Pre-Market IV Report June 30, 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: UBS TDOC JOBY ALGN META SPOT CMG DPZ BAX HZNP IMNM FREY UGI SD ACI NVO NKE
Stocks expected to have increasing option volume: NKE STZ ROOT SOFI
Option IV low into end of month & quarter
Microsoft (MSFT) 30-day option volatility is at 28; compared to its 52-week range of 19 to 43.
NVIDIA (NVDA) 30-day option implied volatility is at 40; compared to its 52-week range of 39 to 68.
Tesla (TSLA) 30-day option implied volatility is at 60; compared to its 52-week range of 44 to 96.
Apple (AAPL) 30-day option implied volatility is at 20; compared to its 52-week range of 17 to 45 as share price near 52-week high.
Moderna (MRNA) 30-day option implied volatility is at 40; compared to its 52-week range of 40 to 79.
Home Building stocks option IV low as share price near 52-week highs
D. R. Horton (DHI) 30-day option implied volatility is at 29; compared to its 52-week range of 24 to 53 as share price near 52-week high.
Lennar Corp. (LEN) 30-day option implied volatility is at 23; compared to its 52-week range of 22 to 50 as share price near 52-week high.
PulteGroup (PHM) 30-day option implied volatility is at 29; compared to its 52-week range of 24 to 94 as share price near 52-week high.
Straddle prices into quarter results
Constellation Brands (STZ) June weekly 245 straddle is priced for a move of 4% into the expected release of quarter results today before the bell.
Levi Strauss (LEVI) July 15 straddle is priced for a move of 14% into the expected release of quarter results after the bell on July 6.
Arb Movers
Activision Blizzard (ATVI) 30-day option implied volatility is at 40; compared to its 52-week range of 15 to 46 amid M&A events.
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 whether to clear Amazon.com (AMZN) $1.7B acquisition of the maker of robot vacuum cleaner, according to a European Commission filing.
Horizon Therapeutics (HZNP) 30-day option implied volatility is at 22; compared to its 52-week range of 4 to 82.
World Wrestling Entertainment (WWE) 30-day option implied volatility is at 29; compared to its 52-week range of 26 to 249.
Endeavor Group Holdings Inc. (EDR) 30-day option implied volatility is at 26; compared to its 52-week range of 26 to 79.
Movers
SoFi Technologies (SOFI) 30-day option implied volatility is at 69; compared to its 52-week range of 52 to 105 into The Supreme Court is expected to make a decision on President Joe Biden’s student loan forgiveness plan.
Options with decreasing option implied volatility: SIMO KMX CCL MU SGEN WBA GIS
Increasing unusual option volume: BTAI JOBY GES SSYS ACHR ARLO
Increasing unusual call option volume: SSYS JOBY BTAI ACHR OSTK FREY NFE
Increasing unusual put option volume: BBIO JOBY BMRN ICPT OSTK FREY SPCE LUMN RIDE
Popular stocks increasing volume: SOFI MARA LCID RIVN CCL BAC CVNA JPM PLTR
Active options: TSLA AAPL NVDA AMD MU AMZN AMC SPCE SOFI MARA LCID F RIVN CCL META BAC MSFT CVNA JPM PLTR
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $70, natural gas mixed, gold at $1914
