Pre-Market IV Report September 20, 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: REPL RPTX ROIV AKRO ALDX BTWN NIO WW AX SIMO ISRG NFLX
Stocks expected to have increasing option volume: SPY QQQ RUT IWM ARKK TBT TLT KRE INTC DIS FDX
Interest rate – bond option IV into FOMC, Bank of Japan, Bank of England meetings
JPMorgan (JPM) 30-day option implied volatility is at 22; compared to its 52-week range of 16 to 44.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 28; compared to its 52-week range of 21 to 81.
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.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 14; compared to its 52-week range of 13 to 30 into FOMC, Bank of Japan, Bank of England meetings.
SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 6; compared to its 52-week range of 6 to 35 into FOMC policy decision. Call put ratio 1 call to 3.5 puts.
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 into FOMC policy decision. Call put ratio 1 call to 3.4 puts.
Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 8; compared to its 52-week range of 7 to 19.
Movement
Tesla (TSLA) September weekly call option implied volatility is at 47, October is at 52; compared to its 52-week range of 42 to 96 into expected release of quarter results on October 17.
U.S. Steel (X) 30-day option implied volatility is at 33; compared to its 52-week range of 30 to 72 amid M&A headlines.
Alcoa (AA) 30-day option implied volatility is at 49; compared to its 52-week range of 40 to 79 as share price near 25-month low.
Arm Holdings (ARM) October call option implied volatility is at 57, November is at 56. Call put ratio 1 call to 1.9 puts with focus on October options.
Intel (INTC) 30-day option implied volatility is at 31; compared to its 52-week range of 30 to 59 amid price movement.
Walt Disney (DIS) 30-day option implied volatility is at 24; compared to its 52-week range of 22 to 49 into theme park investor conference.
Straddle prices into quarter results
FedEx (FDX) October 250 straddle is priced for a move of 6% into the expected release of quarter results today after the bell.
KB Home (KBH) September weekly 48.50 straddle is priced for a move of 6.5% into the expected release of quarter results today after the bell.
Darden (DRI) October 150 straddle is priced for a move of 5% into the expected release of quarter results before the bell on September 21.
Options with decreasing option implied volatility: VFS AMC NVAX EBIX ADBE ORCL LQD
Increasing unusual option volume: GES ITUB DXJ IAU UEC ROIV EQX
Increasing unusual call option volume: ROIV TDS IAU TDS EQX NCR SKLZ SFIX
Increasing unusual put option volume: ACB GSM SAVE MSOS MGM SPR GES
Popular stocks with increasing volume: INTC DIS BAC PINS CVNA PLTR RIVN SQ PBR
Active options: TSLA AAPL AMZN NVDA NIO INTC META AMD DIS BAC PINS PFE MSFT GOOGL AMC CVNA PLTR RIVN SQ PBR
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $90.50, natural gas down 3.5%, gold at $1956
