Pre-Market IV Report September 21, 2022

Pre-Market IV Report September 21, 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: GETY NLY PSNY SNAP NFLX IP IBM CLNN AVCT FAZE TCDA CEI INBX RLMD SAVA PSNY DWAC F NEOG BX STLA CS

Stocks expected to have increasing option volume: SPY QQQ RUT ARKK GIS DHR LEN COST SFIX

Option IV into FOMC policy meeting

SPDR S&P 500 ETF Trust (SPY) September weekly call option implied volatility is at 45, October is at 26; compared to its 52-week range of 12 to 56.

PowerShares QQQ Trust (QQQ) September weekly call option implied volatility is at 58, October is at 33; compared to its 52-week range of 16 to 40.

iShares Russell 2000 ETF (IWM) September weekly call option implied volatility is at 54, October is at 31; compared to its 52-week range of 18 to 31.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 64; compared to its 52-week range of 28 to 91.
Interest rate stocks option implied volatility

Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) 30-day option implied volatility is at 43; compared to its 52-week range of 27 to 54.

iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 22; compared to its 52-week range of 14 to 27.

SPDR Bloomberg Barclays High Yield Bond ETF (JNK) 30-day option implied volatility is at 16; compared to its 52-week range of 5 to 21.

iShares iBoxx $ High Yield Corporate Bond ETF (HYG) 30-day option implied volatility is at 16; compared to its 52-week range of 5 to 23.

Ishares Iboxx $ Investment Grade Corporate Bond Etf (LQD) 30-day option implied volatility is at 15; compared to its 52-week range of 6 to 16.

Option IV for stocks near 52-week lows

Salesforce (CRM) 30-day option implied volatility is at 44; compared to its 52-week range of 22 to 62 into making a new 52-week low into Dreamforce.

Microsoft (MSFT) 30-day option implied volatility is at 33; compared to its 52-week range of 18 to 47 into making a new 52-week low.

Alphabet (GOOGL) 30-day option implied volatility is at 37; compared to its 52-week range of 20 to 49 into making a new 52-week low.

Charter Communications (CHTR) 30-day option implied volatility is at 39; compared to its 52-week range of 22 to 44 into making a new 52-week low. Call put ratio 1 call to 3.5 puts.

Adobe Systems (ADBE) 30-day option implied volatility is at 41; compared to its 52-week range of 22 to 58 into making a new 52-week low.

Whirlpool (WHR) 30-day option implied volatility is at 44; compared to its 52-week range of 27 to 48 into making a new 52-week low.

CME Group (CME) 30-day option implied volatility is at 28; compared to its 52-week range of 18 to 38 into making a new 52-week low.

Expeditors Int’l (EXPD) 30-day option implied volatility is at 33; compared to its 52-week range of 21 to 89 into making a new 52-week low.

Comcast (CMCSA) 30-day option implied volatility is at 34; compared to its 52-week range of 22 to 42 as shares near a 52-week low.

AT&T (T) 30-day option implied volatility is at 30; compared to its 52-week range of 19 to 33 as shares near a 52-week low.

Verizon Communications (VZ) 30-day option implied volatility is at 27; compared to its 52-week range of 12 to 27 as shares near a 52-week low.

Movers

Nordstrom (JWN) 30-day option implied volatility is at 62; compared to its 52-week range of 46 to 109.

Gap, Inc. (GPS) 30-day option implied volatility is at 64; compared to its 52-week range of 40 to 102.

Warner Bros. Discovery (WBD) 30-day option implied volatility is at 56; compared to its 52-week range of 40 to 113.

Peloton (PTON) 30-day option implied volatility is at 97; compared to its 52-week range of 54 to 152.

Straddle price into quarter results.

FedEx (FDX) September weekly 157 straddle priced for a move of 6% into the expected release of quarter results after the bell on September 22.

Costco (COST) September weekly 500 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on September 22.

Carnival (CCL) September weekly 10.50 straddle priced for a move of 8.5% into the expected release of quarter results before the bell on September 22.

Accenture (ACN) September weekly 270 straddle priced for a move of 4% into the expected release of quarter results before the bell on September 22.

Darden (DRI) October 130 straddle priced for a move of 8.5% into the expected release of quarter results before the bell on September 22.

Options with decreasing option implied volatility: LQDA IPOF VERU ALT EVTL NCR ORCL
Increasing unusual option volume: CIM BYD ONON SD EWC WU FRGE
Increasing unusual call option volume: TCDA CIM ITUB AVCT PFSI BYD
Increasing unusual put option volume: ITUB ETRN VYM IPOD AND PLTK YETI REI
Popular stocks increasing volume: F WBD BAC AAL NCLH CCL LYFT BABA PBR
Active options: TSLA AAPL F AMZN NVDA NFLX AMD MSFT WBD BAC META GOOGL AAL NCLH CCL LYFT BABA PBR
Global S&P Futures mixed in premarket, Nikkei down 1.4%, DAX lower, WTI Crude oil recently at $86, natural gas up 2%, gold at $1680