Volatility, gamma and earnings season 


Futures higher once again this morning, but inside the 0DTE expected move. The past few mornings the move pre-market had been at or even a little more than what options had been pricing for the entire day. The pre-market gap volatility is something to keep an eye on as it gives a sense of any reversal from negative gamma to positive gamma conditions and how much overnight chasing of stocks is happening because of that. This afternoon we get FOMC minutes, and of course tomorrow morning is CPI.

Today’s Expected Moves:

  • SPY: 0.6%
  • QQQ: 0.7%

Earnings season begins over the next several days. Tomorrow morning we hear from Domino’s Pizza and Delta Airlines, then JP Morgan, Wells Fargo and more on a big Friday morning. Next week things speed up even more with Tesla and more. Here’s a video primer on earnings and some detail on the banks reporting. Watch below:

Pre-Market Movers:

  • Plug Power Inc (PLUG) +13.41%
  • Exxon Mobil Corp (XOM) -3.08%
  • Tesla Inc (TSLA) +0.81%
  • Pioneer Natural Resources Company (PXD) +1.52%
  • Silk Road Medical Inc (SILK) -47.82%
  • Novo Nordisk A/S ADR (NVO) +3.91%
  • Micron Technology (MU) +1.35%
  • Nvidia Corp (NVDA) +0.78%
  • Amazon.com Inc (AMZN) +0.65%

Economic Calendar:

  • At 08:30 AM (EST) PPI MoM (Sep) Estimates: 0.3, Prior: 0.7
  • At 10:15 AM (EST) Fed Waller Speech Impact: Medium
  • At 02:00 PM (EST) FOMC Minutes Impact: High
  • At 12:15 PM (EST) Fed Bostic Speech Impact: Medium

Options AI Scanner Highlights:

  • Overbought (RSI): PANW (69), X (68), UNH (67), PLTR (67), ZS (66), TTD (63)
  • Oversold (RSI): BB (22), MDLZ (25), MCD (26), UAL (29), AAL (30), SCHW (30), DG (31), LUV (31)
  • High IV: SRPT (+464%), IBM (+148%), PG (+140%), JETS (+133%), KO (+132%), GE (+130%), CL (+130%), UPS (+129%), PYPL (+127%), PENN (+127%)
  • Unusual Options Volume: EWG (+785%), WW (+727%), TUP (+723%), Z (+612%), PEP (+612%), U (+462%), AI (+449%), SNAP (+413%), TSLA (+402%), PLTR (+396%), AMD (+370%), ROKU (+353%), BA (+352%), USO (+328%)

Full list here: Options AI Earnings Calendar

Based upon publicly available information derived from option prices at the time of publishing. Intended for informational and educational purposes only and is not any form of recommendation of a particular security, strategy or to open a brokerage account. Options price data and past performance data should not be construed as being indicative of future results and do not guarantee future results or returns. Options involve risk, including exposing investors to potentially significant losses and are therefore not suitable for all investors. Option spreads involve additional risks that should be fully understood prior to investing. Securities trading is offered through Options AI Financial, LLC, member FINRA and SIPC

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