Pre-Market IV Report September 25, 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: MPW SRPT SNAP WOLF ENPH TDOC NFLX ALLY SPOT SPXU ISRG SCHW CMG T ABR MRTX MORF SRPT RILY SILK
Stocks expected to have increasing option volume: COST RAD CVX WAG TGT WMT NKE GM F STLA TSLA X TM HMC WBD DIS CMCSA NFLX PARA
Movers
NVIDIA (NVDA) September weekly and October call option implied volatility is at 41; compared to its 52-week range of 37 to 68.
Amazon (AMZN) September weekly call option implied volatility is at 31, October is at 36; compared to its 52-week range of 25 to 61.
Straddle prices into quarter results
Costco (COST) September weekly 555 straddle is priced for a move of 4% into the expected release of quarter results after the bell on September 26.
Cintas (CTAS) October 500 straddle is priced for a move of 6% into the expected release of quarter results before the bell on September 26.
United Natural Foods (UNFI) October 19 straddle is priced for a move of 14% into the expected release of quarter results on September 26.
Paychex (PAYX) October 110 straddle is priced for a move of 5.5% into the expected release of quarter results before the bell on September 27.
Micron (MU) September weekly 69 straddle is priced for a move of 7.5% into the expected release of quarter results after the bell on September 27.
Nike (NKE) September weekly 90 straddle is priced for a move of 7% into the expected release of quarter results after the bell on September 28.
Agriculture stocks option IV
Teucrium Corn Fund (CORN) 30-day option implied volatility is at 18; compared to its 52-week range of 14 to 86. Call put ratio 3.6 calls to 1 put.
Teucrium Soybean Fund (SOYB) 30-day option implied volatility is at 16; compared to its 52-week range of 14 to 75.
Teucrium Wheat Fund (WEAT) 30-day option implied volatility is at 29; compared to its 52-week range of 26 to 49.
Deere & Co. (DE) 30-day option implied volatility is at 25; compared to its 52-week range of 19 to 41.
Caterpillar (CAT) 30-day option implied volatility is at 26; compared to its 52-week range of 21 to 45.
The Mosaic Company (MOS) 30-day option implied volatility is at 35; compared to its 52-week range of 30 to 65.
Intrepid Potash (IPI) 30-day option implied volatility is at 45; compared to its 52-week range of 39 to 106.
CF Industries (CF) 30-day option implied volatility is at 31; compared to its 52-week range of 28 to 60.
Options with decreasing option implied volatility: SGEN VMW PAGS AES ARCC HPE
Increasing unusual option volume: AMPX ENTG BCLI HTZ SNDX BKLN ASHR RILY EVLV ROIV ZTO
Increasing unusual call option volume: NXE GPN IMVT AMPX BCLI ASHR
Increasing unusual put option volume: WOLF BMBL RILY SSYS IMVT TPR WPC
Popular stocks with increasing volume: PLTR BAC DKNG PFE NFLX SOFI PYPL NIO SQ
Active options: TSLA NVDA AAPL AMZN META AMD BABA MSFT F GOOGL PLTR BAC DKNG PFE NFLX SOFI PYPL AMC NIO SQ
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $90, natural gas down 1%, gold at $1940
