Pre-Market IV Report September 27, 2022

Pre-Market IV Report September 27, 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: MLCO IMPX UVIX SAVA UVXY ICPT RIMM META F ET CHTR STWD CMG OPTT AVCT TCDA IMPP CLNN

Stocks expected to have increasing option volume: BB NKE MU BBBY AMC BIIB

Movers

Biogen (BIIB) September weekly option implied volatility is at 225, October is at 110; compared to its 52-week range 29 to 97 into topline phase 3 data for Alzheimer’s drug lecanemab.

FedEx (FDX) 30-day option implied volatility is at 46; compared to 52-week range of 22 to 56.

Meta Platforms (META) 30-day option implied volatility is at 62; compared to its 52-week range of 28 to 79.

Adobe (ADBE) 30-day option implied volatility is at 45; compared to its 52-week range of 22 to 58.

SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 30; compared to its 52-week range of 12 to 55. Call put ratio 1 call to 1.4 puts.

PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 36; compared to its 52-week range of 16 to 40. Call put ratio 1 call to 1.3.

ARK Innovation ETF (ARKK) 30-day option implied volatility is at 68; compared to its 52-week range of 28 to 91. Call put ratio 1.2 calls to 1 put.

Straddle price into quarter results.

Paychex (PAYX) October 115 straddle priced for a move of 8% into the expected release of quarter results before the bell on September 28.

Vail Resorts (MTN) October 200 straddle priced for a move of 11% into the expected release of quarter results after the bell on September 28.

Nike (NKE) September weekly 96 straddle priced for a move of 8% into the expected release of quarter results after the bell on September 29.

Micron (MU) September weekly 49 straddle priced for a move of 7% into the expected release of quarter results after the bell on September 29.

Bed Bath & Beyond (BBBY) September weekly 6.5 straddle priced for a move of 20% into the expected release of quarter results before the bell on September 29.

Carnival (CCL) September weekly 9 straddle priced for a move of 8.5% into the expected release of quarter results on September 29. Call put ratio 3.2 calls to 1 put.

CarMax (KMX) October 80 straddle priced for a move of 12% into the expected release of quarter results before the bell on September 29.

Rite Aid (RAD) October 6.5 straddle priced for a move of 17% into the expected release of quarter results before the bell on September 29.

Options with decreasing option implied volatility: NLY IPOF
Increasing unusual option volume: AVCT CSTM IMAX TCDA ATUS
Increasing unusual call option volume: ATUS SBEV MLCO YCS ISPO
Increasing unusual put option volume: STWD EWU CS PBR ATUS BKLN
Popular stocks increasing volume: PBR AAL INTC NFLX C ET BBBY
Active options: TSLA AAPL PBR AMZN AMD NVDA META BAC GOOGL MSFT TWTR AMC F BABA AAL INTC NFLX C ET BBBY
Global S&P Futures mixed to higher in premarket, Nikkei mixed to higher, DAX mixed to higher, WTI Crude oil recently at $78, natural gas up 2%, gold at $1643