Pre-Market IV Report May 24, 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: KMX FDX PLTR ZNTL LFCR AMAM RXRX CTIC TGTX PLCE RLAY ASAN WH AVXL YELP PLTR PBRA NEWR GLDD HZO MRCY
Stocks expected to have increasing option volume: PTCT VFC URBN A TOL LSTR PANW INTU VFC
Broadcom (AVGO) 30-day option implied volatility is at 31; compared to its 52-week range of 23 to 48 as shares near record high. Call put ratio 2.4 calls to 1 put after Apple (AAPL) expands US chip sourcing with AVGO.
Covid vaccine makers option IV amid China Covid scare
Moderna (MRNA) 30-day option implied volatility is at 46; compared to its 52-week range of 42 to 81.
BioNTech (BNTX) 30-day option implied volatility is at 40; compared to its 52-week range of 33 to 74.
Novavax (NVAX) 30-day option implied volatility is at 90; compared to its 52-week range of 90 to 153.
Eli Lilly (LLY) 30-day option implied volatility is at 24; compared to its 52-week range of 22 to 38.
AstraZeneca (AZN) 30-day option implied volatility is at 23; compared to its 52-week range of 20 to 36.
China stocks option IV
JD.com (JD) 30-day option implied volatility is at 43; compared to its 52-week range of 41 to 83.
Alibaba (BABA) 30-day option implied volatility is at 40; compared to its 52-week range of 40 to 77.
NIO Inc. (NIO) 30-day option implied volatility is at 71; compared to its 52-week range of 63 to 110 into Nio to hold ES6 launch event.
Pinduoduo (PDD) 30-day option implied volatility is at 70; compared to its 52-week range of 45 to 109 into expected release of quarter results on May 26.
KraneShares CSI China Internet ETF (KWEB) 30-day option implied volatility is at 37; compared to its 52-week range of 36 to 75.
Db X-trackers Harvest Csi 300 China A – Shares Fund (ASHR) 30-day option implied volatility is at 19; compared to its 52-week range of 18 to 38.
iShares China Large-Cap (FXI) 30-day option implied volatility is at 28; compared to its 52-week range of 26 to 52.
Option implied volatility for Entertainment and Gaming
Caesar’s (CZR) 30-day option implied volatility is at 50; compared to its 52-week range of 46 to 85.
MGM Resorts (MGM) 30-day option implied volatility is at 35; compared to its 52-week range of 31 to 62.
Las Vegas Sands (LVS) 30-day option implied volatility is at 38; compared to its 52-week range of 29 to 70.
Wynn Resorts (WYNN) 30-day option implied volatility is at 39; compared to its 52-week range of 33 to 74.
Melco Resorts (MLCO) 30-day option implied volatility is at 51; compared to its 52-week range of 48 to 129.
Straddle prices into quarter results
NVIDIA (NVDA) May weekly 307 straddle is priced for a move of 7% into the expected release of quarter results today after the bell.
Snowflake (SNOW) May weekly 175 straddle is priced for a move of 9% into the expected release of quarter results today after the bell.
Kohl’s (KSS) May weekly 19.50 straddle is priced for a move of 10% into the expected release of quarter results today before the bell.
Abercrombie & Fitch (ANF) May weekly 23 straddle is priced for a move of 14% into the expected release of quarter results today.
Costco (COST) May weekly 485 straddle is priced for a move of 3% into the expected release of quarter results after the bell on May 25.
Autodesk (ADSK) May weekly 197.50 straddle is priced for a move of 6% into the expected release of quarter results on May 25.
Medtronic (MDT) May weekly 87 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on May 25.
Workday (WDAY) May weekly 192.50 straddle is priced for a move of 6.5% into the expected release of quarter results after the bell on May 25.
Marvell Technology (MRVL) May weekly 46.50 straddle is priced for a move of 7% into the expected release of quarter results after the bell on May 25.
Dollar Tree (DLTR) May weekly 155 straddle is priced for a move of 7% into the expected release of quarter results before the bell on May 25.
Ulta Beauty (ULTA) May weekly 480 straddle is priced for a move of 6.5% into the expected release of quarter results after the bell on May 25.
Best Buy (BBY) May weekly 69 straddle is priced for a move of 8% into the expected release of quarter results before the bell on May 25.
Burlington Resources (BURL) May weekly 160 straddle is priced for a move of 8% into the expected release of quarter results before the bell on May 25.
Ralph Lauren (RL) June 105 straddle is priced for a move of 8.5% the expected release of quarter results before the bell on May 25.
Gap (GPS) May weekly 7.5 straddle is priced for a move of 14% into the expected release of quarter results after the bell on May 25.
Movers
Wyndham Hotels & Resorts, Inc. (WH) 30-day option implied volatility is at 33; compared to its 52-week range of 21 to 44 after WSJ report of Choice Hotels (CHH) interest. Call put ratio 4.7 calls to 1 put.
Freeport-McMoran (FCX) 30-day option implied volatility is at 39; compared to its 52-week range of 37 to 66.
Alcoa (AA) 30-day option implied volatility is at 47; compared to its 52-week range of 45 to 79.
Match Group (MTCH) 30-day option implied volatility is at 44; compared to its 52-week range of 41 to 77.
Options with decreasing option implied volatility: WAL PACW CTLT STNE ZM BBWI TGT DKS FL ROST TTWO WSM HBAN ACI CSCO DE WMT LOW
Increasing unusual option volume: HZNP FGEN TIP VMW FYBR TRUP AMTX KVUE EWJ ANF MUR DECK
Increasing unusual call option volume: PATH TIP VMW FYBR HZNP ANF EWJ SDGR IAT URBN AMTX
Increasing unusual put option volume: BTBT FYBR KVUE TRUP VMW EOSE DM DNA URBN MAXN PERI IEP IONQ ANF PBRA DT
Popular stocks increasing volume: PLTR PFE SOFI BABA SHOP PYPL ZM BAC CVNA
Active options: TSLA AMZN PLTR AMD AAPL PFE NVDA MSFT GOOGL META NFLX GOOG SOFI UPST BABA SHOP PYPL ZM BAC CVNA
Global S&P Futures mixed to lower in premarket, Nikkei down, DAX down 1%, WTI Crude oil recently at $73.50, natural gas mixed, gold at $1977
