Pre-Market IV Report October 24, 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: FL GRPN FRHC AYX ANF SYM DKS BITO BURL ANF SYM DKS NVDA DLTR BBY DE LOW
Stocks expected to have increasing option volume: MSFT GOOG GOOGL V KO VZ CDNS CLF WHR GE TXN DHR CNDS INTC ARM BA META IBM TMO MAT
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility at 23, SPDR S&P 500 ETF Trust (SPY) at 18
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 18; compared to its 52-week range of 11 to 29.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 23; compared to its 52-week range of 13 to 29. Call put ratio 3.1 calls to 1 put.
Straddle prices into quarter results
Microsoft (MSFT) October weekly 330 straddle is priced for a move of 5% into the expected release of quarter results today after the bell.
Alphabet (GOOGL) October weekly 136 straddle is priced for a move of 5% into the expected release of quarter results today after the bell.
Visa (V) October weekly 230 straddle is priced for a move of 4% into the expected release of quarter results today after the bell.
Snap (SNAP) October weekly 9.5 straddle is priced for a move of 20% into the expected release of quarter results today after the bell.
IBM (IBM) October weekly 136 straddle is priced for a move of 4.5% into the expected release of quarter results after the bell on October 25.
Boeing (BA) October weekly 180 straddle is priced for a move of 6% into the expected release of quarter results before the bell on October 25.
Meta Platforms (META) October weekly 315 straddle is priced for a move of 8.5% into the expected release of quarter results after the bell on October 25.
IBM (IBM) October weekly 136 straddle is priced for a move of 4.5% into the expected release of quarter results after the bell on October 25.
Boeing (BA) October weekly 180 straddle is priced for a move of 6% into the expected release of quarter results before the bell on October 25.
Meta Platforms (META) October weekly 315 straddle is priced for a move of 8.5% into the expected release of quarter results after the bell on October 25.
Thermo Fisher (TMO) October weekly 460 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on October 25.
T-Mobile (TMUS) October weekly 138 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on October 25.
ServiceNow (NOW) October weekly 540 straddle is priced for a move of 4.5% into the expected release of quarter results after the bell on October 25.
CME Group (CME) October weekly 212.50 straddle is priced for a move of 4% into the expected release of quarter results before the bell on October 25.
Canadian Pacific (CP) November 70 straddle is priced for a move of 6% into the expected release of quarter results after the bell on October 25.
KLA Corp (KLAC) October weekly 462 straddle is priced for a move of 5% into the expected release of quarter results after the bell on October 25.
General Dynamics (GD) October weekly 232.50 straddle is priced for a move of 6.5% into the expected release of quarter results before the bell on October 25.
Norfolk Southern (NSC) October weekly 197.50 straddle is priced for a move of 4% into the expected release of quarter results before the bell on October 25.
Hess Corp (HES) October weekly 160 straddle is priced for a move of 3% into the expected release of quarter results before the bell on October 25.
Hilton (HLT) November 150 straddle is priced for a move of 6% into the expected release of quarter results before the bell on October 25.
Mattel (MAT) October weekly 20 straddle is priced for a move of 8% into the expected release of quarter results after the bell on October 25.
Amazon (AMZN) October weekly 127 straddle is priced for a move of 6% into the expected release of quarter results after the bell on October 26.
Option implied volatility for electrical energy providers and grid operators
Southern Co. (SO) 30-day option implied volatility is at 25; compared to its 52-week range of 13 to 29.
Constellation Energy Group, Inc. (CEG) 30-day option implied volatility is at 35; compared to its 52-week range of 19 to 83.
Xcel Energy (XEL) 30-day option implied volatility is at 24; compared to its 52-week range of 14 to 71.
NextEra Energy (NEE) 30-day option implied volatility is at 38; compared to its 52-week range of 17 to 64.
Dominion Energy (D) 30-day option implied volatility is at 33; compared to its 52-week range of 20 to 68 as share price near 13-year low.
Duke Energy (DUK) 30-day option implied volatility is at 25; compared to its 52-week range of 14 to 62.
PG&E Corp. (PCG) 30-day option implied volatility is at 30; compared to its 52-week range of 19 to 40. Call put ratio 1 call to 5.9 puts.
Edison Int’l (EIX) 30-day option implied volatility is at 27; compared to its 52-week range of 16 to 74. Call put ratio 3.9 calls to 1 put.
PPL Corp. (PPL) 30-day option implied volatility is at 24; compared to its 52-week range of 14 to 66. Call put ratio 5.7 calls to 1 put.
Consolidated Edison (ED) 30-day option implied volatility is at 24; compared to its 52-week range of 15 to 40. Call put ratio 1.9 calls to 1 put.
American Electric Power (AEP) 30-day option implied volatility is at 29; compared to its 52-week range of 17 to 30. Call put ratio 6.5 calls to 1 put.
Exelon Corp. (EXC) 30-day option implied volatility is at 26; compared to its 52-week range of 15 to 58. Call put ratio 9.3 calls to 1 put.
Itron (ITRI) 30-day option implied volatility is at 47; compared to its 52-week range of 25 to 62.
National Grid Plc (NGG) 30-day option implied volatility is at 24; compared to its 52-week range of 13 to 33.
Utilities Sel Sect Spdr Fd (XLU) 30-day option implied volatility is at 23; compared to its 52-week range of 14 to 29 as share price near three-year low. Call put ratio 1 call to 1 put.
Arm Holdings (ARM) October weekly call option implied volatility is at 77, November is at 64; compared to its 52-week range of 47 to 56. Call put ratio 5.2 calls to 1 put with focus on November weekly (3) 50 calls after report says Nvidia plans to make PC CPUs.
Intel (INTC) October weekly call option implied volatility is at 88, November is at 49; compared to its 52-week range of 30 to 59 after report says Nvidia (NVDA) plans to make PC CPUs. Call put ratio 1 call to 1 put.
Options with decreasing option implied volatility: VMW NFLX ISRG HES PBR ABT PG
Increasing unusual option volume: EVLV BUR DM EBS BLMN AVTR
Increasing unusual call option volume: NXE VMW AVTR JCI TTWO GRAB CG
Increasing unusual put option volume: IMGN BIG SWN CNK XME VRT PWR
Popular stocks with increasing volume: BAC PLTR COIN INTC GOOG AMC T SOFI
Active options: TSLA NVDA AAPL AMZN BAC AMD MARA PLTR MSFT META CHPT NFLX COIN RIOT GOOGL INTC GOOG AMC T SOFI
Global S&P Futures mixed in premarket, Nikkei mixed to lower, DAX mixed, WTI Crude oil recently at $86, natural gas down 1%, gold at $1986
