Pre-Market IV Report October 14, 2021

Pre-Market IV Report October 14, 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 OCGN HYG INTC PINS PROG UNG T DNA PAGS MNKD CAH NXTC

Stocks expected to have increasing option volume: AA DE UNH TSM DPZ BAC C WFC GS MS UNH PNC USB TSLA BABA

Movers

AT&T (T) 30-day option implied volatility is at 25; compared to its 52-week range of 15 to 29. Call put ratio 2 calls to 1 put.

Moderna (MRNA) 30-day option implied volatility is at 61; compared to its 52-week range of 51 to 132.

United States Natural Gas (UNG) 30-day option implied volatility is at 100; compared to its 52-week range of 30 to 219.

Market Vectors Russia ETF Trust (RSX) 30-day option implied volatility is at 23; compared to its 52-week range of 18 to 82. Call put ratio 8 to calls to 1 put.

Ocugen (OCGN) 30-day option implied volatility is at 212; compared to its 52-week range of 106 to 360. Call put ratio 3.9 calls to 1 put

Option implied volatility for Clothing Retailers as cotton prices near upper end of range

Levi (LEVI) 30-day option implied volatility is at 35; compared to its 52-week range of 33 to 67. Call put ratio 1 call to 7.3 puts.

Ralph Lauren (RL) 30-day option implied volatility is at 43; compared to its 52-week range of 31 to 68.

Abercrombie & Fitch (ANF) 30-day option implied volatility is at 48; compared to its 52-week range of 45 to 114.

American Eagle Outfitters (AEO) 30-day option implied volatility is at 44; compared to its 52-week range of 40 to 98.

Gap, Inc. (GPS) 30-day option implied volatility is at 45; compared to its 52-week range of 40 to 86.

Express (EXPR) 30-day option implied volatility is at 43; compared to its 52-week range of 40 to 86.

Discount clothing stores option IV

TJX (TJX) 30-day option implied volatility is at 26; compared to its 52-week range 20 to 48.

ROSS Stores (ROST) 30-day option implied volatility is at 27; compared to its 52-week range 23 to 51.

Burlington Stores (BURL) 30-day option implied volatility is at 31; compared to its 52-week range 25 to 54.

IV into events

Plug Power (PLUG) 30-day option implied volatility is at 77; compared to its 52-week range of 59 to 157 into investor day today.

Hormel Foods (HRL) 30-day option implied volatility is at 21; compared to its 52-week range of 17 to 33 into hosting an investor update webcast today.

Gan Limited (GAN) 30-day option implied volatility is at 72; compared to its 52-week range of 58 to 110 into hosting a virtual analyst meeting on October 15.

ULTA Salon (ULTA) 30-day option implied volatility is at 34; compared to its 52-week range of 27 to 59 ahead of ULTA’s virtual analyst day on October 19.

Apollo Global (APO) 30-day option implied volatility is at 34; compared to its 52-week range of 24 to 54 into hosting a virtual analyst meeting on October 19.

Brinker (EAT) 30-day option implied volatility is at 53; compared to its 52-week range of 41 to 90 into hosting a virtual analyst meeting on October 20.

HP Inc. (HPQ) 30-day option implied volatility is at 34; compared to its 52-week range of 23 to 63 into hosting a virtual analyst meeting on October 20.

Ashland (ASH) 30-day option implied volatility is at 27; compared to its 52-week range of 21 to 45 into host virtual investor day on November 12.

Straddle prices into quarter results this week

Alcoa (AA) October 48 straddle priced for a move of +/- 7% into the expected release of quarter results today.

Bank of America (BAC) October 43 straddle priced for a move of +/- 3% into the expected release of quarter results today.

Citigroup (C) October 70 straddle priced for a move of +/- 3.5% into the expected release of quarter results today.

Dominos Pizza (DPZ) October 475 straddle priced for a move of +/- 6.5% into the expected release of quarter results today.

Morgan Stanley (MS) October 98 straddle priced for a move of +/- 3.5% into the expected release of quarter results before the bell on October 14.

Taiwan Semiconductor (TSM) October 110 straddle priced for a move of +/- 4% into the expected release of quarter results today.

Unitedhealth (UNH) October 402 straddle priced for a move of +/- 3% into the expected release of quarter results today.

Walgreens Boots (WBA) October 47.50 straddle priced for a move of +/- 5.5% into the expected release of quarter results today.

Wells Fargo (WFC) October 46 straddle priced for a move of +/- 4.5% into the expected release of quarter results today.

Goldman Sachs (GS) October 385 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on October 15.

J.B. Hunt (JBHT) October straddle priced for a move of +/- 4% into the expected release of quarter results before the bell on October 15.

PNC Financial (PNC) October 200 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on October 15.

Truist Financial (TFC) October 60 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on October 15.

Options with decreasing option implied volatility: ATER GWH RKLB CCXI IRNT DAL JPM
Increasing unusual option volume: PMT SGH RDW RRD CNR PROG
Increasing unusual call option volume: PMT RDW SGH CNR
Increasing unusual put option volume: PROG MAT TTM URA FIVN SRPT
Popular stocks with increasing volume: SOFI PLTR MU AMC
Active options: AAPL TSLA AMD AMC PLUG BABA BBIG FB BAC AFRM SOFI NIO F T PLTR JPM NVDA ANY AMZN MU
Global S&P Futures mixed to up, Nikkei up 1.4%, DAX mixed to up, WTI Crude oil recently at $88.81, natural gas up 2%, gold at $1794 an ounce