Pre-Market IV Report May 18, 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: BHC ORCL KR ISEE TGNA SPRY IMVT ZNTL SQM CHRS IONQ BOWL WWE FORG INCY TSN
Stocks expected to have increasing option volume: CSCO WMT AMAT FL GOOS NEWR BABA BBWI TEVA ITW SNOW TTWO DE MU SONY
AAPL & TSLA option IV
Apple (AAPL) 30-day option implied volatility is at 20; compared to its 52-week range of 20 to 45 into Apple WWDC 2023 on June 5.
Tesla (TSLA) 30-day option implied volatility is at 45; compared to its 52-week range of 45 to 96
ARK Innovation ETF (ARKK) 30-day option implied volatility is at 37; compared to its 52-week range of 38 to 83.
Technology Select Sector Spdr Fund (XLK) 30-day option implied volatility is at 18; compared to its 52-week range of 18 to 39.
Micron (MU) 30-day option implied volatility is at 38; compared to its 52-week range of 34 to 62 into shares trading up before the bell.
Sony (SONY) 30-day option implied volatility is at 21; compared to its 52-week range of 20 to 44 into shares trading up before the bell. Call put ratio 23 calls to 1 put on active volume of 4K contracts.
Bank option IV
JPMorgan (JPM) 30-day option implied volatility is at 22; compared to its 52-week range of 20 to 44.
Wells Fargo (WFC) 30-day option implied volatility is at 29; compared to its 52-week range of 22 to 51.
Bank of America (BAC) 30-day option implied volatility is at 26; compared to its 52-week range of 22 to 50.
Citigroup (C) 30-day option implied volatility is at 27; compared to its 52-week range of 23 to 51.
Goldman Sachs (GS) 30-day option implied volatility is at 22; compared to its 52-week range of 22 to 44.
Morgan Stanley (MS) 30-day option implied volatility is at 25; compared to its 52-week range of 22 to 46.
U.S. Bancorp (USB) 30-day option implied volatility is at 47; compared to its 52-week range of 20 to 62.
PNC Financial (PNC) 30-day option implied volatility is at 32; compared to its 52-week range of 22 to 55.
Charles Schwab (SCHW) 30-day option implied volatility is at 38; compared to its 52-week range of 26 to 104 into said to sell $2.5B in senior notes, reports WSJ.
Capital One Financial (COF) 30-day option implied volatility is at 34; compared to its 52-week range of 30 to 54.
KeyCorp (KEY) 30-day option implied volatility is at 58; compared to its 52-week range of 24 to 186.
Truist (TFC) 30-day option implied volatility is at 47; compared to its 52-week range of 23 to 99.
Straddle prices into quarter results
Ross Stores (ROST) May 104 straddle is priced for a move of 7% into the expected release of quarter results today.
Walmart (WMT) May 150 straddle is priced for a move of 3.5% into the expected release of quarter results today before the bell.
Applied Material (AMAT) May 125 straddle is priced for a move of 3.5% into the expected release of quarter results today after the bell.
Canadian Solar (CSIQ) May 39 straddle is priced for a move of 8% into the expected release of quarter results before the bell.
Canada Goose (GOOS) May 20,50 straddle is priced for a move of 14% into the expected release of quarter results before the bell.
Farfetch (FTCH) May 4 straddle is priced for a move of 15% into the expected release of quarter results today.
Deere (DE) May 367 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on May 19.
Foot Locker (FL) May 41.50 straddle is priced for a move of 10% into the expected release of quarter results before the bell on May 19.
Option IV into events
Illinois Tool Works (ITW) 30-day option implied volatility is at 22; compared to its 52-week range of 19 to 35 into hosting a virtual investor day on May 18.
Teva (TEVA) 30-day option implied volatility is at 34; compared to its 52-week range of 29 to 56 into hosting a virtual investor day on May 18.
Movers
New Relic (NEWR) 30-day option implied volatility is at 57; compared to its 52-week range of 36 to 126 after WSJ says PE firms in takeover talks.
Bausch Health Co. Inc. (BHC) 30-day option implied volatility is at 92; compared to its 52-week range of 43 to 245 amid wide price movement. Option volume was active on 99K contracts.
Ford (F) 30-day option implied volatility is at 32; compared to its 52-week range of 32 to 587.
Options with decreasing option implied volatility: BYND TTD IQ MCB WAL SRPT IEP BYND ZION IQ OZK YETI DWAC HOOD KEY
Increasing unusual option volume: HZNP RYAM UL TGI IONQ KNX VIPS MODG EVGO
Increasing unusual call option volume: UL HZNP TGI ABR VIPS IONQ MODG XP
Increasing unusual put option volume: EVGO BHC KNX HZNP TPX GRAB AMGN
Popular stocks increasing volume: BABA PLTR BAC AMC PYPL DIS AI HZNP UPST CCL SCHW
Active options: TSLA AMZN AAPL NVDA AMD GOOGL BABA META MSFT PLTR BAC AMC PYPL GOOG DIS AI HZNP UPST CCL SCHW
Global S&P Futures mixed in premarket, Nikkei up 1.5%, DAX up 1%, WTI Crude oil recently at $72.50, natural gas mixed, gold at $1979
