Pre-Market IV Report October 2, 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: VFS SRPT OPRA ALGN GEO CMG NEE IBM ATVI LQD EBIX SNAP
Stocks expected to have increasing option volume: AMC K LW CAG COMM K
“The Magnificent Seven.” option implied volatility into no government shutdown
Microsoft (MSFT) 30-day option implied volatility is at 29; compared to its 52-week range of 19 to 43.
Alphabet (GOOGL) 30-day option implied volatility is at 32; compared to its 52-week range of 23 to 47.
Meta Platforms (META) 30-day option implied volatility is at 47; compared to its 52-week range of 29 to 74.
NVIDIA (NVDA) 30-day option implied volatility is at 39; compared to its 52-week range of 37 to 68.
Amazon (AMZN) 30-day option implied volatility is at 38; compared to its 52-week range of 25 to 61.
Apple (AAPL) 30-day option implied volatility is at 25; compared to its 52-week range of 17 to 45.
Tesla (TSLA) 30-day option implied volatility is at 55; compared to its 52-week range of 42 to 95.
Movers
ExxonMobil (XOM) 30-day option implied volatility is at 24; compared to its 52-week range of 19 to 43 as share price near record high.
Chevron (CVX) 30-day option implied volatility is at 22; compared to its 52-week range of 17 to 41.
United States Oil Fund (USO) 30-day option implied volatility is at 30; compared to its 52-week range of 25 to 52 as WTI crude trades above $91.
Market Vectors Oil Services Etf (OIH) 30-day option implied volatility is at 32; compared to its 52-week range of 26 to 61 as WTI crude trades above $91.
Walt Disney (DIS) 30-day option implied volatility is at 26; compared to its 52-week range of 22 to 49.
Consumer Staples Select Sector SPDR Fund (XLP) 30-day option implied volatility is at 13; compared to its 52-week range of 9 to 24.
Walmart (WMT) 30-day option implied volatility is at 16; compared to its 52-week range of 12 to 32.
GameStop (GME) 30-day option implied volatility is at 55; compared to its 52-week range of 52 to 133.
Chewy (CHWY) 30-day option implied volatility is at 49; compared to its 52-week range of 38 to 91.
Kellogg Company (K) 30-day option implied volatility is at 23; compared to its 52-week range of 12 to 67 ahead of the separation of the company’s snacks and cereal operations.
CommScope (COMM) 30-day option implied volatility is at 71; compared to its 52-week range of 50 to 117 amid exploring asset sales to help with debt load, Bloomberg says.
      
SmileDirectClub (SDC) 30-day option implied volatility is at 21; compared to its 52-week range of 20 to 221.
Cano Health (CANO) 30-day option implied volatility is at 169; compared to its 52-week range of 97 to 445.
Straddle prices into quarter results
McCormick (MKC) October 75 straddle is priced for a move of 7% into the expected release of quarter results before the bell on October 3.
Cal-Maine Foods (CALM) October 50 straddle is priced for a move of 6.5% into the expected release of quarter results after the bell on October 3.
Tilray (TLRY) October weekly 2.5 straddle is priced for a move of 14% into the expected release of quarter results before the bell on October 4.
Options with decreasing option implied volatility: MSOS KMX NKE ACN IMVT
Increasing unusual option volume: WE NEP VRAR SNDX DXJ SNDX
Increasing unusual call option volume: SNDX VRAR ASHR NEP GEO
Increasing unusual put option volume: NICE DBX MT JBL CNK SPHR
Popular stocks with increasing volume: PLTR NKE CCL MU CHPT AMC RIVN BAC NIO SOFI
Active options: TSLA NVDA AAPL AMZN AMD META PLTR MSFT NKE CCL GOOGL MU CHPT AMC RIVN NFLX GOOG BAC NIO SOFI
Global S&P Futures higher in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $91, natural gas mixed, gold at $1851
