Pre-Market IV Report October 1, 2021

Pre-Market IV Report October 1, 2021

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: SNDL RKT PINS IBM VZ COG PROG ATUS TMC UNG HYZN APRN LICY KSS

Stocks expected to have increasing option volume: SPY SPX RUT IWM QQQ ZM FIVN RIDE

Option IV into events

IBM (IBM) 30-day option implied volatility is at 31; compared to its 52-week range of 16 to 36 into hosting an investor meeting on October 4.

GAN Limited (GAN) 30-day option implied volatility is at 73; compared to its 52-week range of 58 to 110 into host investor day on October 4.

Booz Allen (BAH) 30-day option implied volatility is at 25; compared to its 52-week range of 17 to 42 into hosting an investor day on October 5.

Itron (ITRI) 30-day option implied volatility is at 50; compared to its 52-week range of 30 to 62 into hosting an Investor Day on October 5.

General Motors (GM) October weekly call option implied volatility is at 50, October is at 42; compared to its 52-week range of 29 to 66 into investor day on October 6 and 7. Call put ratio 2.6 calls to 1 put.

Straddle prices into quarter results next week

PepsiCo (PEP) October weekly 150 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on October 5

Constellation Brands (STZ) October weekly 210 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on October 6.

Levi Strauss (LEVI) October 25 straddle priced for a move of +/- 11% into the expected release of quarter results on October 6

Conagra (CAG) October weekly 34 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on October 7.

Lamb Weston (LW) October 60 straddle priced for a move of +/- 8% into the expected release of quarter results before the bell on October 7.

Tilray (TLRY) October weekly 11 straddle priced for a move of +/- 11% into the expected release of quarter results on October 7.

Option implied volatility for vehicle retailers

Group 1 Automotive (GPI) 30-day option implied volatility is at 49; compared to its 52-week range of 37 to 76

Lithia Motors (LAD) 30-day option implied volatility is at 44; compared to its 52-week range of 34 to 70

Lucid (LCID) 30-day option implied volatility is at 90; compared to its 52-week range of 69 to 289

Penske Automotive Group (PAG) 30-day option implied volatility is at 41; compared to its 52-week range of 30 to 61

Tesla (TSLA) 30-day option implied volatility is at 53; compared to its 52-week range of 37 to 106

Options with decreasing option implied volatility: ANY GSAT AFRM CRVS DLTR
Increasing unusual option volume: CCL LNG SPCE UNG COTY IRNT IBN PROG ALZN OPAD KSS
Increasing unusual call option volume: IRNT PROG EWJ ALZN DMYI
Increasing unusual put option volume: IRNT GOGO IYR ATUS LSPD
Popular stocks with increasing volume: BBBY SPCE BA SOFI KSS
Active: options: TSLA AAPL AMD AMC PLTR F SPCE NVDA LCID BBBY MSFT AMZN NFLX FB BABA BAC IRNT PROG BA SOFI
Global S&P Futures recently mixed to down, Nikkei down 2.2%, DAX down 0.7%, WTI Crude oil recently at $74.69, natural gas mixed, gold at $1730 an ounce