Pre-Market IV Report June 1, 2023

Pre-Market IV Report June 1, 2023

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Pre-Market IV Report June 1, 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: NKE BUD XELA AI IEP AVGO IRBT IGMS MCB NVAX MRVI SOFI MPW FRPT NWL BITO SGEN BKI EWG

Stocks expected to have increasing option volume: CRM CRWD NTAP AI PSTG CHWY JWN OKTA PVH VSCO

SPDR S&P 500 ETF Trust (SPY) June weekly call option implied volatility is at 17, June is at 14; compared to its 52-week range of 13 to 31 into May employment report on June 2.

PowerShares QQQ Trust (QQQ) June weekly call option implied volatility is at 25, June is at 22; compared to its 52-week range of 17 to 39 into May employment report on June 2.

United States Oil Fund (USO) 30-day option implied volatility is at 39; compared to its 52-week range of 30 to 52 into OPEC+ meeting on June 4.

Chips

NVIDIA (NVDA) 30-day option implied volatility is at 47; compared to its 52-week range of 41 to 68.

Broadcom (AVGO) 30-day option implied volatility is at 57; compared to its 52-week range of 23 to 57.

Marvell Technology (MRVL) 30-day option implied volatility is at 48; compared to its 52-week range of 45 to 70.

Intel (INTC) 30-day option implied volatility is at 40; compared to its 52-week range of 27 to 59. Call put ratio 4 calls to 1 put with focus on June calls.

Apple (AAPL) 30-day option implied volatility is at 23; compared to its 52-week range of 19 to 45 into WWDC on June 5, 2023.

Straddle prices into quarter results

Dollar General (DG) June weekly 200 straddle is priced for a move of 6.5% into the expected release of quarter results today before the bell.

Dell Technologies (DELL) June weekly 45 straddle is priced for a move of 7% into the expected release of quarter results today after the bell.

Hormel (HRL) June weekly 38 straddle is priced for a move of 6.5% into the expected release of quarter results today before the bell.

lululemon athletica (LULU) June weekly 332 straddle is priced for a move of 9% into the expected release of quarter results today after the bell.

Five Below (FIVE) June weekly straddle 172 is priced for a move of 8% into the expected release of quarter results today after the bell.

Zscaler (ZS) June weekly 135 straddle is priced for a move of 10% into the expected release of quarter results today after the bell.

Macy’s (M) June weekly 13.50 straddle is priced for a move of 13% into the expected release of quarter results today before the bell.

Chargepoint Holdings Inc. (CHPT) June weekly 9.5% straddle is priced for a move of 12% into the expected release of quarter results today after the bell.

PagerDuty (PD) June 25 straddle is priced for a move of 14% into the expected release of quarter results today after the bell.

Asana (ASAN) June weekly 24 straddle is priced for a move of 14% into the expected release of quarter results today after the bell.

Designer Brands (DBI) June 6 straddle is priced for a move of 18% into the expected release of quarter results today.

Lands End (LE) June 5 straddle is priced for a move of 18% into the expected release of quarter results today before the bell.

Movers

Activision Blizzard (ATVI) 30-day option implied volatility is at 25; compared to its 52-week range of 15 to 46 into next week’s global launch of a next-generation installment of Blizzard’s Diablo franchise, Diablo IV.

Advance Auto Parts (AAP) 30-day option implied volatility is at 43; compared to its 52-week range of 25 to 48.

AutoZone (AZO) 30-day option implied volatility is at 22; compared to its 52-week range of 19 to 37.

O’Reilly Automotive (ORLY) 30-day option implied volatility is at 22; compared to its 52-week range of 17 to 36.
Sarepta Therapeutics (SRPT) 30-day option implied volatility is at 71; compared to its 52-week range of 39 to 143 into PDUFA on June 22.

Options with decreasing option implied volatility: GPS ELF PDD CPRI VFC BBY BURL SPLK PANW DLTR ULTA
Increasing unusual option volume: BOX ARMK RYAM VVV VGK NNOX MFA TIP KD IVZ
Increasing unusual call option volume: PEP MFA NNOX HZNP AAP TIP BOX NTAP PATH VUZI
Increasing unusual put option volume: TSN GETY AAP VGK IP NVS OHI EL NTAP CNK H NTR BMBL ETRN BKLN VSCO MTB
Popular stocks increasing volume: TGT SOFI INTC PLTR AI BAC MRVL NIO PFE CRM
Active options: TSLA NVDA AAPL SOFI INTC AMZN AMD PLTR MSFT AI META F GOOGL BAC MRVL NIO PFE CRM TGT SNOW UPST
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $68.25, natural gas down 1%, gold at $1972

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