Pre-Market IV Report October 5, 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: CRSP BILL W SOFI ELF AKRO EBIX VFS ATEN PAR CD CRNX ACCD ROIV KOS
Stocks expected to have increasing option volume: CLX COST RIVN T STZ LW CAG LEVI BB ORTX
Movers
Eli Lilly & Co. (LLY) 30-day option implied volatility is at 32; compared to its 52-week range of 19 to 36.
Clorox (CLX) 30-day option implied volatility is at 31; compared to its 52-week range of 15 to 39 into Q1 guidance.
Rivian Automotive (RIVN) 30-day option implied volatility is at 68; compared to its 52-week range of 57 to 101 into files to sell $1.5B of green convertible senior notes due 2030
AT&T (T) 30-day option implied volatility is at 30; compared to its 52-week range of 18 to 38 into considers options for 70% DirecTV stake, Bloomberg reports.
Index IV and option volume
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 17; compared to its 52-week range of 11 to 31. Options active on 9.7M contracts.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 38. Options active on 4.1M contracts.
iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 21; compared to its 52-week range of 16 to 36. Option volume active on 2.1M contracts.
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 40; compared to its 52-week range of 33 to 72.
Energy ETF option IV as WTI crude oil trades below $85
United States Oil Fund (USO) 30-day option implied volatility is at 34; compared to its 52-week range of 25 to 52 as WTI crude trades below $85.
Market Vectors Oil Services Etf (OIH) 30-day option implied volatility is at 36; compared to its 52-week range of 26 to 57. Call put ratio 1 call to 3.4 puts.
Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 27; compared to its 52-week range of 19 to 45.
Straddle prices into quarter results
Constellation (STZ) October weekly 250 straddle is priced for a move of 4% into the expected release of quarter results today before the bell.
Lamb Weston (LW) October 90 straddle is priced for a move of 8.5% into the expected release of quarter results today before the bell.
ConAgra (CAG) October weekly 26 straddle is priced for a move of 5% into the expected release of quarter results today before the bell.
Levi Strauss (LEVI) October 13 straddle is priced for a move of 11% into the expected release of quarter results today after the bell.
Orchard Therapeutics Plc (ORTX) 30-day option implied volatility is at 172; compared to its 52-week range of 20 to 188.
Options with decreasing option implied volatility: KMX MSOS NKE HELE ACN HZNP
Increasing unusual option volume: ICLN LW PRGO INVZ VLY HASI BALL BKLN
Increasing unusual call option volume: ICLN PRGO LW BGS NEP OPK APTV ERJ DHT ERIC
Increasing unusual put option volume: URNM LW NEE VLY BALL GRAB HTGC TM XP
Popular stocks with increasing volume: XOM BABA AMC C SQ BA RIVN DIS ONON
Active options: TSLA AAPL NVDA AMZN BAC AMD META MSFT PLTR GOOGL XOM NEE BABA AMC C SQ BA RIVN DIS MARA
Global S&P Futures mixed in premarket, Nikkei up 1%, DAX mixed, WTI Crude oil recently at $84.50, natural gas up 1%, gold at $1836
