Pre-Market IV Report August 21, 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: MPW AEHR ABR ORCL FRHC AEHR SAGE MPW HRMY RCUS SRGY BITI VIR FYBR PSEC XPOF AGL BITO TIP TCN
Stocks expected to have increasing option volume: PANW NVDA CRM LOW
AI stock option IV into NVDA results
NVIDIA (NVDA) 30-day option implied volatility is at 65; compared to its 52-week range of 39 to 68 into expected release of quarter results on August 23.
Systems (ADBE) 30-day option implied volatility is at 40; compared to its 52-week range of 26 to 50.
C3 AI (AI) 30-day option implied volatility is at 98; compared to its 52-week range of 56 to 223.
Workday (WDAY) 30-day option implied volatility is at 41; compared to its 52-week range of 26 to 57.
Palantir (PLTR) 30-day option implied volatility is at 59; compared to its 52-week range of 48 to 93.
Oracle (ORCL) 30-day option implied volatility is at 38; compared to its 52-week range of 18 to 47.
Salesforce (CRM) 30-day option implied volatility is at 39; compared to its 52-week range of 25 to 53.
ServiceNow (NOW) 30-day option implied volatility is at 31; compared to its 52-week range of 28 to 61.
Broadcom (AVGO) 30-day option implied volatility is at 40; compared to its 52-week range of 23 to 57.
AMD (AMD) 30-day option implied volatility is at 44; compared to its 52-week range of 40 to 69.
Intel (INTC) 30-day option implied volatility is at 35; compared to its 52-week range of 29 to 59.
Qualcomm (QCOM) 30-day option implied volatility is at 30; compared to its 52-week range of 28 to 58.
Applied Materials (AMAT) 30-day option implied volatility is at 34; compared to its 52-week range of 29 to 59.
onsemi (ON) 30-day option implied volatility is at 39; compared to its 52-week range of 37 to 74.
Cadence Design Systems (CDNS) 30-day option implied volatility is at 28; compared to its 52-week range of 22 to 76.
KLA Corporation (KLAC) 30-day option implied volatility is at 34; compared to its 52-week range of 30 to 58.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 31; compared to its 52-week range of 24 to 49.
Option IV into Fed gathering at Jackson Hole
iShares 20+ Year Treasury Bond ETF (TLT) day option implied volatility is at 18; compared to its 52-week range of 13 to 30. Call put ratio 2.6 calls to 1 put.
Proshares Trust Ultrashort Lehman 20+ Year Treasury (TBT) day option implied volatility is at 22; compared to its 52-week range of 18 to 81.
JNJ_KVUE event option IV
Kenvue (KVUE) August weekly call option implied volatility is at 74, September is at 46; compared to its 52-week range of 16 to 54 amid Johnson & Johnson (JNJ) plans to distribute $40B of JNJ stock to Kenvue shareholders.
Johnson & Johnson (JNJ) August weekly call option implied volatility is at 39, September is at 24; compared to its 52-week range of 11 to 24 amid plans to distribute $40B of JNJ stock to Kenvue (KVUE) shareholders.
Straddle prices into quarter results
Zoom Video (ZM) August weekly 66 straddle is priced for a move of 12% into the expected release of quarter results today after the bell.
Lowe’s (LOW) August weekly 220 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on August 22.
Macy’s (M) August weekly 15 straddle is priced for a move of 13% into the expected release of quarter results before the bell on August 22.
Dicks’s Sporting Goods (DKS) August weekly 146 straddle is priced for a move of 7% into the expected release of quarter results before the bell on August 22.
Medtronic (MDT) August weekly 81 straddle is priced for a move of 5% into the expected release of quarter results before the bell on August 22.
Baidu (BIDU) August weekly 125 straddle is priced for a move of 6% into the expected release of quarter results before the bell on August 22.
Coty (COTY) August weekly 11.50 straddle is priced for a move of 9% into the expected release of quarter results before the bell on August 22.
BJ’s Wholesale Club (BJ) August weekly 70 straddle is priced for a move of 8% into the expected release of quarter results before the bell on August 22.
Toll Brothers (TOL) August weekly 77 straddle is priced for a move of 7.5% into the expected release of quarter results after the bell on August 22.
iQIYI (IQ) August weekly 5 straddle is priced for a move of 13% into the expected release of quarter results before the bell on August 22.
Urban Outfitters (URBN) August weekly 36 straddle is priced for a move of 9% into the expected release of quarter results after the bell on August 22.
Canadian Solar (CSIQ) August weekly 31 straddle is priced for a move of 8.5% into the expected release of quarter results before the bell on August 22.
NVIDIA (NVDA) August weekly 432.50 straddle is priced for a move of 12% into the expected release of quarter results after the bell on August 23.
Snowflake (SNOW) August weekly 147 straddle is priced for a move of 13.5% into the expected release of quarter results after the bell on August 23.
Options with decreasing option implied volatility: SE BILL APLS ONON WOLF COHR DLO CAVA YPF TGT EL TME TJX CSCO
Increasing unusual option volume: GNS BLMN HUN EWU ROST KEYS GOL MPW KVUE DNMR GOSS HUN YELLQ FTCH TUP
Increasing unusual call option volume: GOOS KVUE GNS TH TSEM AVTR FTAI
Increasing unusual put option volume: FTCH KVUE EWU ASHR SPGI COTY RILY PSEC
Popular stocks with increasing volume: KVUE PLTR JNJ BABA NIO CSCO
Active options: TSLA NVDA AAPL AMC AMZN META AMD MSFT KVUE FTCH GOOGL NKLA PLTR JNJ BABA MPW NIO GOOG CSCO MARA
Global S&P Futures mixed in premarket, Nikkei mixed to lower, DAX mixed to lower, WTI Crude oil recently at $82, natural gas up 2%, gold at $1916.
