Pre-Market IV Report August 23, 2023

Pre-Market IV Report August 23, 2023

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Pre-Market IV Report August 23, 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: NVAX FULC CRNX BCSF ASLE NCNO AMX SCHW RF ZION LZB VLY URBN FITB ASO CMA FDX

Stocks expected to have increasing option volume: NVDA SNOW ADI GRAB BBWI WSM YMM LZB URBN AAP KSS DY PTON FL ANF GPS APLS

AI stock option IV into NVDA results

NVIDIA (NVDA) August weekly call option implied volatility is at 153, September is at 72; compared to its 52-week range of 39 to 68 into expected release of quarter results after the bell on August 23. Call put ratio 1.6 calls to 1 put.

Option IV into Fed gathering at Jackson Hole

Eli Lilly & Co. (LLY) 30-day option implied volatility is at 22; compared to its 52-week range of 21 to 38 as share price near record high.

SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 34; compared to its 52-week range of 21 to 81 as share price down 2.4%.

Charles Schwab (SCHW) 30-day option implied volatility is at 33; compared to its 52-week range of 25 to 105. Call put ratio 1 call to 2.4 puts as share price down 4.2%.

Alibaba (BABA) 30-day option implied volatility is at 40; compared to its 52-week range of 38 to 77 as share price closes below $90.

iShares 20+ Year Treasury Bond ETF (TLT) day option implied volatility is at 18; compared to its 52-week range of 13 to 30.

Kenvue (KVUE) August weekly call option implied volatility is at 50, September is at 34; 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 30, September is at 17; 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

NVIDIA (NVDA) August weekly 457 straddle is priced for a move of 12% into the expected release of quarter results today after the bell.

Snowflake (SNOW) August weekly 152.50 straddle is priced for a move of 13% into the expected release of quarter results today after the bell.

Analog Devices (ADI) August weekly 177 straddle is priced for a move of 5% into the expected release of quarter results today before the bell.

Splunk (SPLK) August weekly 98 straddle is priced for a move of 9% into the expected release of quarter results today after the bell.

Kohl’s (KSS) August weekly 26 straddle is priced for a move of 13% into the expected release of quarter results before the bell on August 23.

Gap (GPS) August weekly straddle is priced for a move of % into the expected release of quarter results on August 24.

Nordstrom (JWN) August weekly 9.5 straddle is priced for a move of 12% into the expected release of quarter results after the bell on August 24.

Dollar Tree (DLTR) August weekly 17 straddle is priced for a move of 14% into the expected release of quarter results before the bell on August 24.

Burlington Stores (BURL) August weekly 162 straddle is priced for a move of 12% into the expected release of quarter results before the bell on August 24.

Options with decreasing option implied volatility: M EL ATVI TGT APLS WOLF DLO VMW
Increasing unusual option volume: VLY BGS MCHI KVUE URBN GNS JCI DKS
Increasing unusual call option volume: URBN KVUE DKS TSEM GNS JCI SHW
Increasing unusual put option volume: TAL VLY KVUE URBN DKS BJ MPLX VTRS PR FREY SIG
Popular stocks with increasing volume: KVUE JNJ PANW PLTR PYPL BAC NIO F
Active options: TSLA AMC JNJ NVDA AAPL KVUE AMZN AMD NKLA MSFT META PANW PLTR GOOGL PYPL BAC NIO GOOG MARA F
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $79, natural gas mixed, gold at $1933

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