Pre-Market IV Report June 13, 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: ORCL DPST MVIS GIS PLUG TRUP AVXL FGEN NETI NDAQ
Stocks expected to have increasing option: ORCL AMD HD ADBE LEN CVNA TGT CHGG KR CCL CRM
Tesla (TSLA) 30-day option implied volatility is at 56; compared to its 52-week range of 44 to 96 as shares trend higher.
NVIDIA (NVDA) 30-day option implied volatility is at 40; compared to its 52-week range of 39 to 68.
United States Oil Fund (USO) 30-day option implied volatility is at 36; compared to its 52-week range of 30 to 52 as WTI crude trades $67.50.
SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 32; compared to its 52-week range of 30 to 62 as WTI crude trades $67.50.
Energy Select Sector SPDR ETF (XLE) 30-day option implied volatility is at 24; compared to its 52-week range of 23 to 49.
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 12; compared to its 52-week range of 11 to 31 into FOMC meeting.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 19; compared to its 52-week range of 17 to 39.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 38; compared to its 52-week range of 21 to 81 amid Morgan Stanley Financial Services conference.
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 16; compared to its 52-week range of 15 to 37 amid Morgan Stanley Financial Services conference.
Option implied volatility for Cruise Stocks
Royal Caribbean Cruises (RCL) 30-day option implied volatility is at 36; compared to its 52-week range of 35 to 91.
Carnival Cruise Lines (CCL) 30-day option implied volatility is at 64; compared to its 52-week range of 47 to 101. Call put ratio 2.8 calls to 1 put.
Norwegian Cruise Line (NCLH) 30-day option implied volatility is at 47; compared to its 52-week range of 42 to 100.
Option IV into events
Salesforce (CRM) 30-day option implied volatility is at 29; compared to its 52-week range of 26 to 54 amid ‘Salesforce AI Day’.
Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 51; compared to its 52-week range of 40 to 69 into event talking to forthcoming data center technologies on June 13.
Home Depot (HD) 30-day option implied volatility is at 21; compared to its 52-week range of 19 to 39 into June 13 Analyst Day.
Snowflake (SNOW) 30-day option implied volatility is at 51; compared to its 52-week range of 47 to 91 into Snowflake Summit 2023 live in Las Vegas, Nevada from June 26-29, 2023.
Straddle prices into quarter results
Lennar (LEN) June 115 straddle is priced for a move of 5% into the expected release of quarter results after the bell on June 14.
Adobe (ADBE) June 475 straddle is priced for a move of 7% into the expected release of quarter results after the bell on June 15.
Kroger (KR) June 46.50 straddle is priced for a move of 6% into the expected release of quarter results before the bell on June 15.
Movers
Carvana Co. (CVNA) 30-day option implied volatility is at 173; compared to its 52-week range of 112 to 267.
Target (TGT) 30-day option implied volatility is at 30; compared to its 52-week range of 25 to 52 on active options volume of 133K contracts.
M&A IV
Activision Blizzard (ATVI) 30-day option implied volatility is at 30; compared to its 52-week range of 15 to 46.
Horizon Therapeutics (HZNP) 30-day option implied volatility is at 20; compared to its 52-week range of 5 to 82.
iRobot Corp. (IRBT) 30-day option implied volatility is at 108; compared to its 52-week range of 8 to 113.
VMware (VMW) 30-day option implied volatility is at 40; compared to its 52-week range of 14 to 78.
NASDAQ (NDAQ) 30-day option implied volatility is at 32; compared to its 52-week range of 16 to 243 after acquires Adenza from Thoma Bravo. Option volume was active on 20K contracts.
Options with decreasing option implied volatility: DOCU ARPN GTLB GME ASO VKTX TCOM CPB HZNP
Increasing unusual option volume: RC NDAQ CWH NETI PBR
Increasing unusual call option volume: PBR CWH NETI TRUP SAVE
Increasing unusual put option volume: GRPN K NKLA MVIS VMW ORCL
Popular stocks increasing volume: CVNA NIO SOFI PLTR COIN DOCU PTON BABA INTC PYPL TGT CCL
Active options: TSLA NVDA AAPL AMD CVNA NIO AMZN SOFI PLTR NFLX F MSFT COIN GOOGL DOCU PTON BABA INTC PYPL
Global S&P Futures mixed in premarket, Nikkei up 1.5%, DAX mixed, WTI Crude oil recently at $67.50, natural gas up, gold at $1976
