Pre-Market IV Report October 3, 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: SRPT VFS BILL CRSP NEE GEO ETSY ANET FTNT D EA AEP CLX CAH PCG SBUX SO DUK BUD MPLX SGEN JEPI ACRS XLU NEP NEE ED
Stocks expected to have increasing option volume: MKC WE XLU NEE NEP MKC
Option implied volatility for electrical energy providers and grid operators as interest rate yields trend higher
Utilities Sel Sect Spdr Fd (XLU) 30-day option implied volatility is at 25; compared to its 52-week range of 14 to 33. Call put ratio 1 call to 1 put on 388K contracts.
Southern Co. (SO) 30-day option implied volatility is at 24; compared to its 52-week range of 13 to 34 as interest rates trend higher.
Dominion Energy (D) 30-day option implied volatility is at 31; compared to its 52-week range of 20 to 71 as interest rates trend higher. Call put ratio 1.7 calls to 1 put on 8K contracts.
Duke Energy (DUK) 30-day option implied volatility is at 24; compared to its 52-week range of 14 to 62 as interest rates trend higher. Call put ratio 1.1 calls to 1 put.
PG&E Corp. (PCG) 30-day option implied volatility is at 30; compared to its 52-week range of 19 to 48 as interest rates trend higher. Call put ratio 1 call to 2.1 puts on 18K contracts.
Edison Int’l (EIX) 30-day option implied volatility is at 26; compared to its 52-week range of 16 to 74 as interest rates trends higher. Call put ratio 1 call to 2.9 puts.
PPL Corp. (PPL) 30-day option implied volatility is at 26; compared to its 52-week range of 13 to 66 as interest rates trends higher. Call put ratio 1 call to 2.8 puts.
Consolidated Edison (ED) 30-day option implied volatility is at 25; compared to its 52-week range of 15 to 40 as interest rates trend higher.
American Electric Power (AEP) 30-day option implied volatility is at 28; compared to its 52-week range of 17 to 34 as interest rate yields trend higher.
Exelon Corp. (EXC) 30-day option implied volatility is at 27; compared to its 52-week range of 15 to 58 as interest rate yields trend higher.
Constellation Energy Group, Inc. (CEG) 30-day option implied volatility is at 32; compared to its 52-week range of 19 to 82 as interest rates trend higher. Call put ratio 1 call to 2.2 puts.
Xcel Energy (XEL) 30-day option implied volatility is at 25; compared to its 52-week range of 14 to 67 as interest rates trend higher.
NextEra Energy (NEE) 30-day option implied volatility is at 38; compared to its 52-week range of 17 to 64. Call put ratio 1 call to 1.5 puts on 162K contracts.
NextEra Energy Partners (NEP) 30-day option implied volatility is at 79; compared to its 52-week range of 23 to 84. Call put ratio 1 call to 1 put on 23K contracts.
NiSource (NI) 30-day option implied volatility is at 33; compared to its 52-week range of 12 to 33. Call put ratio 7.2 calls to 1 put on 5K contracts.
Itron (ITRI) 30-day option implied volatility is at 37; compared to its 52-week range of 25 to 62 as interest rate yields trend higher.
National Grid Plc (NGG) 30-day option implied volatility is at 24; compared to its 52-week range of 13 to 40 as interest rates trend higher.
Gold stocks option implied volatility as gold trades $1850
Barrick Gold (GOLD) 30-day option implied volatility is at 33; compared to its 52-week range of 24 to 50.
Kinross Gold (KGC) 30-day option implied volatility is at 34; compared to its 52-week range of 29 to 65.
Newmont (NEM) 30-day option implied volatility is at 35; compared to its 52-week range of 24 to 50.
Agnico Eagle Mines (AEM) 30-day option implied volatility is at 34; compared to its 52-week range of 26 to 88.
Royal Gold (RGLD) 30-day option implied volatility is at 29; compared to its 52-week range of 23 to 76.
Harmony Gold Mining Company Limited (HMY) 30-day option implied volatility is at 42; compared to its 52-week range of 32 to 83.
Iam Gold (IAG) 30-day option implied volatility is at 71; compared to its 52-week range of 43 to 112. Call put ratio 7 calls to 1 put.
SPDR Gold Trust (GLD) 30-day option implied volatility is at 13; compared to its 52-week range of 10 to 21.
Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 50.
Direxion Daily Gold Miners Bull 3x Shares (NUGT) 30-day option implied volatility is at 63; compared to its 52-week range of 49 to 98. Call put ratio 2.4 calls to 1 put.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 34; compared to its 52-week range of 21 to 81. Call put ratio 1 call to 3 puts.
Vanguard Reit Etf (VNQ) 30-day option implied volatility is at 21; compared to its 52-week range of 14 to 34.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 28; compared to its 52-week range of 24 to 49.
Ishares Msci Japan Etf (EWJ) 30-day option implied volatility is at 17; compared to its 52-week range of 11 to 60 as share price near 4-month low.
Straddle prices into quarter results
Cal-Maine Foods (CALM) October 47.50 straddle is priced for a move of 8% into the expected release of quarter results today after the bell.
Tilray (TLRY) October weekly 2.5 straddle is priced for a move of 17% into the expected release of quarter results before the bell on October 4.
Target (TGT) 30-day option implied volatility is at 31; compared to its 52-week range of 21 to 52.
Options with decreasing option implied volatility: MSOS IMVT KMX NKE ACN
Increasing unusual option volume: NEP BCRX KDP REPL SNDX PTEN ICLN RILY VFS
Increasing unusual call option volume: SPHR SNDX NEP EWG GRAB EW VFS
Increasing unusual put option volume: ZTO KDP UEC EXPI SNDX RILY NEP WE NEE
Popular stocks with increasing volume: RIVN PLTR BAC AMC RIOT COIN XOM NKLA NIO
Active options: TSLA NVDA AAPL AMZN AMD META MSFT RIVN PLTR MARA BAC GOOGL AMC RIOT GOOG NEE COIN XOM NKLA NIO
Global S&P Futures mixed in premarket, Nikkei down 1.5%, DAX mixed, WTI Crude oil recently at $89, natural gas mixed, gold at $1849
