Pre-Market IV Report August 14, 2023
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: VMW DOCU SU MNDY HD TGT WMT ROST AMC AMPX APLS HE IMVT R AMRK PODD
Stocks expected to have increasing option volume: X CLF STLD NUE MT HD TGT WMT SU
Semi option IV into NVDA quarter results and ARM IPO headlines
NVIDIA (NVDA) 30-day option implied volatility is at 63; compared to its 52-week range of 39 to 68.
Broadcom (AVGO) 30-day option implied volatility is at 39; compared to its 52-week range of 23 to 57.
AMD (AMD) 30-day option implied volatility is at 43; compared to its 52-week range of 40 to 69.
Intel (INTC) 30-day option implied volatility is at 33; compared to its 52-week range of 27 to 59.
Qualcomm (QCOM) 30-day option implied volatility is at 29; compared to its 52-week range of 28 to 58.
Applied Materials (AMAT) 30-day option implied volatility is at 39; compared to its 52-week range of 29 to 59 into expected release of quarter results on August 17.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 24; compared to its 52-week range of 24 to 49.
Skyworks Solutions (SWKS) 30-day option implied volatility is at 30; compared to its 52-week range of 27 to 56.
Mover
Eli Lilly & Co. (LLY) 30-day option implied volatility is at 22; compared to its 52-week range of 21 to 38. Call put ratio 4.6 calls to 1 put as shares near record high.
Option IV into Cleveland-Cliffs (CLF) proposes to acquire U.S. Steel (X)
Cleveland-Cliffs (CLF) 30-day option implied volatility is at 42; compared to its 52-week range 37 to 77 into offering to acquire U.S. Steel (X) for a per share value of $17.50 in cash and 1.023 shares of Cliffs stock. Call put ratio 3.1 calls to put.
United States Steel Corporation (X) 30-day option implied volatility is at 37; compared to its 52-week range of 34 to 72 into Cleveland-Cliffs (CLF) publicly announced a previously private offer to acquire U.S. Steel for $35/share in cash and stock. Call put ratio 1.5 calls to 1 put.
Nucor (NUE) 30-day option implied volatility is at 28; compared to its 52-week range of 28 to 56.
Steel Dynamics (STLD) 30-day option implied volatility is at 33; compared to its 52-week range of 32 to 94.
ArcelorMittal (MT) 30-day option implied volatility is at 28; compared to its 52-week range of 26 to 58.
Freeport-McMoran (FCX) 30-day option implied volatility is at 36; compared to its 52-week range of 34 to 65.
Straddle prices into quarter results
Home Depot (HD) August 330 straddle is priced for a move of 4% into the expected release of quarter results before the bell on August 15.
BHP Group (BHP) August 57.50 straddle is priced for a move of 3.5% into the expected release of quarter results on August 15.
Agilent (A) August 125 straddle is priced for a move of 4.5% into the expected release of quarter results after the bell on August 15.
On Holding (ONON) August 34.50 straddle is priced for a move of 14% into the expected release of quarter results before the bell on August 15.
Cava Group (CAVA) August 50 straddle is priced for a move of 14.5% into the expected release of quarter results after the bell on August 15.
Cisco (CSCO) August 54 straddle is priced for a move of 5% into the expected release of quarter results after the bell on August 16.
Target (TGT) August 131 straddle is priced for a move of 8% into the expected release of quarter results before the bell on August 16.
Walmart (WMT) August 160 straddle is priced for a move of 4% into the expected release of quarter results before the bell on August 17.
Global Xftse Argentina 20 ETF (ARGT) 30-day option implied volatility is at 45; compared to its 52-week range of 20 to 47 amid elections.
Options with decreasing option implied volatility: RNG CPRI CHGG TRUP BYND UPST LYFT BMBL
Increasing unusual option volume: ASHR IREN EPR EVLV RGTI GXO GNS KVUE IAU YELL WE TUP
Increasing unusual call option volume: DB ACHR GNS KVUE YELL TSEM DB RGTI USFD MAXN VRAR TUP LW
Increasing unusual put option volume: YETI EBIX ASHR TUP ACHR RYAM APP VNQ NAT APLS
Popular stocks with increasing volume: WEN MAR BAX PENN LVS DB CPRI ROST
Active options: TSLA NVDA AAPL AMZN MSFT META GOOGL
Global S&P Futures mixed in premarket, Nikkei down 1%, DAX mixed, WTI Crude oil recently at $82.90, natural gas up 1%, gold at $1946.
