Pre-Market IV Report October 18, 2021

Pre-Market IV Report October 18, 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: AFRM AETER RKLB GWH CCXI DNA T PAGS UNG VOD COTY XLU BTAQ

Stocks expected to have increasing option volume: SLB HAL STT ACI PG JNJ NFLX TSLA

Apple (AAPL) October weekly call option implied volatility is at 18, November is at 23; compared to its 52-week range of 19 to 50 into hosting a special event today. Call put ratio 1.9 calls to 1 put.

United States Natural Gas (UNG) 30-day option implied volatility is at 94; compared to its 52-week range of 30 to 219

United States Oil Fund (USO) 30-day option implied volatility is at 32; compared to its 52-week range of 28 to 61 as WTI Crude trades above $83.

Straddle prices into quarter results this week

Albertsons (ACI) November 29 straddle priced for a move of +/- 9.5% into into the expected release of quarter results today before the bell.

State Street (STT) November 95 straddle priced for a move of +/- 7% into the expected release of quarter results today before the bell.

Steel Dynamics (STLD) November 60 straddle priced for a move of +/- 10% into the expected release of quarter results today after the bell.

Teradyne (TER) October weekly 110 straddle priced for a move of +/- 8% into the expected release of quarter results after the bell on October 18.

Halliburton (HAL) October weekly 25 straddle priced for a move of +/- 6% into the expected release of quarter results before the bell on October 19.

Intuitive Surgical (ISRG) October weekly 330 straddle priced for a move of +/- 5% into the expected release of quarter results after the bell on October 19.

Kansas City Southern (KSU) October weekly 295 straddle priced for a move of +/- 3% into the expected release of quarter results before the bell on October 19.

Johnson & Johnson (JNJ) October weekly 160 straddle priced for a move of +/- 2.5% into the expected release of quarter results before the bell on October 19.

Las Vegas Sands (LVS) October weekly 40 straddle priced for a move of +/- 6% into the expected release of quarter results on October 19.

Lam Research (LRCX) October weekly 565 straddle priced for a move of +/- 6.5% into the expected release of quarter results after the bell on October 19.

Netflix (NFLX) October weekly 630 straddle priced for a move of +/- 8%into the expected release of quarter results after the bell on October 19.

Proctor & Gamble (PG) October weekly 144 straddle priced for a move of +/- 2.5% into the expected release of quarter results before the bell on October 19.

United Airlines (UAL) October weekly 48 straddle priced for a move of +/- 5.5% into the expected release of quarter results before the bell on October 19.

IV into events

ULTA Salon (ULTA) 30-day option implied volatility is at 31; 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 33; 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 52; 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 31; 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 26; compared to its 52-week range of 21 to 45 into host virtual investor day on November 12.

Pfizer (PFE) 30-day option implied volatility is at 25; compared to its 52-week range of 17 to 61 into FDA decision on abrocitinib.

AbbVie (ABBV) 30-day option implied volatility is at 23; compared to its 52-week range of 18 to 40 into FDA decision on Rinvoq.

Avadel Pharma (AVDL) 30-day option implied volatility is at 158; compared to its 52-week range of 55 to 168 into FDA decision on FT218.

BioMarin Pharma (BMRN) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 77 into FDA decision on Voxzogo.

Johnson & Johnson (JNJ) 30-day option implied volatility is at 18; compared to its 52-week range of 14 to 35 into FDA decision on cilta-cel.

BeyondSpring (BYSI) 30-day option implied volatility is at 126; compared to its 52-week range of 73 to 293 into FDA decision on plinabulin.

Reata Pharma (RETA) 30-day option implied volatility is at 73; compared to its 52-week range of 51 to 168 into FDA decision on bardoxolone.

argenx (ARGX) 30-day option implied volatility is at 45; compared to its 52-week range of 37 to 57 into FDA decision on efgartigimod.

Intra-Cellular Therapies (ITCI) 30-day option implied volatility is at 70; compared to its 52-week range of 53 to 111 into FDA decision on Caplyta.

Eli Lilly & Co. (LLY) 30-day option implied volatility is at 28; compared to its 52-week range of 21 to 46 into FDA decision on donanemab.

Options with decreasing option implied volatility: PINS SNDL PFE WISH PROG SIRI CCXI
Increasing unusual option volume: NXTD XP NNOM CRTX AER
Increasing unusual call option volume: AER XP ASHR GFI AMN
Increasing unusual put option volume: CRTX FE EXC ALC PACB
Popular stocks with increasing volume: F DIS SPCE DKNG MRNA
Active options: TSLA AAPL AMZN F BBIG AMC BAC FB NIO NVDA WFC AMD SPCE DKNG MARA MSFT BABA MRNA RIOT DIS
Global S&P Futures mixed, Nikkei up 1.8%, DAX mixed to up, WTI Crude oil recently at $83.29, natural gas down 2%, gold at $1765 an ounce