Pre-Market IV Report September 12, 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: MSOS FNGR NVAX SAVE DPZ SGEN HZNP AMTX FNGR
Stocks expected to have increasing option volume: AAPL ORCL ADBE CRM RTX
Movers
Apple (AAPL) September call option implied volatility is at 30, October is at 22; compared to its 52-week range of 17 to 45 into September 12 event.
Walt Disney (DIS) September call option implied volatility is at 25, October is at 24; compared to its 52-week range of 22 to 49.
Eli Lilly & Co. (LLY) 30-day option implied volatility is at 22; compared to its 52-week range of 19 to 38 as share price near record high.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 26; compared to its 52-week range of 24 to 49 into ARM IPO.
Citigroup (C) 30-day option implied volatility is at 25; compared to its 52-week range of 21 to 51 as share price near low end of range.
Option IV into potential government shutdown on October 1
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 12; compared to its 52-week range of 11 to 31 into potential government shutdown on October 1.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 17; compared to its 52-week range of 17 to 38 into potential government shutdown on October 1.
Covid option IV
Moderna (MRNA) September call option implied volatility is at 55, October is at 46; compared to its 52-week range of 41 to 79 after FDA announces approval for 2023-2024 COVID-19 vaccine.
BioNTech SE (BNTX) September call option implied volatility is at 44, October is at 37; compared to its 52-week range of 30 to 71. Call put ratio 3.9 calls to 1 put after FDA announces approval for 2023-2024 COVID-19 vaccine.
Pfizer (PFE) September call option implied volatility is at 25, October is at 22; compared to its 52-week range of 18 to 36 after FDA announces approval for 2023-2024 COVID-19 vaccine.
Novavax (NVAX) September call option implied volatility is at 172, October is at 152; compared to its 52-week range of 73 to 153.
    
Straddle prices into quarter results
Adobe (ADBE) September 565 straddle is priced for a move of 5.5% into the expected release of quarter results after the bell on September 14.
Lennar (LEN) September 120 straddle is priced for a move of 4.5% into the expected release of quarter results on September 14.
Options with decreasing option implied volatility: DWAC GTLB GME AI DOCU ZS CHPT
Increasing unusual option volume: FSK SJM ACB ACI CGC
Increasing unusual call option volume: FSK ACB CGC AMTX ASLE ICE HST FL ASHR
Increasing unusual put option volume: CGC ACB MSOS FXY VICI SAVE DELL
Popular stocks with increasing volume: PLTR DIS KVUE ORCL INTC QCOM F VALE
Active options: TSLA NVDA AMZN AAPL AMD PLTR META DIS KVUE CGC BABA AMC ORCL MSFT MARA INTC GOOGL QCOM F VALE
Global S&P Futures mixed in premarket, Nikkei down 1%, DAX mixed, WTI Crude oil recently at $87.80, natural gas mixed, gold at $1943
