Pre-Market IV Report September 15, 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: GEO BCS KBE SILJ SIMO SGEN HTZ RITM NYCB ZI CPRI PCT NVDS NWL IMGN FREY SAVE VMW LEVI GM F STLA
Stocks expected to have increasing option volume: ADBE LEN NUE DIS GM F STLA HMC TM
ARM share price movement
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 24; compared to its 52-week range of 24 to 49 after ARM share price trading up 24% after IPO.
GM, F STLA option IV amid union contract strike headlines
General Motors (GM) September call option implied volatility is at 71, October is at 32; compared to its 52-week range of 27 to 60.
Ford (F) September call option implied volatility is at 73, October is at 34; compared to its 52-week range of 27 to 588.
Stellantis (STLA) September call option implied volatility is at 70, October is at 34; compared to its 52-week range of 23 to 423.
Option IV for stocks near 52-week highs
Toyota Motor (TM) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 74 as share price near 52-week highs. Call put ratio 4.4 calls to 1 put.
Honda Motor (HMC) 30-day option implied volatility is at 24; compared to its 52-week range of 14 to 32 as share price near 52-week highs. Call put ratio 3.5 calls to 1 put.
Hess Corp. (HES) 30-day option implied volatility is at 25; compared to its 52-week range of 25 to 60 as share price near 52-week highs.
Centrus Energy (LEU) 30-day option implied volatility is at 52; compared to its 52-week range of 47 to 99 as share price near 52-week highs.
Alphabet (GOOG) 30-day option implied volatility is at 22; compared to its 52-week range of 22 to 47 as share price near 52-week highs.
United States Oil Fund (USO) 30-day option implied volatility is at 25; compared to its 52-week range of 25 to 52 as share price near 52-week highs. Call put ratio 1 call to 2 puts as WTI crude trades $90.
Market Vectors Oil Services Etf (OIH) 30-day option implied volatility is at 26; compared to its 52-week range of 26 to 62. Call put ratio 1.9 calls 1 put as share price near 52-week high as WTI crude trades above $90.
Straddle prices into quarter results
Stitch Fix (SFIX) September weekly 3.5 straddle is priced for a move of 19% into the expected release of quarter results after the bell on September 18.
AutoZone (AZO) October 2570 straddle is priced for a move of 7% into the expected release of quarter results before the bell on September 19.
Option implied volatility for vehicle retailers into GM, F, STLA union contract expiration
CarMax (KMX) 30-day option implied volatility is at 49; compared to its 52-week range of 30 to 241.
AutoNation (AN) 30-day option implied volatility is at 35; compared to its 52-week range of 27 to 93.
Carvana Co. (CVNA) 30-day option implied volatility is at 98; compared to its 52-week range of 89 to 267.
Asbury Automotive Group (ABG) 30-day option implied volatility is at 28; compared to its 52-week range of 28 to 59.
Group 1 Automotive (GPI) 30-day option implied volatility is at 34; compared to its 52-week range of 27 to 84.
Lithia Motors & Driveway (LAD) 30-day option implied volatility is at 41; compared to its 52-week range of 30 to 103.
Penske Automotive Group (PAG) 30-day option implied volatility is at 27; compared to its 52-week range of 24 to 83.
Nucor (NUE) 30-day option implied volatility is at 26; compared to its 52-week range of 25 to 56 into Q3 EPS guidance misses estimates.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 27; compared to its 52-week range of 21 to 81.
Options with decreasing option implied volatility: DOCU EBIX RH KVUE ORCL KR STX SWKS STWD
Increasing unusual option volume: IOVA RLX DVA BCLI QRTEA SMTC AMPX CINF URNM NXE TH ABCM GETY WE DM TTE ENTG COCO
Increasing unusual call option volume: FOUR WE UGI DM IVR GETY IOVA TH TTE URNM XME NXE
Increasing unusual put option volume: CGC IOVA PCT RSP CBRL XND BXMT TSEM IGT EMB ASHR BILI
Popular stocks with increasing volume: CVNA ORCL NKLA VALE PLTR DIS F AAL
Active options: TSLA AAPL NVDA AMZN AMD META AMC AMD NFLX GOOGL MSFT CVNA ORCL NKLA GOOG VALE PLTR DIS F MARA AAL
Global S&P Futures mixed in premarket, Nikkei up 1.1%, DAX mixed, WTI Crude oil recently at $90.50, natural gas up 1%, gold at $1927
