Pre-Market IV Report September 21, 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: ELF T ISRG NFLX TVTX ETNB AKRO SRPT EBC MDGL SWBI CELH WMG ELF
Stocks expected to have increasing option volume: FDX UPS FDS KBH UP PINS SQ
SPDR S&P 500 ETF Trust (SPY) September weekly call option implied volatility is at 15, October is at 12; compared to its 52-week range of 11 to 31 after FOMC policy decision to leave rates unchanged.
PowerShares QQQ Trust (QQQ) September weekly call option implied volatility is at 22, October is at 19; compared to its 52-week range of 17 to 38 after Fed decision to leave rates unchanged.
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 after FOMC meeting. Call put ratio 1 call to 2.4 puts.
Movers
Walt Disney (DIS) 30-day option implied volatility is at 24; compared to its 52-week range of 22 to 49 amid writer’s strike headlines.
Warner Bros. Discovery (WBD) 30-day option implied volatility is at 40; compared to its 52-week range of 37 to 75 amid writer’s strike headlines.
Netflix (NFLX) 30-day option implied volatility is at 41; compared to its 52-week range of 31 to 83 amid writer’s strike headlines.
Activision Blizzard (ATVI) 30-day option implied volatility is at 16; compared to its 52-week range of 9 to 46 into the U.K.’s Competition and Markets Authority preliminary decision on Microsoft’s (MSFT) proposed takeover of Activision Blizzard.
Arm Holdings (ARM) October call option implied volatility is at 56, November is at 57. Call put ratio 1 call to 1.6 puts with focus on October options.
The Mosaic Company (MOS) September weekly call option implied volatility is at 57, October is at 39; compared to its 52-week range of 30 to 65. Call put ratio 1 call to 1.8 puts amid wide price movement.
UPS (UPS) 30-day option implied volatility is at ; compared to its 52-week range of 20 to 18. Call put ratio 1 call to 3.1 puts with focus on October puts into FedEx (FDX) quarter results.
Valley National Bancorp (VLY) 30-day option implied volatility is at 33; compared to its 52-week range of 22 to 189. Call put ratio 1 call to 1 put on 21K contracts.
Pinterest (PINS) 30-day option implied volatility is at 38; compared to its 52-week range of 35 to 107. Call put ratio 1.8 calls to 1 put on 159K contracts.
Block (SQ) 30-day option implied volatility is at 42; compared to its 52-week range of 37 to 92. Call put ratio 1 call to 1 put on 212K contracts.
Straddle prices into quarter results
Darden (DRI) October 150 straddle is priced for a move of 5% into the expected release of quarter results today before the bell.
Options with decreasing option implied volatility: AMC VFS GME JOBY NWL SILJ ARCC RITM GEO SGEN ADBE GIS STWD HZNP MPLX CPRI
Increasing unusual option volume: PLNT GES SPRY HSBC AKRO LEG VLY
Increasing unusual call option volume: XPOF VLY SPRY UMC TH ULCC TDS ACI APO
Increasing unusual put option volume: HSBC ACB VLY CGC SSYS BHC
Popular stocks with increasing volume: INTC SQ DIS BAC NKLA BABA PINS PLTR
Active options: TSLA AAPL NVDA AMZN AMD INTC META NIO GOOGL MSFT AMC SQ DIS BAC NKLA BABA PINS PLTR NFLX GOOG
Global S&P Futures mixed in premarket, Nikkei down 1%, DAX mixed, WTI Crude oil recently at $88.50, natural gas mixed, gold at $1946
