Pre-Market IV Report October 4, 2021

Pre-Market IV Report October 4, 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: PROG MRK UNG COG TMC FUBO SNDL RKT PINS IBM VZ COG APRN NEGG LICY WW

Stocks expected to have increasing option volume: FB TSLA BNTX AMPY AMGN PEP SPY SPX RUT IWM QQQ

Alibaba (BABA) 30-day option implied volatility is at 52; compared to its 52-week range of 24 to 66 Evergrande shares halted amid report of unit stake sale.

Amplify Energy Corp (AMPY) 30-day option implied volatility is at 96; compared to its 52-week range of 51 to 274 into Southern California oil spill.

Option IV into events

Amgen (AMGN) 30-day option implied volatility is at 26; compared to its 52-week range of 17 to 43 into hosting an investor meeting today.

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

GAN Limited (GAN) 30-day option implied volatility is at 74; compared to its 52-week range of 58 to 110 into host investor day today. Call put ratio 5.6 calls to 1 put.

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 47; compared to its 52-week range of 30 to 62 into hosting an investor day on October 5.

Marvell (MRVL) 30-day option implied volatility is at 33; compared to its 52-week range of 29 to 68 into hosting an investor day on October 6.

General Motors (GM) October weekly call option implied volatility is at 47, October is at 41; compared to its 52-week range of 29 to 66 into investor day on October 6 and 7. Call put ratio 3.8 calls to 1 put.

VMware (VMW) 30-day option implied volatility is at 29; compared to its 52-week range of 20 to 54 into hosting an analyst meeting on October 6.

Tesla (TSLA) 30-day option implied volatility is at 51; compared to its 52-week range of 37 to 106 into shareholder meeting on October 7 and delivers 241,300 cars in record quarter.

Option IV into virtual OPEC meeting.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 33; compared to its 52-week range of 26 to 58 into virtual OPEC meeting.

Exxon Mobil (XOM) 30-day option implied volatility is at 31; compared to its 52-week range of 25 to 53. Call put ratio 2.4 calls to 1 put.

Chevron (CVX) 30-day option implied volatility is at 28; compared to its 52-week range of 23 to 51. Call put ratio 3.8 calls to 1 put.

Gambling resorts IV into Golden Week

MGM Resorts (MGM) 30-day option implied volatility is at 45; compared to its 52-week range of 35 to 76.

Melco Resorts (MLCO) 30-day option implied volatility is at 67; compared to its 52-week range of 35 to 77.

Las Vegas Sands (LVS) 30-day option implied volatility is at 49; compared to its 52-week range of 34 to 61.

Wynn Resorts (WYNN) 30-day option implied volatility is at 49; compared to its 52-week range of 34 to 75.

Straddle prices into quarter results this 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 +/- 4.5% into the expected release of quarter results before the bell on October 6.

Levi Strauss (LEVI) October 25 straddle priced for a move of +/- 10% 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 +/- 7.5% into the expected release of quarter results before the bell on October 7.

Tilray (TLRY) October weekly 11 straddle priced for a move of +/- 12% into the expected release of quarter results on October 7.

Options with decreasing option implied volatility: SPIR IRNT GSAT AFRM DLTR ALT
Increasing unusual option volume: IRNT ING PROG AEZS IFF BOX
Increasing unusual call option volume: IRNT ING PROG AEZS HLT SPRT IHRT
Increasing unusual put option volume: IRNT PROG MAT GOGO SPIR HAS
Popular stocks with increasing volume: LCID MRNA MRK CSCO AAL
Active options: TSLA AAPL AMC MRK MRNA NVDA AMZN AMD MSFT FB BABA PLTR NIO CSCO AAL PROG IRNT BA CLF LCID
Global S&P Futures recently down, Nikkei down 1%, DAX down 0.5%, WTI Crude oil recently at $75.55, natural gas up 3%, gold at $1749 an ounce