Pre-Market IV Report September 13, 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: DPZ SAVE ATVI HZNP WE ARCT LAW NTRS AUPH DISH DLO ATVI AAP PERI ACAD CBRL
Stocks expected to have increasing option volume: GM F STLA TSLA ADBE CRM LEN
Apple (AAPL) September call option implied volatility is at 28, October is at 23; compared to its 52-week range of 17 to 45 as share price closes below $177 after introduces new products.
Oracle (ORCL) September call option implied volatility is at 40, October is at 28; compared to its 52-week range of 18 to 47 after quarter results.
Interest rate – bond option IV into CPI
Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 29; compared to its 52-week range of 24 to 60 into CPI.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 15; compared to its 52-week range of 13 to 30.
SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 7; compared to its 52-week range of 6 to 20. Call put ratio 1.9 calls to 1 put.
iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 7; compared to its 52-week range of 6 to 20. Call put ratio 1 call to 10 puts with focus on October 70 puts into CPI.
Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 10; compared to its 52-week range of 7 to 19.
Movers
United States Oil Fund (USO) 30-day option implied volatility is at 25; compared to its 52-week range of 25 to 51 as WTI near 10-month high.
Market Vectors Oil Services Etf (OIH) 30-day option implied volatility is at 27; compared to its 52-week range of 26 to 62 as WTI near 10-month high.
Walmart (WMT) 30-day option implied volatility is at 13; compared to its 52-week range of 12 to 32 as share price near all-time high.
Target (TGT) 30-day option implied volatility is at 23; compared to its 52-week range of 22 to 52 as share price near multi-year low.
Straddle prices into quarter results
Adobe (ADBE) September 542 straddle is priced for a move of 6% into the expected release of quarter results after the bell on September 14.
Lennar (LEN) September 116 straddle is priced for a move of 4% into the expected release of quarter results on September 14.
Options with decreasing option implied volatility: EBIX GTLB DWAC GME ASAN AI DOCU CHPT PATH ZS RH KR ORCL
Increasing unusual option volume: NAK ACB ALNY CGC CBRL WE UP
Increasing unusual call option volume: XPOF EWG XPOF WE ICLN NAT CGC QSR
Increasing unusual put option volume: CBRL CGC ACB NOVA ORCL APP PERI
Popular stocks with increasing volume: ORCL INTC BAC DIS C COIN XOM KVUE PLTR
Active options: TSLA AAPL NVDA ORCL AMZN AMC AMD INTC BAC META DIS CGC MARA C MSFT F COIN XOM KVUE PLTR
Global S&P Futures mixed in premarket, Nikkei down 1%, DAX mixed, WTI Crude oil recently at $89, natural gas mixed, gold at $1934
