Pre-Market IV Report March 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: BBIO AUPH RCUS PRVB RILY FF MBI AI INDI PHG DB MANU
Stocks expected to have increasing option volume: WBA MU CRM FRC
Bank option IV into end of month and quarter
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 31; compared to its 52-week range of 17 to 37.
Spdr S&P Bank Etf (KBE) 30-day option implied volatility is at 52; compared to its 52-week range of 21 to 71.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 61; compared to its 52-week range of 21 to 81.
Euro bank option IV into end of month and quarter
Credit Suisse (CS) 30-day option implied volatility is at 85; compared to its 52-week range of 30 to 301.
UBS AG (UBS) 30-day option implied volatility is at 51; compared to its 52-week range of 19 to 63.
Deutsche Bank (DB) 30-day option implied volatility is at 92; compared to its 52-week range of 25 to 101.
Barclays plc (BCS) 30-day option implied volatility is at 55; compared to its 52-week range of 24 to 103.
HSBC Holdings (HSBC) 30-day option implied volatility is at 35; compared to its 52-week range of 19 to 40.
Lloyds Banking Group (LYG) 30-day option implied volatility is at 36; compared to its 52-week range of 22 to 99.
Energy, Gold Option IV into end of month and quarter
United States Oil Fund (USO) 30-day option implied volatility is at 44; compared to its 52-week range of 32 to 70.
United States Natural Gas (UNG) 30-day option implied volatility is at 88; compared to its 52-week range of 57 to 120.
Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 40; compared to its 52-week range of 31 to 50.
First Republic Bank (FRC) 30-day option implied volatility is at 369; compared to its 52-week range of 24 to 403.
Straddle prices into quarter results
Carnival Corp (CCL) March weekly 9 straddle priced for a move of 14% into the expected release of quarter results today before the bell.
PVH Corp (PVH) April 70 straddle priced for a move of 14% into the expected release of quarter results after the bell on March 27.
lululemon athletica (LULU) March weekly 312 straddle priced for a move of 9% into the expected release of quarter results after the bell on March 28.
Walgreens Boots (WBA) March weekly 32 straddle priced for a move of 6% into the expected release of quarter results before the bell on March 28.
Micron (MU) March weekly 61 straddle priced for a move of 7% into the expected release of quarter results after the bell on March 28.
McCormick (MCK) March weekly 345 straddle priced for a move of 4% into the expected release of quarter results before the bell on March 28.
Options with decreasing option implied volatility: NYCB ARRY LNC HTZ CRK CVE NWL ONON STWD ARCC ZI ALL BK HAS WWE INMD VET
Increasing unusual option volume: FRC TIP OZK DPST RVLV ZION DB GLBE
Increasing unusual call option volume: TIP DPST BNS CX VORB EWJ
Increasing unusual put option volume: RVLV DB SLG HTZ RF VMW
Popular stocks increasing options volume: NFLX BAC FRC ATVI SQ COIN GME BABA C DB WFC
Active options: TSLA NVDA AAPL AMZN NFLX BAC FRC ATVI AMD META MSFT GOOGL SQ GOOG COIN GME BABA C DB WFC
Global S&P Futures mixed in premarket, Nikkei mixed, DAX up 0.9%, WTI Crude oil recently at $69, natural gas down 5%, gold at $1969
