Pre-Market IV Report September 13, 2022

Pre-Market IV Report September 13, 2022

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: NLY SBSW WEN VIRI VTYX ALT ARQQ GSHD ATUS HIS PSNY VERU CLNN AKRO AVCT FFIE

Stocks expected to have increasing option volume: ORCL ADBE WDAY PTON TWTR LNG RENT XLU

Option IV into CPI release

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 22; compared to its 52-week range of 12 to 56 into CPI.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 28; compared to its 52-week range of 16 to 40 into CPI.

Options

Twitter (TWTR) 30-day option implied volatility is at 51; compared to its 52-week range of 21 to 88.

Workday (WDAY) 30-day option implied volatility is at 41; compared to its 52-week range of 26 to 69 into hosting a financial analyst day today.

Costco (COST) September call option implied volatility is at 30, October is at 29; compared to its 52-week range of 15 to 51 into the expected release of quarter results on September 22. Call put ratio 1 call to 1.2 puts.

Virios Therapeutics (VIRI) 30-day option implied volatility is at 314; compared to its 52-week range of 71 to 289.

Ventyx Biosciences (VTYX) 30-day option implied volatility is at 163; compared to its 52-week range of 79 to 89 into four clinical data readouts. Call put ratio 1 call to 11.9 puts after approval of deucravacitinib.

Altimmune (ALT) 30-day option implied volatility is at 184; compared to its 52-week range of 59 to 176 into four clinical data readouts.

Wendy’s (WEN) September call option implied volatility is at 61, October is at 36; compared to its 52-week range of 21 to 86. Call put ratio 33 calls to 1 put with focus on September 21 and 22 calls.

Straddle price into quarter results

Adobe (ADBE) September 397.50 straddle priced for a move of 5% into the expected release of quarter results after the bell on September 15.

Options with decreasing option implied volatility: GETY FAZE ISEE DOCU ASAN
Increasing unusual option volume: MANU IGT IMAX AVCT PZZA WEN
Increasing unusual call option volume: MANU VGK IGT ATUS WEN
Increasing unusual put option volume: BEN IGT ARRY MFA WGO
Popular stocks increasing volume: F BAC OXY AAL BBBY MSFT WEN BABA GME UBER
Active options: TSLA AAPL AMZN NIO NVDA AMD META AMC GOOGL FUBO F BAC OXY AAL BBBY MSFT CHPT BABA GME UBER
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $88, natural gas up 1%, gold at $1735 an ounce