Pre-Market IV Report October 4, 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 BILL CRSP ELF ETSY TEAM BHC SQ ANET NEE INMD IEP GEO AES UBER EX EXPE SBUX ALXO
Stocks expected to have increasing option volume: SPY QQQ IWM RUT ARKK
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 35; compared to its 52-week range of 21 to 81. Call put ratio 1 call to 3.4 puts.
Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 49; compared to its 52-week range of 24 to 60.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 25; compared to its 52-week range of 13 to 30 on 1M contracts.
SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 10; compared to its 52-week range of 6 to 34.
iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 11; compared to its 52-week range of 6 to 20. Call put ratio 1 call to 9.4 puts.
Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 13; compared to its 52-week range of 7 to 19. .
Option implied volatility for Home-Building Stocks
Toll Brothers (TOL) 30-day option implied volatility is at 38; compared to its 52-week range of 24 to 48. Call put ratio 1 call to 3 puts.
Beazer Homes (BZH) 30-day option implied volatility is at 57; compared to its 52-week range of 36 to 99.
Lennar (LEN) 30-day option implied volatility is at 35; compared to its 52-week range of 22 to 50.
PulteGroup (PHM) 30-day option implied volatility is at 43; compared to its 52-week range of 24 to 81.
D.R. Horton (DHI) 30-day option implied volatility is at 36; compared to its 52-week range of 24 to 53.
Whirlpool (WHR) 30-day option implied volatility is at 37; compared to its 52-week range of 22 to 53.
Generac Holdings (GNRC) 30-day option implied volatility is at 58; compared to its 52-week range of 41 to 424.
Home Depot (HD) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 39.
Lowe’s Cos. (LOW) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 44.
Ishares U.S. Home Construction Etf (ITB) 30-day option implied volatility is at 33; compared to its 52-week range of 20 to 44.
Zillow (Z) 30-day option implied volatility is at 52; compared to its 52-week range of 34 to 84.
Redfin (RDFN) 30-day option implied volatility is at 82; compared to its 52-week range of 57 to 143.
Rocket Companies (RKT) 30-day option implied volatility is at 56; compared to its 52-week range of 34 to 86.
Straddle prices into quarter results
Constellation (STZ) October weekly 247.50 straddle is priced for a move of 4% into the expected release of quarter results before the bell on October 5.
Lamb Weston (LW) October 90 straddle is priced for a move of 8% into the expected release of quarter results before the bell on October 5.
ConAgra (CAG) October weekly 26 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on October 5.
Levi Strauss (LEVI) October 13 straddle is priced for a move of 10% into the expected release of quarter results after the bell on October 5.
Bank of America (BAC) 30-day option implied volatility is at 35; compared to its 52-week range of 20 to 51.
Walt Disney (DIS) 30-day option implied volatility is at 29; compared to its 52-week range of 22 to 49 as share price closed below $80.
Options with decreasing option implied volatility: IMVT MSOS KMX NKE HZNP
Increasing unusual option volume: GRAB ARMK REPL SNDX GEN GGAL
Increasing unusual call option volume: URTY GRAB ARMK LW GEN SNDX XLI
Increasing unusual put option volume: AVXL BIG VLY NEP SNDX
Popular stocks with increasing volume: BAC PLTR SOFI INTC BA PBR CCL AFRM BABA
Active options: TSLA NVDA AAPL AMZN AMD META BAC PLTR MSFT NFLX SOFI MARA GOOGL INTC BA PBR CHPT CCL AFRM BABA
Global S&P Futures mixed in premarket, Nikkei down 2%, DAX mixed, WTI Crude oil recently at $88.50, natural gas mixed, gold at $1836
