Pre-Market IV Report September 19, 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: ISRG NFLX AX KSS LEG KSS AA UAL PACW BIIB CSX
Stocks expected to have increasing option volume: USO OIH MRNA AZO SFIX GM F STLA HMC TM
Movement
Chevron (CVX) 30-day option implied volatility is at 18; compared to its 52-week range of 17 to 43 as WTI Crude oil above $92.50.
Hess Corp. (HES) 30-day option implied volatility is at 25; compared to its 52-week range of 25 to 60 as WTI Crude oil above $92.50.
Phillips 66 (PSX) 30-day option implied volatility is at 23; compared to its 52-week range of 22 to 51 as WTI Crude oil above $92.50.
United States Oil Fund (USO) 30-day option implied volatility is at 26; compared to its 52-week range of 25 to 52 as WTI Crude oil above $92.50.
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 Crude oil above $92.50.
Moderna (MRNA) September weekly call option implied volatility is at 55, October is at 44; compared to its 52-week range of 41 to 79.
Nike (NKE) 30-day option implied volatility is at 33; compared to its 52-week range of 21 to 52.
Spirit AeroSystems (SPR) 30-day option implied volatility is at 52; compared to its 52-week range of 42 to 109 as share price near 10-year low.
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 into FOMC meeting.
Straddle prices into quarter results
AutoZone (AZO) October 2520 straddle is priced for a move of 7% into the expected release of quarter results today before the bell.
Steelcase (SCS) October 7.5 straddle is priced for a move of 15% into the expected release of quarter results today after the bell.
FedEx (FDX) October 250 straddle is priced for a move of 6% into the expected release of quarter results after the bell on September 20.
KB Home (KBH) September weekly 48.50 straddle is priced for a move of 6.5 % into the expected release of quarter results after the bell on September 20.
General Mills (GIS) October 65 straddle is priced for a move of 5% into the expected release of quarter results before the bell on September 20.
Options with decreasing option implied volatility: VFS AMC NVAX EBIX ADBE ORCL LQD
Increasing unusual option volume: NAK CL LNTH RVLV PRGO WRK
Increasing unusual call option volume: BCRX WRK SFIX LNTH SA
Increasing unusual put option volume: SAVE CL CGC UEC
Popular stocks with increasing volume: PLTR TLRY CGC BAC DIS
Active options: TSLA AAPL NVDA AMD AMZN NKLA META GOOGL AMC MSFT PLTR TLRY CGC MARA BAC GOOG F NFLX BABA DIS
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $92.50, natural gas mixed to up, gold at $1956
