Pre-Market IV Report October 5, 2021

Pre-Market IV Report October 5, 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: BABA FB VZ BMY SNDL RKT HYG CTRA UNG MRK UNG INO VOD KDMN AMPY

Stocks expected to have increasing option volume: FB TWTR BABA OXY DVN PEP

Movers

Square (SQ) 30-day option implied volatility is at 50; compared to its 52-week range of 35 to 73.

PayPal (PYPL) 30-day option implied volatility is at 37; compared to its 52-week range of 24 to 59.

Merck (MRK) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 35. Call put ratio 4.2 calls to 1 put.

Alibaba (BABA) 30-day option implied volatility is at 58; compared to its 52-week range of 24 to 66.

Peabody Energy (BTU) 30-day option implied volatility is at 116; compared to its 52-week range of 91 to 214. Call put ratio 9.8 calls to 1 put as shares rally.

Box (BOX) 30-day option implied volatility is at 43; compared to its 52-week range of 29 to 73. Call put ratio 2.7 calls to 1.

Amplify Energy Corp (AMPY) 30-day option implied volatility is at 225; compared to its 52-week range of 51 to 274. Call put ratio 3 calls to 1 put after Southern California oil spill.

Option call put ratios for Social Media Stocks

Snap (SNAP) call put ratio compared to 1.5 calls to 1 put compared to 90-day ratio 1.5 calls to 1 put

Facebook (FB) call put ratio compared to 1.2 calls to 1 put compared to 90-day ratio 1.8 calls to 1 put

Twitter (TWTR) call put ratio compared to 2.1 calls to 1 put compared to 90-day ratio 1.7 calls to 1 put

Pinterest (PINS) call put ratio compared to 1.6 calls to 1 put compared to 90-day ratio 1.7 calls to 1 put

Yelp (YELP) call put ratio compared to 1.5 calls to 1 put compared to 90-day ratio 1.7 calls to 1 put

Alphabet (GOOG) call put ratio compared to 1.1 calls to 1 put compared to 90-day ratio 1 call to 1 put

Option IV into events

Marvell (MRVL) 30-day option implied volatility is at 37; compared to its 52-week range of 29 to 68 into hosting an investor day on October 6. Call put ratio 8.8 calls to 1 put.

General Motors (GM) October weekly call option implied volatility is at 59, October is at 47; compared to its 52-week range of 29 to 66 into investor day on October 6 and 7. Call put ratio 3.4 calls to 1 put.

VMware (VMW) 30-day option implied volatility is at 31; compared to its 52-week range of 20 to 54 into hosting an analyst meeting on October 6. Call put ratio 3.3 calls to 1 put.

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.

Straddle prices into quarter results this week

PepsiCo (PEP) October weekly 150 straddle priced for a move of +/- 2.5% into the expected release of quarter results today before the bell.

Constellation Brands (STZ) October weekly 212 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 +/- 9% 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 +/- 11% into the expected release of quarter results on October 7.

Options with decreasing option implied volatility: ALT GSAT SPIR AFRM DLTR IRNT
Increasing unusual option volume: PROG IRNT OPAD XP LW AMPY
Increasing unusual call option volume: PROG IRNT EWJ AMPY
Increasing unusual put option volume: PROG SKT IRNT GOGO COMP OPAD ERIC
Popular stocks with increasing volume: MRK DKNG GM MRNA
Active options: TSLA AAPL FB F AMC PLTR NVDA BABA AMZN MRK AMD NIO PROG MSFT JPM BAC MRNA DKNG WISH GM
Global S&P Futures recently mixed, Nikkei down 2%, DAX down 0.5%, WTI Crude oil recently at $77.91, natural gas up 1.4%, gold at $1760 an ounce