Pre-Market IV Report September 26, 2022

Pre-Market IV Report September 26, 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 SAVA TWTR VTRS IBM FAZE EVTL

Stocks expected to have increasing option volume: SPY QQQ IWM RUT ARKK USO UNG XOM CVX

Tesla (TSLA) 30-day option implied volatility is at 63; compared to its 52-week range of 36 to 84 into Tesla AI Day 2022 on September 30 in Palo Alto, CA.

Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 30; compared to its 52-week range of 16 to 58. Call put ratio 1 call to 4.3 puts.

Ishares Msci Usa Etf (EWU) 30-day option implied volatility is at 28; compared to its 52-week range of 13 to 40 amid Pound weakness. Call put ratio 1 call to 5.8 puts.

Vanguard Ftse Europe Etf (VGK) 30-day option implied volatility is at 31; compared to its 52-week range of 12 to 42 amid Pound weakness. Call put ratio 1 call to 4.7 puts.

Energy option IV as WTI crude and Natural gas trend lower

United States Oil Fund (USO) 30-day option implied volatility is at 49; compared to its 52-week range of 30 to 81 as WTI crude trades below $79.

United States Natural Gas (UNG) 30-day option implied volatility is at 94; compared to its 52-week range of 35 to 149.

Exxon Mobil (XOM) 30-day option implied volatility is at 44; compared to its 52-week range of 24 to 47.

Chevron (CVX) 30-day option implied volatility is at 41; compared to its 52-week range of 21 to 46.

Devon Energy (DVN) 30-day option implied volatility is at 63; compared to its 52-week range of 46 to 70.

Range Resources (RRC) 30-day option implied volatility is at 70; compared to its 52-week range of 55 to 82.

Pioneer Natural Resources (PXD) 30-day option implied volatility is at 51; compared to its 52-week range of 33 to 54.

Marathon Oil (MRO) 30-day option implied volatility is at 64; compared to its 52-week range of 43 to 71.

APA Corporation (APA) 30-day option implied volatility is at 72; compared to its 52-week range of 51 to 74.

Halliburton (HAL) 30-day option implied volatility is at 58; compared to its 52-week range of 38 to 63.

Schlumberger Ltd. (SLB) 30-day option implied volatility is at 58; compared to its 52-week range of 36 to 61.

Freeport-McMoran (FCX) 30-day option implied volatility is at 64; compared to its 52-week range of 42 to 65.

Rio Tinto plc (RIO) 30-day option implied volatility is at 42; compared to its 52-week range of 28 to 87.

Vale S.A. (VALE) 30-day option implied volatility is at 53; compared to its 52-week range of 37 to 59.

BHP Billiton Ltd. (BHP) 30-day option implied volatility is at 41; compared to its 52-week range of 28 to 89.

U.S. Steel (X) 30-day option implied volatility is at 66; compared to its 52-week range of 49 to 78. Call put ratio 1 call to 4.7 puts.

Alcoa (AA) 30-day option implied volatility is at 74; compared to its 52-week range of 49 to 82. Call put ratio 1 call to 3.1 puts.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 60; compared to its 52-week range of 39 to 64 as WTI crude oil trades below $79.

Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 46; compared to its 52-week range of 25 to 49. Call put ratio 1 call to 3.3 puts.

ARK Innovation (ARKK) 30-day option implied volatility is at 66; compared to its 52-week range of 28 to 91. Call put ratio 1 call to 2.2 puts.

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 41; compared to its 52-week range of 27 to 51.

Ishares Silver Trust (SLV) 30-day option implied volatility is at 32; compared to its 52-week range of 23 to 45.

Straddle price into quarter results.

Jabil (JBL) October 55 straddle priced for a move of 11% into the expected release of quarter results before the bell on September 27.

BlackBerry (BB) September weekly 5 straddle priced for a move of 11% into the expected release of quarter results before the bell on September 27.

United Natural Foods (UNFI) October 40 straddle priced for a move of 13% into the expected release of quarter results before the bell on September 27.

Cracker Barrel (CBRL) October 100 straddle priced for a move of 12% into the expected release of quarter results before the bell on September 27.

Progress Software Corporation (PRGS) October 40 straddle priced for a move of 15% into the expected release of quarter results after the bell on September 27.

Options with decreasing option implied volatility: ISEE VERU BLU ENVX IPOF
Increasing unusual option volume: AVCT FSK PBI BCS TCDA
Increasing unusual call option volume: SNY XP VOD ATUS KIND RL
Increasing unusual put option volume: FSK OLN INDA ARCC VNQ
Popular stocks increasing volume: AAL NFLX INTC NIO AMC OXY ET XOM BBBY
Active options: TSLA AAPL AMZN NVDA AMD MSFT F META GOOGL AAL BAC C NFLX INTC NIO AMC OXY ET XOM BBBY
Global S&P Futures mixed in premarket, Nikkei down 2.5%, DAX mixed, WTI Crude oil recently at $78, natural gas mixed, gold at $1651