Pre-Market IV Report May 31, 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: IEP AI AVGO PLTR MBLY CRM ANET NKE FGEN VRAR LWLG NETI CRDO AMPX VUZI BOX ATOM UPST CVNA HPE DISH
Stocks expected to have increasing option volume: CRM AVGO NVDA MU INTC AMD AMBA BOX CRWD NTAP HPQ HPE HP AI IEP PLTR
Apple (AAPL) 30-day option implied volatility is at 22; compared to its 52-week range of 19 to 45 as shares near 52-week high. Call put ratio 2.1 calls to 1 put into WWDC on June 5, 2023.
Tesla (TSLA) 30-day option implied volatility is at 53; compared to its 52-week range of 44 to 96 as shares trade above 200-day moving average.
Chips
NVIDIA (NVDA) 30-day option implied volatility is at 49; compared to its 52-week range of 41 to 68.
Broadcom (AVGO) 30-day option implied volatility is at 54; compared to its 52-week range of 23 to 49.
Advanced Micro Devices, Inc. (AMD) 30-day option implied volatility is at 52; compared to its 52-week range of 40 to 69.
Micron Technology (MU) 30-day option implied volatility is at 49; compared to its 52-week range of 34 to 62.
Taiwan Semi (TSM) 30-day option implied volatility is at 34; compared to its 52-week range of 27 to 53.
Marvell Technology (MRVL) 30-day option implied volatility is at 50; compared to its 52-week range of 45 to 70.
Qualcomm (QCOM) 30-day option implied volatility is at 36; compared to its 52-week range of 29 to 58. Call put ratio 7.8 calls to 1 put.
Applied Materials (AMAT) 30-day option implied volatility is at 37; compared to its 52-week range of 31 to 59.
Intel (INTC) 30-day option implied volatility is at 40; compared to its 52-week range of 27 to 59.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 31; compared to its 52-week range of 25 to 49.
Events
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 21; compared to its 52-week range of 17 to 39 into May employment report on June 2, 2023.
United States Oil Fund (USO) 30-day option implied volatility is at 38; compared to its 52-week range of 30 to 52 into OPEC meeting.
Activision Blizzard (ATVI) 30-day option implied volatility is at 26; compared to its 52-week range of 15 to 46.
Movers
Target (TGT) 30-day option implied volatility is at 33; compared to its 52-week range of 26 to 52.
Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 34; compared to its 52-week range of 32 to 50 as gold near two week-high.
Sarepta Therapeutics (SRPT) 30-day option implied volatility is at 72; compared to its 52-week range of 39 to 143 into PDUFA on June 22.
Icahn Enterprises L.P. (IEP) 30-day option implied volatility is at 134; compared to its 52-week range of 8 to 158.
Carvana Co. (CVNA) 30-day option implied volatility is at 144; compared to its 52-week range of 112 to 266. Call put ratio 4.8 calls to 1 put.
Straddle prices into quarter results
Salesforce (CRM) June weekly 217 straddle is priced for a move of 9% into the expected release of quarter results today after the bell.
CrowdStrike (CRWD) June weekly 157 straddle is priced for a move of 12% into the expected release of quarter results today after the bell.
NetApp (NTAP) June weekly 69 straddle is priced for a move of 6% into the expected release of quarter results today after the bell.
Chewy (CHWY) June weekly 30.50 straddle is priced for a move of 12% into the expected release of quarter results today after the bell.
Pure Storage (PSTG) June 29 straddle is priced for a move of 13% into the expected release of quarter results today after the bell.
Okta (OKTA) June weekly 90 straddle is priced for a move of 14% into the expected release of quarter results today after the bell.
Capri (CPRI) June weekly 40 straddle is priced for a move of 14% into the expected release of quarter results today.
C3.ai (AI) June weekly 44 straddle is priced for a move of 31% into the expected release of quarter results today after the bell.
Nordstrom (JWN) June weekly 16.50 straddle is priced for a move of 14% into the expected release of quarter results today after the bell.
Options with decreasing option implied volatility: PACW GPS NVAX PDD NVAX PDD BURL ZM KSS VFC DKS BBY WSM PANW
Increasing unusual option volume: HPE EWJ KDP BOX RYAM MQ LXRX ETRN AMLX
Increasing unusual call option volume: ETRN EWJ HPE CIM BOX AMBA ICLN ATOM LWLG
Increasing unusual put option volume: MQ KDP SIMO IOT BMBL AMBA HPE IEP
Popular stocks increasing volume: BAC INTC PYPL
Active options: TSLA AAPL NVDA AMD MSFT META AMZN
Global S&P Futures mixed in premarket, Nikkei down 1%, DAX mixed, WTI Crude oil recently at $69.50, natural gas down 1%, gold at $1954
