Summary of Options Analysis - October 5, 2026

In a recent analysis by Koen Hoorelbeke, an Investment and Options Strategist, a nightly screening of 512 option underlyings was conducted to assess their implied volatility (IV) readings against their historical performance over the past year. The analysis identified twenty-one names that exhibited significant deviations from their normal volatility levels as of the close on October 2, 2026.

Understanding Implied Volatility

Implied volatility is a critical metric in options trading, indicating the market's forecast of a likely movement in a security's price. The analysis emphasizes that a high IV reading does not inherently mean an option is expensive; rather, it must be evaluated in the context of its historical range. Two key metrics are used:

• IV Rank: This measures the current IV level relative to its highest and lowest points over the past year, on a scale from 0 to 100.
• IV Percentile: This indicates the percentage of trading sessions in the past year that closed below the current IV level.

Key Findings

The screening revealed three notable clusters:

1. US Health Care Sector: Companies in this sector are preparing for late October earnings reports, showing elevated IV levels.
2. Euro Zone Names: Several names in the Euro Zone have seen their IV ranks increase for two consecutive weeks.
3. Precious Metals and Digital Assets: This group is experiencing low IV ranks despite high absolute volatility levels.

Highlighted Stocks

Highest Readings in the US

• iShares MSCI Brazil ETF (EWZ): IV 61.0, rank 100, percentile 100, reflecting event risk from the presidential vote.
• Merck & Co (MRK): IV 34.9, rank 91.0, percentile 99.2, ahead of its earnings call.
• Danaher (DHR): IV 39.2, rank 89.1, percentile 95.6, also preparing for earnings.
• Marathon Petroleum (MPC): IV 49.8, rank 88.4, percentile 96.4, with established elevated levels.

Highest Readings in the Euro Zone

• ADP (Aeroports de Paris): IV 36.8, rank 97.1, percentile 98.8, indicating rising event risk.
• Porsche Automobil Holding SE: IV 32.1, rank 87.5, percentile 96.4, showing significant rank increase.
• Fagron SA: IV 27.9, rank 87.1, percentile 94.8, with a notable rise in rank.
• Evotec AG: IV 69.8, rank 86.3, percentile 94.8, indicating high absolute volatility.

Lowest Readings

• Pan American Silver (PAAS): IV 45.7, rank 2.4, percentile 1.6, indicating a low rank despite high absolute volatility.
• Gerresheimer AG: IV 54.3, rank 3.4, percentile 3.2, also showing low rank.
• iShares Silver Trust ETF (SLV): IV 33.1, rank 5.0, percentile 4.8, indicating a similar trend.
• Broadcom (AVGO): IV 35.2, rank 6.4, percentile 3.6, the only large cap tech name in this category.

Discrepancies in Data

The analysis also highlighted discrepancies where IV rank and IV percentile provided conflicting signals, suggesting the need for further investigation into historical data before making trading decisions.

Conclusion

The findings underscore the importance of understanding the context of implied volatility readings. While high IV ranks may suggest potential trading opportunities, they do not guarantee price movements. Traders are advised to consider the broader market context and historical performance before making investment decisions.

For further insights, readers are encouraged to follow Koen Hoorelbeke's ongoing analysis and updates on options trading.