Pre-Market IV Report September 7, 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: MSOS AUPH AYX SSYS STZ K CAG MITK DCGO YEXT GEL PLCE GH VRNT SAVE HZNP GMED AMC FFIE
Stocks expected to have increasing option volume: AI GME AEO CHPT PATH CXM
Apple (AAPL) 30-day option implied volatility is at 22; compared to its 52-week range of 17 to 45 into September 12 event. Call put ratio 1.2 calls to 1 put on 1.7M options.
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 13; compared to its 52-week range of 11 to 31.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 18; compared to its 52-week range of 17 to 38.
iShares Russell 2000 ETF (IWM) 30-day option implied volatility is at 17; compared to its 52-week range of 16 to 36.
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 35; compared to its 52-week range of 34 to 72. Call put ratio 1 call to 3 puts.
Straddle prices into quarter results
Toro (TTC) September 100 straddle is priced for a move of 5% into the expected release of quarter results today before the bell.
DocuSign (DOCU) September weekly 53 straddle is priced for a move of 12% into the expected release of quarter results today after the bell.
Designer Brands (DBI) September 10 straddle is priced for a move of 14% into the expected release of quarter results today before the bell.
Kroger (KR) September weekly 45 straddle is priced for a move of 4% into the expected release of quarter results before the bell on September 8.
Option IV for stocks trading near 52-week lows
AMC Entertainment (AMC) 30-day option implied volatility is at 156; compared to its 52-week range of 73 to 594 as share price near 52-week lows.
United Natural Foods (UNFI) 30-day option implied volatility is at 51; compared to its 52-week range of 32 to 99 as share price near 52-week lows.
SunPower (SPWR) 30-day option implied volatility is at 58; compared to its 52-week range of 53 to 90 as share price near 52-week lows. Call put ratio 3.9 calls to 1 put.
Paramount Global (PARA) 30-day option implied volatility is at 45; compared to its 52-week range of 40 to 66 as share price near 52-week lows.
JetBlue Airways (JBLU) 30-day option implied volatility is at 44; compared to its 52-week range of 35 to 79 as share price near 52-week lows.
Macy’s (M) 30-day option implied volatility is at 37; compared to its 52-week range of 36 to 77 as share price near 52-week lows.
3D Systems (DDD) 30-day option implied volatility is at 55; compared to its 52-week range of 45 to 99 as share price near 52-week lows.
Cracker Barrel (CBRL) 30-day option implied volatility is at 41; compared to its 52-week range of 28 to 87 as share price near 52-week lows.
Hershey Foods (HSY) 30-day option implied volatility is at 15; compared to its 52-week range of 12 to 26 as share price near 52-week lows.
Bristol-Myers Squibb (BMY) 30-day option implied volatility is at 19; compared to its 52-week range of 16 to 30 as share price near 52-week lows.
Disney (DIS) 30-day option implied volatility is at 26; compared to its 52-week range of 22 to 49 as share price near nine-year lows.
Pfizer (PFE) 30-day option implied volatility is at 21; compared to its 52-week range of 18 to 36 as share price near 52-week lows.
Movers
Overstock.com (OSTK) 30-day option implied volatility is at 65; compared to its 52-week range of 55 to 97. Call put ratio 2.7 calls to 1 put.
iShares MSCI Brazil (EWZ) 30-day option implied volatility is at 27; compared to its 52-week range of 25 to 57.
Petrobras (PBR) 30-day option implied volatility is at 34; compared to its 52-week range of 29 to 103.
Options with decreasing option implied volatility: IOT VKTX HCP CHWY OKTA S MDB GTLB
Increasing unusual option volume: HUN FRSH ICLN PLAY XPOF
Increasing unusual call option volume: XPOF FRSH SPG VTRS TIGR
Increasing unusual put option volume: TSEM PLAY HSBC FEZ ALGM NAT NEE
Popular stocks with increasing volume: DIS INTC BAC NFLX PLTR DKNG AI
Active options: TSLA AAPL NVDA AMC AMD AMZN ROKU META MSFT GOOGL DIS INTC EOSE VFS BAC NFLX PLTR GOOG DKNG AI
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $87, natural gas mixed, gold at $1942
