Pre-Market IV Report June 27, 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: BAX MCD BAX AMZN ATVI META SPOT ENPH UBS SNAP APRN UBS SKLZ BCTX ENFN VRDN SNAP OPI CGAL CAVA
Stocks expected to have increasing option volume: WBA GIS MU NKE HOOD SNOW NVDA RIDE
Tesla (TSLA) 30-day option implied volatility is at 63; compared to its 52-week range of 44 to 96.
Apple (AAPL) 30-day option implied volatility is at 19; compared to its 52-week range of 17 to 45.
NVIDIA (NVDA) 30-day option implied volatility is at 41; compared to its 52-week range of 39 to 68.
Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 44; compared to its 52-week range of 40 to 69.
Private equity option IV
Blackstone (BX) 30-day option implied volatility is at 30; compared to its 52-week range of 30 to 60. Call put ratio 2.1 calls to 1 put.
Apollo Global Management (APO) 30-day option implied volatility is at 26; compared to its 52-week range of 25 to 59. Call put ratio 1 call to 6.8 puts.
KKR & Co. (KKR) 30-day option implied volatility is at 27; compared to its 52-week range of 25 to 56. Call put ratio 2.7 calls to 1 put.
The Carlyle Group (CG) 30-day option implied volatility is at 26; compared to its 52-week range of 24 to 98. Call put ratio 1 call to 3.6 puts.
TPG (TPG) 30-day option implied volatility is at 38; compared to its 52-week range of 37 to 60.
Ares Management (ARES) 30-day option implied volatility is at 24; compared to its 52-week range of 22 to 96.
Ares Capital (ARCC) 30-day option implied volatility is at 14; compared to its 52-week range of 11 to 82.
Ares Commercial Real Estate (ACRE) 30-day option implied volatility is at 26; compared to its 52-week range of 19 to 79.
Straddle prices into quarter results
Walgreens Boots (WBA) June weekly 31.50 straddle is priced for a move of 7% into the expected release of quarter results today before the bell.
General Mills (GIS) July 82.50 straddle is priced for a move of 5.5% into the expected release of quarter results before the bell on June 28.
Micron (MU) June weekly 65.50 straddle is priced for a move of 7% into the expected release of quarter results after the bell on June 28.
BlackBerry (BB) June weekly 5 straddle is priced for a move of 15% into the expected release of quarter results after the bell on June 28.
Nike (NKE) June weekly 112 straddle is priced for a move of 6% into the expected release of quarter results after the bell on June 29.
Rite Aid (RAD) June weekly 2 straddle is priced for a move of 25% into the expected release of quarter results before the bell on June 29.
Paychex (PAYX) July 110 straddle is priced for a move of 6% into the expected release of quarter results before the bell on June 29.
McCormick & Company (MKC) July 95 straddle is priced for a move of 6% into the expected release of quarter results before the bell on June 29.
Constellation Brands (STZ) June weekly 242,50 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on June 30.
Movers
Activision Blizzard (ATVI) 30-day option implied volatility is at 41; 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 50; 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.
Lordstown Motors (RIDE) 30-day option implied volatility is at 184; compared to its 52-week range of 20 to 214. Call put ratio 1 call to 2.7 puts.
Nikola (NKLA) 30-day option implied volatility is at 226; compared to its 52-week range of 80 to 234.
Options with decreasing option implied volatility: DLO PCT SBSW SIMO ETRN FRO COHR MBLY
Increasing unusual option volume: FGEN OPCH IGT MKC ITA
Increasing unusual call option volume: IGT OPCH FGEN ITA DFLI ACI ASTL SMAR
Increasing unusual put option volume: MKC FGEN CARR CP BMEA BMBL
Popular stocks increasing volume: CCL LCID PLTR INTC PFE COIN UBER SOFI BAC
Active options: TSLA NVDA AMZN AAPL AMD CCL META AMC GOOGL LCID MSFT PLTR MARA INTC PFE COIN UBER SOFI GOOG BAC
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $69.50, natural gas mixed, gold at $1937
