Pre-Market IV Report September 27, 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: SRPT TDOC SVIX DWAC ENPH MPW WOLF ALGN QS SLG SPOT HTZ
Stocks expected to have increasing option volume: COST MU NKE GM F STLA TSLA RKLB
Retail Movers
Amazon (AMZN) September weekly call option implied volatility is at 43, October is at 35; compared to its 52-week range of 25 to 61 after FTC files antitrust suit against Amazon for marketplace monopoly. Call put ratio 1.2 calls to 1 put.
SPDR S&P Retail ETF (XRT) 30-day option implied volatility is at 24; compared to its 52-week range of 20 to 49. Call put ratio 1 call to 6.8 puts with focus on January 60 puts.
Kohl’s (KSS) 30-day option implied volatility is at 51; compared to its 52-week range of 38 to 80. Call put ratio 1 call to 1.9 puts as share price closes below $20.
Nordstrom (JWN) 30-day option implied volatility is at 44; compared to its 52-week range of 37 to 94. Call put ratio 1 call to 1.8 puts as share price near three-year low.
Macy’s (M) 30-day option implied volatility is at 45; compared to its 52-week range of 35 to 77. Call put ratio 3.6 calls to 1 put as share price near 30-month low.
Gap, Inc. (GPS) 30-day option implied volatility is at 51; compared to its 52-week range of 37 to 90. Call put ratio 3 calls to 1 put as share price near 34-month low.
Walgreens Boots Alliance (WBA) 30-day option implied volatility is at 43; compared to its 52-week range of 21 to 48. Call put ratio 3.3 calls to 1 put with focus on November 25 calls as share price closes below $22.
Target (TGT) 30-day option implied volatility is at 31; compared to its 52-week range of 21 to 52 as share price closes below $110.
Straddle prices into quarter results
Micron (MU) September weekly 68 straddle is priced for a move of 6% into the expected release of quarter results today after the bell.
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 310 straddle is priced for a move of 4% into the expected release of quarter results before the bell on September 28.
Jabil (JBL) October 105 straddle is priced for a move of 6% 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 10% 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 9.5% into the expected release of quarter results before the bell on September 29.
Cannabis option IV amid headlines
Canopy Growth (CGC) 30-day option implied volatility is at 185; compared to its 52-week range of 72 to 248. Call put ratio 6.5 calls to 1 put on 64K contracts.
Tilray Brands (TLRY) 30-day option implied volatility is at 117; compared to its 52-week range of 67 to 162. Call put ratio 6.5 calls to 1 put on 44K contracts.
Cronos Group (CRON) 30-day option implied volatility is at 72; compared to its 52-week range of 37 to 118. Call put ratio to 2 calls to 1 put.
Alternative Harvest ETF (MJ) 30-day option implied volatility is at 73; compared to its 52-week range of 35 to 124. Call put ratio 3.7 calls to 1 put.
Aurora Cannabis (ACB) 30-day option implied volatility is at 182; compared to its 52-week range of 20 to 214. Call put ratio 44 calls to 1 put on 13K contracts.
AdvisorShares Pure US Cannabis ETF (MSOS) 30-day option implied volatility is at 111; compared to its 52-week range of 53 to 163. Call put ratio 1.7 calls to 1 put on 26K contracts.
MGM Resorts (MGM) 30-day option implied volatility is at 37; compared to its 52-week range of 26 to 62 into Las Vegas strip Culinary Workers Union announced a citywide strike authorization.
Options with decreasing option implied volatility: SPLK IMVT ATVI SGEN HZNP
Increasing unusual option volume: ICPT FNGS ACI IMVT HUYA HE IAU SIX SGEN MSOS CGC TLRY ACB
Increasing unusual call option volume: ICPT ACI IMVT XLI EBS HTZ
Increasing unusual put option volume: SGEN SABR URA IMVT ATT PII PCT XLI
Popular stocks with increasing volume: BAC C DIS RIVN SQ FSR PLTR INTC BABA
Active options: TSLA AAPL AMZN NVDA MSFT AMD GOOGL META BAC C AMC DIS RIVN SGEN SQ GOOG FSR PLTR INTC BABA
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $91, natural gas mixed, gold at $1914
