Pre-Market IV Report June 12, 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: CVNA MVIS NEXT FGEN QURE CVNA APRN AVXL PI PTON PLAY SGEN
Stocks expected to have increasing option: ORCL AMD BIIB HD CVNA ILMN ATVI THC NIO
Option IV into events
Oracle (ORCL) June option implied volatility is at 65, July is at 33; compared to its 52-week range of 18 to 52 into the expected release of quarter results today after the bell.
Salesforce (CRM) 30-day option implied volatility is at 29; compared to its 52-week range of 26 to 54 into the expected release of Oracle (ORCL) quarter results.
Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 53; compared to its 52-week range of 40 to 69 into data center presentation on June 13.
Home Depot (HD) 30-day option implied volatility is at 20; compared to its 52-week range of 19 to 39 into June 13 Analyst Day.
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 11; compared to its 52-week range of 11 to 31 into FOMC meeting.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 18; compared to its 52-week range of 17 to 39 into FOMC meeting.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 37; compared to its 52-week range of 21 to 81 into Morgan Stanley Financial services conference.
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 15; compared to its 52-week range of 15 to 37 into Morgan Stanley Financial services conference.
United States Oil Fund (USO) 30-day option implied volatility is at 32; compared to its 52-week range of 30 to 52 as WTI crude trades $69.
Snowflake (SNOW) 30-day option implied volatility is at 49; compared to its 52-week range of 47 to 91 into Snowflake Summit 2023 live in Las Vegas, Nevada from June 26-29, 2023.
Chinese companies’ American depositary receipts option implied volatility after the end of Covid Zero.
JD.com (JD) 30-day option implied volatility is at 42; compared to its 52-week range of 41 to 83.
Alibaba (BABA) 30-day option implied volatility is at 39; compared to its 52-week range of 39 to 77.
NIO Inc. (NIO) 30-day option implied volatility is at 67; compared to its 52-week range of 63 to 110.
Pinduoduo (PDD) 30-day option implied volatility is at 51; compared to its 52-week range of 45 to 102.
KraneShares CSI China Internet ETF (KWEB) 30-day option implied volatility is at 38; compared to its 52-week range of 36 to 75.
Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 38.
iShares China Large-Cap (FXI) 30-day option implied volatility is at 26; compared to its 52-week range of 26 to 52.
Movers
Carvana Co. (CVNA) 30-day option implied volatility is at 202; compared to its 52-week range of 112 to 267.
Straddle prices into quarter results
Oracle (ORCL) June 107 straddle is priced for a move of 6% into the expected release of quarter results today after the bell.
Lordstown Motors (RIDE) June 3 straddle is priced for a move of 23% into the expected release of quarter results today.
Lennar (LEN) June 114 straddle is priced for a move of 4% into the expected release of quarter results after the bell on June 14.
Adobe (ADBE) June 455 straddle is priced for a move of 6.5% into the expected release of quarter results after the bell on June 15.
Kroger (KR) June 46 straddle is priced for a move of 6% into the expected release of quarter results before the bell on June 15.
Biogen (BIIB) 30-day option implied volatility is at 31; compared to its 52-week range of 24 to 97 into FDA panel votes 6-0 to back Biogen, Eisai’s Leqembi.
Options with decreasing option implied volatility: APRN GTLB DOCU MCB ASO FHN TCOM CAH LNG CPB
Increasing unusual option volume: FGEN PL AMPX PI JCI AVXL GXO VRT
Increasing unusual call option volume: JCI AVXL FGEN NVS PLAY HCP PL AMPX SIMO
Increasing unusual put option volume: MVIS EWJ BKR CVNA MXEA IOT FGEN OHI PZZA OTLY
Popular stocks increasing volume: CVNA SOFI PLTR COIN GM BABA
Active options: TSLA AAPL AMD CVNA NIO AMZN SOFI NFLX PLTR F MSFT META COIN GOOGL DOCU PTON BABA INTC PYPL
Global S&P Futures mixed to lower in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $69, natural gas mixed, gold at $1974
