlines.
Options with decreasing option implied volatility: DWAC TTO IMVT DPZ WBA
Increasing unusual option volume: ICPT FOLD IHI SAVE GRAB
Increasing unusual call option volume: VLY PBRA ICPT OGN XP EGO PRGO NGD
Increasing unusual put option volume: MDLZ SAVE EH MBLY AU HCP
Popular stocks with increasing volume: JPM BAC PLTR C XOM WFC AAL NKLA BA
Active options: TSLA NVDA AAPL AMZN META AMD AMC JPM BAC MSFT PLTR C XOM GOOGL NFLX WFC AAL GOOG NKLA BA
Global S&P Futures mixed in premarket, mixed, DAX down 2%, WTI Crude oil recently at $87, natural down 2%, gold at $1923
