Pre-Market IV Report November 13, 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: CHYWY VMW DOCU
Stocks expected to have increasing option volume: TSN WMT TGT M BABA JD PDD
Option IV into Moody’s cuts U.S. outlook to negative from stable, affirms Aaa rating and Washington political headlines
SPDR S&P 500 ETF Trust (SPY) 30-day option implied volatility is at 12; compared to its 52-week range of 11 to 24.
PowerShares QQQ Trust (QQQ) 30-day option implied volatility is at 17; compared to its 52-week range of 16 to 30.
iShares 20+ Year Treasury Bond ETF (TLT) 30-day option implied volatility is at 19; compared to its 52-week range of 13 to 26.
Financial Select Sector SPDR ETF (XLF) 30-day option implied volatility is at 14; compared to its 52-week range of 12 to 37.
SPDR S&P Regional Banking ETF (KRE) 30-day option implied volatility is at 29; compared to its 52-week range of 20 to 81.
Market Vectors Gold Miners ETF (GDX) 30-day option implied volatility is at 29; compared to its 52-week range of 25 to 42. Call put ratio 3 calls to 1 put on 125K contracts as gold trades $1943.
United States Oil Fund (USO) 30-day option implied volatility is at 36; compared to its 52-week range of 24 to 49. Call put ratio 3.6 calls to 1 put as WTI crude trades $76.50.
Market Vectors Semiconductor ETF (SMH) 30-day option implied volatility is at 26; compared to its 52-week range of 24 to 39.
Snowflake (SNOW) 30-day option implied volatility is at 59; compared to its 52-week range of 37 to 90. Call put ratio 2 calls to 1 put as on 81K contracts.
Straddle prices into quarter results
Tyson (TSN) November 47 straddle is priced for a move of 7% into the expected release of quarter results today before the bell.
Home Depot (HD) November 290 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 11% into the expected release of quarter results before the bell on November 14.
China stocks option IV into Asia-Pacific Economic Cooperation summit in San Francisco
JD.com (JD) 30-day option implied volatility is at 48; compared to its 52-week range of 34 to 79 into Asia-Pacific Economic Cooperation summit and expected release of quarter results on November 15.
Alibaba (BABA) 30-day option implied volatility is at 37; compared to its 52-week range of 33 to 71 into Asia-Pacific Economic Cooperation summit in San Francisco and into expected release of quarter results on November 16. Call put ratio 2.4 calls to 1 put.
Pinduoduo (PDD) 30-day option implied volatility is at 58; compared to its 52-week range of 40 to 93 into Asia-Pacific Economic Cooperation summit in San Francisco and expected release of quarter results on November 27.
Options with decreasing option implied volatility: AYX VFS UPST APP RNG BROS RBLX LYFT AAOI
Increasing unusual option volume: PRGO ARMK FTAI IHI SLS CC GT
Increasing unusual call option volume: PRGO ARMK FTAI IHI SLS CC ETRN WYNN
Increasing unusual put option volume: RILY IP DT MNDY PAYC FREY
Popular stocks with increasing volume: PLTR DIS AMC COIN
Active options: TSLA NVDA AAPL AMD PLTR MSFT AMZN PLUG META DIS U TTD GOOGL AMC MPW COIN MARA SGEN TSM
Global S&P Futures mixed in premarket, Nikkei mixed, DAX mixed, WTI Crude oil recently at $76.50, natural gas up 4.5%, gold at $1943
