Pre-Market IV Report September 26, 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: SNAP SRPT TDOC OSTK MPW SLG WOLF HTZ TMV CMG ELF APP META TAN TBT HOG SNDX
Stocks expected to have increasing option volume: COST NKE GM F STLA TSLA X TM HMC
Dell
Dell Technologies (DELL) September weekly call option implied volatility is at 34, October is at 33; compared to its 52-week range of 24 to 235 into Securities Analyst Meeting on October 5.
IV as share price moves lower
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 28; compared to its 52-week range of 24 to 49.
Target (TGT) 30-day option implied volatility is at 29; compared to its 52-week range of 21 to 52 as share price near 3-year low.
Dollar General (DG) 30-day option implied volatility is at 33; compared to its 52-week range of 18 to 44 as share price near 5-year low.
Dollar Tree (DLTR) 30-day option implied volatility is at 27; compared to its 52-week range of 20 to 52 as share price near 2-year low.
Nike (NKE) 30-day option implied volatility is at 36; compared to its 52-week range of 21 to 52 into quarter results.
Citigroup (C) 30-day option implied volatility is at 30; compared to its 52-week range of 21 to 51.
Bank of America (BAC) 30-day option implied volatility is at 29; compared to its 52-week range of 20 to 51.
Starbucks (SBUX) 30-day option implied volatility is at 21; compared to its 52-week range of 18 to 44.
Arm Holdings (ARM) 30-day option implied volatility is at 57; compared to its 52-week range of 55 to 57.
Instacart (CART) 30-day option implied volatility is at 70.
Caesarstone (CSTE) 30-day option implied volatility is at 37; compared to its 52-week range of 26 to 56 with October 5 puts active.
AerCap Holdings (AER) 30-day option implied volatility is at 25; compared to its 52-week range of 20 to 81. Call put ratio 2.3 calls to 1 put.
Ares Management (ARES) 30-day option implied volatility is at 24; compared to its 52-week range of 19 to 96 as share price closes above $105.
iShares Nasdaq Biotechnology (IBB) 30-day option implied volatility is at 17; compared to its 52-week range of 13 to 35.
Straddle prices into quarter results
Costco (COST) September weekly 557.5 straddle is priced for a move of 4% into the expected release of quarter results today after the bell.
United Natural Foods (UNFI) October 20 straddle is priced for a move of 14% into the expected release of quarter results today.
Paychex (PAYX) October 115 straddle is priced for a move of 6% 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 6.5% 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.
Accenture (ACN) September weekly 317.50 straddle is priced for a move of 4% into the expected release of quarter results before the bell on September 28.
Jabil (JBL) October 107 straddle is priced for a move of 7% into the expected release of quarter results before the bell on September 28.
CarMax (KMX) September weekly 78 straddle is priced for a move of 9% into the expected release of quarter results before the bell on September 28.
BlackBerry (BB) September weekly 5 straddle is priced for a move of 10% into the expected release of quarter results after the bell on September 28.
Vail Resorts (MTN) October 240 straddle is priced for a move of 6% into the expected release of quarter results after the bell on September 28.
Carnival Corp (CCL) September weekly 14 straddle is priced for a move of 9% into the expected release of quarter results before the bell on September 29.
Options with decreasing option implied volatility: SGEN SPLK ATVI FDX
Increasing unusual option volume: THO BMBL BVN EC MASI
Increasing unusual call option volume: PBRA EC MASI THO INVZ REI NXE
Increasing unusual put option volume: CNK OGN THO CGC BMBL WSM UEC EWU MPW
Popular stocks with increasing volume: AFRM BAC SOFI NIO PLTR CCJ
Active options: TSLA NVDA AAPL AMZN AMD MPW META MSFT SE CHPT AMC NKLA AFRM BAC SOFI NIO GOOGL CGC PLTR CCJ
Global S&P Futures down in premarket, Nikkei down 1%, DAX lower, WTI Crude oil recently at $88, natural gas down 1%, gold at $1933
