Pre-Market IV Report December 4, 2023

Pre-Market IV Report December 4, 2023

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Pre-Market IV Report December 4, 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: TMF GME VNO HCA CI GLD CPRI REPL RPHM LMNR TERN UPST HCP WISH VNO BASE

Stocks expected to have increasing option volume: HA ALK UAL AAL DAL GME AZO TOL UBER JBL BLDR LULU SPOT SFIX GDX COIN SLG CVS

Walmart (WMT) 30-day option implied volatility is at 14; compared to its 52-week range of 12 to 27.

Gold and Bitcoin option IV as prices trend higher

Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 31; compared to its 52-week range of 25 to 40 as gold trades above $2090.

Coinbase (COIN) 30-day option implied volatility is at 68; compared to its 52-week range of 59 to 130 as Bitcoin trades above $40,000.

Citigroup (C) option implied volatility is at 21; compared to its 52-week range of 21 to 51.

Ford Motor (F) 30-day option implied volatility is at 26; compared to its 52-week range of 26 to 577 into November sales data.

Pfizer (PFE) 30-day option implied volatility is at 25; compared to its 52-week range of 18 to 34 as share price near low end of range.

Ishares U.S. Aerospace & Defense Etf (ITA) 30-day option implied volatility is at 14; compared to its 52-week range of 12 to 26 as share price near upper end of range.

ImmunityBio (IBRX) 30-day option implied volatility is at 106; compared to its 52-week range of 67 to 214.

Airline option IV into ALK HA deal

Alaska Air (ALK) December option implied volatility is at 36, January is at 34; compared to its 52-week range of 25 to 204 into acquiring Hawaiian Airlines (HA) for a transaction value of approximately $1.9B.

Hawaiian Holdings (HA) December option implied volatility is at 85, January is at 84; compared to its 52-week range of 42 to 103 into Alaska Airlines (ALK) acquiring Hawaiian Airline for $18 per share in cash, for a transaction value of approximately $1.9B. Call put ratio 6.5 calls to 1 put with focus on April 4 calls.

United Airlines (UAL) 30-day option implied volatility is at 33; compared to its 52-week range of 30 to 54 into Alaska Air (ALK) Hawaiian Holdings (HA) deal.

American Airlines (AAL) 30-day option implied volatility is at 33; compared to its 52-week range of 28 to 55.

Delta Air Lines (DAL) 30-day option implied volatility is at 28; compared to its 52-week range of 25 to 48.

Straddle prices into quarter results

AutoZone (AZO) December 2640 straddle is priced for a move of 6% into the expected release of quarter results before the bell on December 5.

Nio Inc (NIO) December weekly 7 straddle is priced for a move of 11% into the expected release of quarter results before the bell on December 5.

Tol Brothers (TOL) December weekly 88 straddle is priced for a move of 7% into the expected release of quarter results after the bell on December 5.

Signet Jewelers (SIG) December weekly 85 straddle is priced for a move of 9% into the expected release of quarter results before the bell on December 5.

J.M. Smucker (SJM) December 110 straddle is priced for a move of 5% into the expected release of quarter results before the bell on December 5.

Box (BOX) December 26 straddle is priced for a move of 7% into the expected release of quarter results after the bell on December 5.

Asana (ASAN) December weekly 22.50 straddle is priced for a move of 14% into the expected release of quarter results after the bell on December 5.

SentinelOne (S) December weekly 20 straddle is priced for a move of 12% into the expected release of quarter results after the bell on December 5.

Dave & Buster (PLAY) December 43 straddle is priced for a move of 15% into the expected release of quarter results after the bell on December 5.

Designer Brands (DBI) December 12 straddle is priced for a move of 13% into the expected release of quarter results before the bell on December 5.

Stitch Fix (SFIX) December weekly 4 straddle is priced for a move of 20% into the expected release of quarter results after the bell on December 5.

C3.ai (AI) December weekly 31 straddle is priced for a move of 8% into the expected release of quarter results after the bell on December 6.

GameStop (GME) December weekly 15 straddle is priced for a move of 30% into the expected release of quarter results after the bell on December 6.

SL Green Realty (SLG) 30-day option implied volatility is at 54; compared to its 52-week range of 36 to 158 into hosting an investor day on December 4. Call put ratio 3.9 calls to 1 put.
   
Builders FirstSource (BLDR) 30-day option implied volatility is at 41; compared to its 52-week range of 33 to 89 into hosting an investor day on December 5.

CVS Health (CVS) 30-day option implied volatility is at 23; compared to its 52-week range of 19 to 35 into hosting an investor day on December 5.

Options with decreasing option implied volatility: FL IMGN IMVT AMBA OKTA IOT DWAC DLTR
Increasing unusual option volume: PTEN ALT VAC WB EYPT MBLY RIO VST LYFT ETRN
Increasing unusual call option volume: WB ALT VY IJR ESTC FTI ZI
Increasing unusual put option volume: ESTC IMGN GDDY SELL SABR BIG MBLY
Popular stocks with increasing volume: PFE SOFI BAC PLTR COIN AMC CRM
Active options: TSLA NVDA AAPL MSFT AMZN AMD MARA META BABA PFE SOFI BAC UPST PLTR COIN AMC AFRM GOOG CRM
Global S&P Futures mixed to in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $73, natural gas down 4%, gold at $2087

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