Pre-Market IV Report September 6, 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: PLAY VXZ NAIL AKRO ETNB NVAX TSE DISH ACMR AVDL FFIE MSOS SSYS STZ
Stocks expected to have increasing option volume: ASAN ZS ASND ENB D AI CHPT
Leadership option IV
Alphabet (GOOGL) 30-day option implied volatility is at 24; compared to its 52-week range of 23 to 47.
NVIDIA (NVDA) 30-day option implied volatility is at 40; compared to its 52-week range of 39 to 68.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 25; compared to its 52-week range of 24 to 49 into ARM IPO.
Apple (AAPL) 30-day option implied volatility is at 20; compared to its 52-week range of 17 to 45 into September 12 event.
Option IV as WTI near 10-month high
United States Oil Fund (USO) 30-day option implied volatility is at 27; compared to its 52-week range of 25 to 51 as WTI crude oil near ten-month highs.
Market Vectors Oil Services Etf (OIH) 30-day option implied volatility is at 27; compared to its 52-week range of 26 to 62. Call put ratio 1 call to 9.9 puts.
Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 19; compared to its 52-week range of 19 to 48. Call put ratio 1 call to 2.2 puts.
Option implied volatility for Home-Building Stocks
Toll Brothers (TOL) 30-day option implied volatility is at 31; compared to its 52-week range of 24 to 48.
Beazer Homes (BZH) 30-day option implied volatility is at 46; compared to its 52-week range of 36 to 99.
Lennar (LEN) 30-day option implied volatility is at 32; compared to its 52-week range of 22 to 50. Call put ratio 1 call to 3 puts.
PulteGroup (PHM) 30-day option implied volatility is at 31; compared to its 52-week range of 24 to 81.
D.R. Horton (DHI) 30-day option implied volatility is at 29; compared to its 52-week range of 24 to 53.
Ishares U.S. Home Construction Etf (ITB) 30-day option implied volatility is at 25; compared to its 52-week range of 20 to 44. Call put ratio 1 call to 5.2 puts a share price pulls back.
Straddle prices into quarter results
Gamestop (GME) September weekly 19.50 straddle is priced for a move of 16% into the expected release of quarter results today after the bell.
C3.ai (AI) September weekly 31.50 straddle is priced for a move of 16% into the expected release of quarter results today after the bell.
American Eagle (AEO) September weekly 17 straddle is priced for a move of 8% into the expected release of quarter results today after the bell.
Dave & Busters (PLAY) September 40 straddle is priced for a move of 13% into the expected release of quarter results today after the bell.
Chargepoint Holdings Inc. (CHPT) September weekly 7.5 straddle is priced for a move of 14% into the expected release of quarter results today after the bell.
Options with decreasing option implied volatility: IOT VKTX BIG MDB OKTA HCP PSTG NTNX
Increasing unusual option volume: GTLB FIVN EDR FMC SBGI SKT PLAY
Increasing unusual call option volume: SKT EDR GTLB KOS PLAY FRSH
Increasing unusual put option volume: MSOS PLAY OIH FEZ DELL
Popular stocks with increasing volume: INTC PLTR DIS BAC BABA ABNB PBR XOM TLRY
Active options: TSLA AAPL NVDA AMD AMZN MSFT META INTC NFLX AMC GOOGL PLTR DIS BAC CHPT BABA ABNB PBR XOM TLRY
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $86, natural gas mixed, gold at $1948
