Pre-Market IV Report June 2, 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: AVGO NKE SGEN UCAR BTAI TLYS QURE ZUMZ DWAC EURN LEU CSBR VMW CORN HZNP
Stocks expected to have increasing option volume: MDB PD FIVE LULU CHPT AVGO ASAN ZUMZ VMW DELL
SPDR S&P 500 ETF Trust (SPY) June weekly call option implied volatility is at 16, June is at 13; compared to its 52-week range of 13 to 31 into May employment report.
PowerShares QQQ Trust (QQQ) June weekly call option implied volatility is at 24, June is at 20; compared to its 52-week range of 17 to 39 into May employment report.
Option IV into OPEC+ meeting on June 4
United States Oil Fund (USO) 30-day option implied volatility is at 38; compared to its 52-week range of 30 to 52 into OPEC+ meeting on June 4.
Chevron (CVX) 30-day option implied volatility is at 25; compared to its 52-week range of 22 to 44.
ExxonMobil (XOM) 30-day option implied volatility is at 28; compared to its 52-week range of 24 to 47.
BP plc (BP) 30-day option implied volatility is at 28; compared to its 52-week range of 24 to 48.
Occidental Petroleum (OXY) 30-day option implied volatility is at 31; compared to its 52-week range of 30 to 69 into OPEC+ meeting on June 4.
Devon Energy (DVN) 30-day option implied volatility is at 38; compared to its 52-week range of 35 to 70.
Halliburton (HAL) 30-day option implied volatility is at 42; compared to its 52-week range of 37 to 63.
SLB (SLB) 30-day option implied volatility is at 38; compared to its 52-week range of 34 to 61 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 51; compared to its 52-week range of 23 to 57 into quarter results.
Marvell Technology (MRVL) 30-day option implied volatility is at 46; compared to its 52-week range of 45 to 70.
Apple (AAPL) 30-day option implied volatility is at 22; compared to its 52-week range of 19 to 45 into WWDC on June 5, 2023.
Walt Disney (DIS) 30-day option implied volatility is at 25; compared to its 52-week range of 24 to 49.
Netflix (NFLX) 30-day option implied volatility is at 38; compared to its 52-week range of 31 to 86.
Warner Bros. Discovery (WBD) 30-day option implied volatility is at 46; compared to its 52-week range of 45 to 75.
Straddle prices into quarter results
J. M. Smucker (SJM) June 45 straddle is priced for a move of 5% into the expected release of quarter results before the bell on June 6.
Ciena (CIEN) June 50 straddle is priced for a move of 10% into the expected release of quarter results after the bell on June 6.
Cracker Barrel (CBRL) June 100 straddle is priced for a move of 8% into the expected release of quarter results before the bell on June 6.
Dave & Busters (PLAY) June 30 straddle is priced for a move of 11% into the expected release of quarter results after the bell on June 6.
Stitch Fix (SFIX) June weekly 3.5 straddle is priced for a move of 23% into the expected release of quarter results after the bell on June 6.
Campbell Soup (CPB) June weekly 51 straddle is priced for a move of 4% into the expected release of quarter results before the bell on June 7.
Gamestop (GME) June weekly 24 straddle is priced for a move of 14% into the expected release of quarter results after the bell on June 7.
Movers
Activision Blizzard (ATVI) 30-day option implied volatility is at 24; 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.
Sarepta Therapeutics (SRPT) 30-day option implied volatility is at 70; compared to its 52-week range of 39 to 143 into PDUFA on June 22.
Stratasys Ltd. (SSYS) 30-day option implied volatility is at 41; compared to its 52-week range of 28 to 94.
iRobot (IRBT) 30-day option implied volatility is at 90; compared to its 52-week range of 9 to 99 into EU antitrust ruling.
Options with decreasing option implied volatility: M CPRI UVIX PACW GPS ELF CPRI OKTA CHWY PSTG BBY SPLK JWN BURL CHWY
Increasing unusual option volume: FIVE LXRX AAP VVV DG IVZ IRBT PD DELL IRBT ETRN DV
Increasing unusual call option volume: OKTI CHWY VMW ETRN IVZ MAC AAP HZNP PD VUZI DG PSTG
Increasing unusual put option volume: TSN AAP DG IP DELL FGEN IOT GTLB FIVE OTLY NTR S SIMO NU
Popular stocks increasing volume: PLTR AI SOFI BABA CVNA CRM
Active options: TSLA NVDA AAPL PLTR AMZN META AMD AI SOFI BABA MSFT CVNA MARA NFLX GOOGL CRM CCJ LCID CHPT UPST
Global S&P Futures mixed in premarket, Nikkei up 1%, DAX mixed, WTI Crude oil recently at $71, natural gas mixed, gold at $1997
