Pre-Market IV Report November 10, 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: GTLB CHWY DOCU DG LULU PBR SGEN CBAY METC EXPI IMVT TPC MSTR VKTX NXT GTN IGT WRBY BILL ALNY X NEE NLY DEO
Stocks expected to have increasing option volume: U WYNN TTD ILMN U DOCS HOLX GRPN SYNA ACB NVO LLY WBA RIOT COIN MSTR MARA HD TPR CPRI
Option IV for NVO into American Heart Association data
Novo Nordisk (NVO) November weekly call option implied volatility is at 37, November is at 40; compared to its 52-week range of 20 to 67 into American Heart Association data.
Eli Lilly & Co. (LLY) November weekly call option implied volatility is at 39, November is at 43; compared to its 52-week range of 18 to 39. Call put ratio 3.2 calls to 1 put.
Ad platforms option IV into Trade Desk (TTD) Q3 results and below-consensus Q4 revenue guidance.
Alphabet (GOOG) 30-day option implied volatility is at 22; compared to its 52-week range of 21 to 43 into Trade Desk (TTD) Q3 results and below-consensus Q4 revenue guidance.
Netflix (NFLX) 30-day option implied volatility is at 27; compared to its 52-week range of 27 to 68.
Snap (SNAP) 30-day option implied volatility is at 46; compared to its 52-week range of 44 to 115 into Trade Desk (TTD) Q3 results and below-consensus Q4 revenue guidance.
Criteo S.A. (CRTO) 30-day option implied volatility is at 28; compared to its 52-week range of 25 to 52.
AppLovin (APP) 30-day option implied volatility is at 51; compared to its 52-week range of 37 to 122. Call put ratio 4 calls to 1 put.
PubMatic (PUBM) 30-day option implied volatility is at 43; compared to its 52-week range of 34 to 105. Call put ratio 8.5 calls to 1 put.
Magnite (MGNI) 30-day option implied volatility is at 65; compared to its 52-week range of 43 to 98.
DoubleVerify Holdings Inc. (DV) 30-day option implied volatility is at 64; compared to its 52-week range of 30 to 63.
Roku (ROKU) 30-day option implied volatility is at 49; compared to its 52-week range of 48 to 95.
Amazon (AMZN) 30-day option implied volatility is at 26; compared to its 52-week range of 25 to 55.
Apple (AAPL) 30-day option implied volatility is at 19; compared to its 52-week range of 17 to 43.
Straddle prices into quarter results
Tyson (TSN) November 46.50 straddle is priced for a move of 7% into the expected release of quarter results before the bell on November 13.
Home Depot (HD) November 287 straddle is priced for a move of 4.5% into the expected release of quarter results before the bell on November 14.
Vipshop Holdings (VIPS) November 14 straddle is priced for a move of 9% into the expected release of quarter results on November 14.
On Holding AG (ONON) November 27 straddle is priced for a move of 12% into the expected release of quarter results before the bell on November 14.
Canadian Solar (CSIQ) November 21 straddle is priced for a move of 13% into the expected release of quarter results before the bell on November 14.
DraftKings (DKNG) 30-day option implied volatility is at 45; compared to its 52-week range of 42 to 83 into company hosted investor day on November 14.
Option IV as Bitcoin trades above $36,400
Marathon Digital Holdings (MARA) 30-day option implied volatility is at 115; compared to its 52-week range of 95 to 167. Call put ratio 4 calls to 1 put.
Microstrategy, Inc. (MSTR) 30-day option implied volatility is at 69; compared to its 52-week range of 54 to 173.
Riot Platforms (RIOT) 30-day option implied volatility is at 106; compared to its 52-week range of 84 to 137 into quarter results. Call put ratio 3.7 calls to 1 put.
Coinbase (COIN) 30-day option implied volatility is at 71; compared to its 52-week range of 59 to 136 as Bitcoin trades above $36,400.
Options with decreasing option implied volatility: AYX SAVE DOCN IEP UPST RBLX ARRY NET RNG BROS
Increasing unusual option volume: COMM UMC IJR VNET AMLX EVLV BILL APP PRGO REAL IRBT ORC
Increasing unusual call option volume: APP IJR BILL CIFR REAL PSEC PRGO ESTA DUOL
Increasing unusual put option volume: NWL BILL PAYC URNM MODG IRBT SAVE NTR
Popular stocks with increasing volume: DIS COIN RIVN SOFI PLTR AFRM RIOT UBER MU
Active options: TSLA NVDA AAPL DIS MARA AMD AMC COIN AMZN MSFT RIVN META SOFI PLTR AFRM RIOT GOOGL UBER MU F
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $76, natural gas mixed, gold at $1958
