Pre-Market IV Report September 28, 2022

Pre-Market IV Report September 28, 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: BIIB NKE MU CCL UVIX UVXY ICPT VIXY VIX ANIX VIX PRTA R SAVE AMPS

Stocks expected to have increasing option volume: NKE MU CCL BIIB PRGS CALM TWTR GNRC LQD

Movers

Biogen (BIIB) September weekly option implied volatility is at 235, October is at 130; compared to its 52-week range 29 to 97 into topline phase 3 data for Alzheimer’s drug lecanemab.

Vanguard Ftse Europe Etf (VGK) 30-day option implied volatility is at 35; compared to its 52-week range of 12 to 42. Call put ratio 1 call to 8 .9 puts with focus November puts.

SPDR Gold Trust (GLD) 30-day option implied volatility is at 18; compared to its 52-week range of 12 to 31 amid gold trends lower.

IV for shares near low end of range

Domino’s Pizza (DPZ) 30-day option implied volatility is at 47; compared to 52-week range of 22 to 47.

Digital Realty Trust (DLR) 30-day option implied volatility is at 41; compared to 52-week range of 19 to 82.

MasterCard (MA) 30-day option implied volatility is at 40; compared to 52-week range of 25 to 44.

CME Group (CME) 30-day option implied volatility is at 32; compared to 52-week range of 18 to 38.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 28; compared to 52-week range of 14 to 28.

Coinbase (COIN) 30-day option implied volatility is at 111; compared to its 52-week range of 46 to 174.

Intuit (INTU) 30-day option implied volatility is at 46; compared to its 52-week range of 22 to 61 into a company hosted investor day on September 29.

Vulcan Materials (VMC) 30-day option implied volatility is at 36; compared to its 52-week range of 24 to 80 into a company hosted investor day on September 29.

Ryder System (R) October call option implied volatility is at 86, November is at 51; compared to its 52-week range of 23 to 100 after reports private equity firm Apollo is exploring a deal for the company. Call put ratio 4.5 calls to 1 put.

Straddle price into quarter results.

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

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 50 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 21% into the expected release of quarter results before the bell on September 29.

Carnival (CCL) September weekly 9 straddle priced for a move of 9% into the expected release of quarter results on September 29.

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 16% into the expected release of quarter results before the bell on September 29.

Options with decreasing option implied volatility: FAZE EVTL NLY
Increasing unusual option volume: PFSI IGT EWC SHY AVCT
Increasing unusual call option volume: IGT ETRN EWU RYTM
Increasing unusual put option volume: PFSI IGT SHY MFA BGS
Popular stocks increasing volume: INTC RIG CCL NFLX BABA CHPT NIO
Active options: TSLA AAPL AMZN NVDA AMD META GOOGL MSFT F AMC BAC C INTC RIG CCL LAZR NFLX BABA CHPT NIO
Global S&P Futures lower in premarket, Nikkei down 1.2%, DAX down 1.2%, WTI Crude oil recently at $78, natural gas down 1%, gold at $1629