Pre-Market IV Report June 26, 2023

Pre-Market IV Report June 26, 2023

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Pre-Market IV Report June 26, 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: APRN UBS ATVI IBM CVAC APLD BMEA CVAC AMPX AVDL EURN APLS WPC UBS STR BCS HZNP GD SBUX VST

Stocks expected to have increasing option volume: CCL DAL NKE MU GIS IBM

Movement

Tesla (TSLA) 30-day option implied volatility is at 61; compared to its 52-week range of 44 to 96 on 3.5M contracts.

IBM (IBM) 30-day option implied volatility is at 22; compared to its 52-week range of 15 to 39 into IBM near deal to acquire Apptio for $5B, WSJ reports.

Overstock.com (OSTK) 30-day option implied volatility is at 65; compared to its 52-week range of 55 to 100.

Eli Lilly & Co. (LLY) 30-day option implied volatility is at 21; compared to its 52-week range of 21 to 38.

Delta Air Lines (DAL) 30-day option implied volatility is at 31; compared to its 52-week range of 28 to 61 into investor meeting on June 27.

AMC Entertainment (AMC) 30-day option implied volatility is at 109; compared to its 52-week range of 73 to 592.

GameStop (GME) 30-day option implied volatility is at 54; compared to its 52-week range of 54 to 133.

Oil option IV

United States Oil Fund (USO) 30-day option implied volatility is at 33; compared to its 52-week range of 30 to 52 as WTI Crude trades $69.50.

SPDR S&P Oil & Gas Exploration & Production Etf (XOP) 30-day option implied volatility is at 29; compared to its 52-week range of 29 to 62.

Market Vectors Oil Services Etf (OIH) 30-day option implied volatility is at 32; compared to its 52-week range of 32 to 62.

Halliburton (HAL) 30-day option implied volatility is at 38; compared to its 52-week range of 35 to 63 as WTI Crude trades $69.50.

SLB (SLB) 30-day option implied volatility is at 36; compared to its 52-week range of 32 to 61.

ExxonMobil (XOM) 30-day option implied volatility is at 24; compared to its 52-week range of 23 to 47 as WTI Crude trades $69.50.

Chevron (CVX) 30-day option implied volatility is at 21; compared to its 52-week range of 21 to 44.

Occidental Petroleum (OXY) 30-day option implied volatility is at 25; compared to its 52-week range of 25 to 69.

Japanese stocks option IV as Yen nears 150 per Dollar

Ishares Msci Japan Etf (EWJ) 30-day option implied volatility is at 16; compared to its 52-week range of 13 to 60 Yen nears 150 per Dollar.

Mizuho Financial Group, Inc. (MFG) 30-day option implied volatility is at 31; compared to its 52-week range of 20 to 44.

Nomura Holdings (NMR) 30-day option implied volatility is at 25; compared to its 52-week range of 21 to 39.

Mitsubishi UFJ Financial Group Inc (MUFG) 30-day option implied volatility is at 24; compared to its 52-week range of 21 to 42.

Toyota Motor (TM) 30-day option implied volatility is at 20; compared to its 52-week range of 16 to 78.

Sony (SONY) 30-day option implied volatility is at 21; compared to its 52-week range of 19 to 45.

Honda Motor (HMC) 30-day option implied volatility is at 20; compared to its 52-week range of 14 to 32.

Office option IV

Boston Properties (BXP) 30-day option implied volatility is at 37; compared to its 52-week range of 23 to 109.

SL Green Realty (SLG) 30-day option implied volatility is at 70; compared to its 52-week range of 33 to 158. Call put ratio 1 call to 3. 3 puts.

Vornado Realty Trust (VNO) 30-day option implied volatility is at 53; compared to its 52-week range of 28 to 148. Call put ratio 1 call to 2.2 puts.

Blackstone (BX) 30-day option implied volatility is at 31; compared to its 52-week range of 30 to 60.

Simon Property Group (SPG) 30-day option implied volatility is at 22; compared to its 52-week range of 21 to 88.

Starwood Property Trust (STWD) 30-day option implied volatility is at 25; compared to its 52-week range of 17 to 105.

Camden Property Trust (CPT) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 37.

Prologis (PLD) 30-day option implied volatility is at 23; compared to its 52-week range of 22 to 78.

Option IV

Straddle prices into quarter results

Carnival Cruise Lines (CCL) June weekly 16 straddle is priced for a move of 13% into the expected release of quarter results today.

Walgreens Boots (WBA) June weekly 31.50 straddle is priced for a move of 6.5% into the expected release of quarter results before the bell on June 27.

General Mills (GIS) July 80 straddle is priced for a move of 5% into the expected release of quarter results before the bell on June 28.

Micron (MU) June weekly 65 straddle is priced for a move of 6.5% into the expected release of quarter results after the bell on June 28.

Movers

Activision Blizzard (ATVI) 30-day option implied volatility is at 38; compared to its 52-week range of 15 to 46. Events July 18 — when the initial Microsoft (MSFT) acquisition agreement expires (which can be extended if both companies agree) — and August 2, when an evidentiary hearing will be held in the Federal Trade Commission’s lawsuit to nix the Microsoft-Activision merger.

iRobot (IRBT) 30-day option implied volatility is at 55; compared to its 52-week range of 9 to 120 into EU antitrust regulators will decide by July 6 whether to clear Amazon.com (AMZN) $1.7B acquisition of the maker of robot vacuum cleaner, according to a European Commission filing.

Options with decreasing option implied volatility: SRPT VLY CVE SBSW HIMS CRK AUPH NWL SOFI GME
Increasing unusual option volume: VRT SWBI UMC MCHI LW KMX
Increasing unusual call option volume: SWBI VRT ITUB LW HZNP KMX FGEN
Increasing unusual put option volume: CARR EWJ BMEA SPCE KMX XPO
Popular stocks increasing volume: SOFI COIN PLTR BAC CCL SNAP NIO CNVA
Active options: TSLA AMZN AAPL NVDA AMD META MARA INTC SOFI AMC COIN PLTR MSFT BAC GOOGL CCL SNAP NIO CNVA NFLX

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