Pre-Market IV Report October 9, 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 EBIX BHC FRO ALXO RMBL FRHC SNDX AES BILL APPS ARRY ETSY ELF IEP CWH TEAM ANET
Stocks expected to have increasing option volume: GD RXT NO BA LMT LHX TEVA
Options expected to have movement
Walt Disney (DIS) 30-day option implied volatility is at 29; compared to its 52-week range of 22 to 49 amid share price bid before the bell.
Pioneer Natural Resources (PXD) October weekly call option implied volatility is at 37, October is at 30; compared to its 52-week range of 19 to 51 after reports Exxon Mobil (XOM) is nearing a $60B deal to buy.
Adobe Systems (ADBE) 30-day option implied volatility is at 30; compared to its 52-week range of 26 to 50 into hosting an investor meeting on October 10.
Aero space-defense–tech stock option implied volatility
Lockheed Martin (LMT) 30-day option implied volatility is at 22; compared to its 52-week range of 13 to 35.
Raytheon Technologies (RTX) 30-day option implied volatility is at 29; compared to its 52-week range of 15 to 36.
Northrop Grumman (NOC) 30-day option implied volatility is at 26; compared to its 52-week range of 16 to 38.
General Dynamics (GD) 30-day option implied volatility is at 20; compared to its 52-week range of 13 to 32.
L3Harris Technologies (LHX) 30-day option implied volatility is at 25; compared to its 52-week range of 16 to 75.
Boeing (BA) 30-day option implied volatility is at 37; compared to its 52-week range of 24 to 60.
General Electric (GE) 30-day option implied volatility is at 33; compared to its 52-week range of 21 to 252.
Honeywell (HON) 30-day option implied volatility is at 23; compared to its 52-week range of 14 to 35.
Spirit AeroSystems (SPR) 30-day option implied volatility is at 69; compared to its 52-week range of 42 to 104.
Huntington Ingalls Industries (HII) 30-day option implied volatility is at 24; compared to its 52-week range of 16 to 68.
Straddle prices into quarter results
Pepsi (PEP) October weekly 160 straddle is priced for a move of 3.5% into the expected release of quarter results before the bell on October 10.
Delta (DAL) October weekly 37 straddle is priced for a move of 5.5% into the expected release of quarter results before the bell on October 12.
Walgreens Boots (WBA) October weekly 22 straddle is priced for a move of 9.5% into the expected release of quarter results before the bell on October 12.
Options expected to have movement
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 $85.
Check Point Software Technology (CHKP) 30-day option implied volatility is at 24; compared to its 52-week range of 17 to 46.
SolarEdge Technologies (SEDG) 30-day option implied volatility is at 73; compared to its 52-week range of 41 to 83.
NICE (NICE) 30-day option implied volatility is at 36; compared to its 52-week range of 25 to 82.
Teva Pharma (TEVA) 30-day option implied volatility is at 41; compared to its 52-week range of 25 to 56.
Elbit Systems (ESLT) 30-day option implied volatility is at 20; compared to its 52-week range of 18 to 66.
monday.com Ltd. (MNDY) 30-day option implied volatility is at 54; compared to its 52-week range of 39 to 123.
Global-e Online (GLBE) 30-day option implied volatility is at 64; compared to its 52-week range of 43 to 120.
Options with decreasing option implied volatility: ATVI HELE
Increasing unusual option volume: HASI BKLN CL ELAN AKRO REPL
Increasing unusual call option volume: ELAN BGS SH PRGO NXT AES IGT PPL
Increasing unusual put option volume: AES BKLN AES PZZA CNK XP
Popular stocks with increasing volume: RIVN DIS GOOG XOM BABA NFLX WMT INTC
Active options: TSLA NVDA AAPL AMD AMZN META BAC MSFT RIVN PLTR AMC GOOGL DIS GOOG XOM MARA BABA NFLX WMT INTC
Global S&P Futures down in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $85, natural gas up 1%, gold at $1863
