Pre-Market IV Report September 28, 2021

Pre-Market IV Report September 28, 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: AMRN PTRA GOEV INDI CLDR CRVS MU BBBY

Stocks expected to have increasing option volume: MU BBBY INTU

Micron (MU) October weekly call option implied volatility is at 69, October is at 40; compared to its 52-week range of 30 to 59 into the expected release of quarter results today after the bell.

Affirm (AFRM) 30-day option implied volatility is at 80; compared to its 52-week range of 59to 127 into hosting a virtual investor event today. Call put ratio 3.4 calls to 1 put with focus on October weekly calls.

Bed Bath & Beyond (BBBY) October weekly call option implied volatility is at 163, October is at 100; compared to its 52-week range of 57 to 303 into the expected release of quarter results before the bell on September 30.

Generac Holdings (GNRC) October call option implied volatility is at 43, November is at 44; compared to its 52-week range of 33 to 58 ahead of the company’s Investor Day on September 29.

Intuit (INTU) October weekly call option implied volatility is at 26, October is at 24; compared to its 52-week range of 20 to 45 ahead of the company’s Investor Day presentations on September 30.

General Motors (GM) October weekly call option implied volatility is at 31, October is at 34; compared to its 52-week range of 29 to 66 into investor day on October 6 and 7. Call put ratio 2.5 calls to 1 put.

Straddle prices into quarter results this week

Micron (MU) October weekly 75 straddle priced for a move of +/- 6% into the expected release of quarter results today after the bell.

Herman Miller (MLHR) October 40 straddle priced for a move of +/- 10% into the expected release of quarter results after the bell on September 29.

Jabil (JBL) October 60 straddle priced for a move of +/- 9% into the expected release of quarter results before the bell on September 29.

Cintas (CTAS) October 400 straddle priced for a move of +/- 6% into the expected release of quarter results on September 29.

Bed Bath & Beyond (BBBY) October weekly 24 straddle priced for a move of +/- 13% into the expected release of quarter results before the bell on September 30.

CarMax (KMX) October weekly 145 straddle priced for a move of +/- 6% into the expected release of quarter results before the bell on September 30.

McCormick & Co (MKC) October 85 straddle priced for a move of +/- 5% into the expected release of quarter results before the bell on September 30.

Paychex (PAYX) October 110 straddle priced for a move of +/- 4% into the expected release of quarter results before the bell on September 30.

Option implied volatility for film exhibition stocks

AMC Entertainment (AMC) 30-day option implied volatility is at 108; compared to its 52-week range of 98 to 726

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

IMAX (IMAX) 30-day option implied volatility is at 53; compared to its 52-week range of 39 to 84

Top stocks based on Volatility Skew: HYG XLU NKE HSBC KO

Bottom 5 stocks based on Volatility Skew: WKHS RID FSR IGT BX

Options with decreasing option implied volatility: KDMN SDC SFIX
Increasing unusual option volume: IRNT ATUS XP ANY INDA ADNT MXTX DT ANY BBIG
Increasing unusual call option volume: IRNT INDA ANY ENG DMYI IAA
Increasing unusual put option volume: ATUS ANY DMYI EWH SRPT CDEV SKX
Popular stocks with increasing volume: AAL CCL SOFI BA
Active options: TSLA AAPL AMD F PLTR AMZN AMC BABA BAC LCID SOFI MSFT NVDA NIO WFC FB BBIG BA CCL AAL
Global S&P Futures recently mixed to lower, Nikkei mixed, DAX lower, WTI Crude oil recently at $76.91, natural gas mixed, gold at $1742 an ounce